The Weekly Market Sentiment Report: 24th September - 1st October 2023

The Weekly Market Sentiment Report: 24/09/2023 - 01/10/2023

CONTENTS

• EVOLUTION OF THE REPORT

• ECONOMIC CALENDAR

  • THE COMMITMENT OF TRADERS REPORT: NORMALIZED VALUES

  • THE COMMITMENT OF TRADERS REPORT: PATTERN RECOGNITION

  • THE BULLISH SENTIMENT INDEX

  • THE PUT-CALL RATIO SENTIMENT

  • THE AMERICAN ASSOCIATION OF INDIVIDUAL INVESTORS

  • GERMANY ZEW ECONOMIC SENTIMENT INDEX

  • THE ISM PURCHASING MANAGER’S INDEX

  • THE UNIVERSITY OF MICHIGAN CONSUMER SENTIMENT INDEX

• COT SIGNALS TRACK RECORD

• DISCLAIMER

EVOLUTION OF THE REPORT

This report will grow in time due to feedback and new techniques put into place. New sentiment models may be added or removed. Feel free to leave a feedback (e.g. nature of the document, its usefulness, its time interval, its content, language, etc.).

⚡ This symbol represents a new directional opportunity.

🔁 This symbol represents an on-going directional opportunity.

✅ This symbol represents a recently closed opportunity at a profit.

❌ This symbol represents a recently closed opportunity at a loss.

ECONOMIC CALENDAR

THE COMMITMENT OF TRADERS REPORT: NORMALIZED VALUES

The U.S Commodity Futures Trading Commission (CFTC) publishes statistics of the futures market on a weekly basis called the Commitment of Traders (COT) report. The report has many valuable information inside, namely the number of futures contracts held by market participants (hedge funds, banks, producers of commodities, speculators, etc.). Two main categories have to be distinguished:

• Commercial players: They deal in the futures markets for hedging purposes (i.e. to cover their operations or other trading positions). Examples of hedgers include investment banks and agricultural giants. Their positions are negatively correlated with the underlying market.

• Non-commercial players: They deal in the futures markets for speculative reasons (i.e. to profit from their positions). Examples of speculators include hedge funds. Their positions are positively correlated with the underlying market.

The COT meter takes the difference between the net non-commercial players and the net commercial players in order to get a final net value which is supposed to be positively correlated to the underlying asset.

For example, if the Canadian Dollar is showing an extreme value of 100, then this means that taking into account the past 26 weeks (6 months), the net market positioning has been overly bullish which could mean that a correction may be likely. The following table summarizes the current state of the markets with the optimal opportunities: