A Deeper Look on Commitments of Traders Report

Sun Tzu once wrote (paraphrasing) “know yourself, know your enemy, and you shall win a hundred battles without loss”. This proverb is true also in financial markets as it is always easier to prepare trading/investment strategy when you know who are other market participants and what their intentions probably are. A new academic research paper written by Robe & Roberts gives a more in-depth insight into the CFTC’s weekly “Commitments of Traders” report. The COT’s report offers a small number of trader groupings; therefore, its usefulness is very limited. However, Robe & Roberts use trader-level data that originate from the CFTC’s Large Trader Reporting System (LTRS), which allows them to create a very detailed look at the composition of agricultural futures market.

https://quantpedia.com/a-deeper-look-on-commitments-of-traders-report/