TY  - JOUR
U1  - Wissenschaftlicher Artikel
A1  - Dreesmann, Simon
A1  - Herberger, Tim
A1  - Charifzadeh, Michel
T1  - The Commitment of Traders report as a trading signal? Short-term price reversals and market efficiency in the US-futures market
JF  - International journal of financial markets and derivatives
N2  - The Commitment of Traders report (CoT) has been around for over 30 years, consistently revealing the futures positions of key market players. This study's primary aim is to use the comprehensive data from the Commitment of Traders reports to develop a short-term reversal trading strategy. Against the benchmark, a S&P 500 buy-and-hold approach with a Sharpe ratio of 1.07, the CoT long only strategy generated significant results in six individual markets. Extending the strategy to long-and-short, two markets outperformed the benchmark significantly. However, a scenario analysis indicated underperformance of the CoT strategy when traded in a portfolio, confirming that the chosen strategy parameters could not generate excess Sharpe ratios. Our results indicate that the Commodity Futures Trading Commission, more specifically the CoT report, contributed to efficient derivatives market.
KW  - futures short-term reversal trading strategy
KW  - Commitment of Traders report
KW  - Monte Carlo simulation
KW  - efficient derivatives market
KW  - portfolio optimisation
Y1  - 2023
SN  - 1756-7130
SS  - 1756-7130
U6  - https://doi.org/10.1504/IJFMD.2023.129093
DO  - https://doi.org/10.1504/IJFMD.2023.129093
VL  - 9
IS  - 1/2
SP  - 76
EP  - 113
S1  - 38
PB  - Inderscience Enterprises
CY  - Genève
ER  -