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Saturday, September 15, 2012

S&P 500 Today = Eurodollar COT 1 Year Ago | Tom McClellan

In May 2011 Tom McClellan unveiled a sensational discovery:
There are some jewels in the CFTC's weekly Commitment of Traders (COT) Report:  ... Commercial traders' net positions in eurodollar futures shifted forward by one year foretell the the stock market.
... Let's pause a minute to let that deep point sink in. Commercial eurodollar traders seem to "know" a year in advance what the stock market is going to do.  It is not a perfect correlation, but it is a darned good one.  I'm not sure what makes this work, but I have seen that it has worked great since about 1997 ... The term "eurodollars" should not be confused with the exchange rate between the dollar and the euro
(HERE & HERE).
Projected CITs for the S&P 500 are (since COT data is weekly, CITs are +/-):

09/13/2012 high
09/20/2012 low
10/18/2012 high
11/08/2012 low
11/29/2012 HIGH of the Year
12/20/2012 low
01/03/2013 high
etc.