A little bit of research into Fundamental Analysis today to see if I can get any ideas.
We can use futures to try to gauge market sentiment.
The Commodity Futures Trading Commission, or CFTC, publishes the Commitment of Traders report (COT) every Friday, around 2:30 pm EST.
Looks like it is in simple http format, we might be able to parse it.
“A key characteristic of hedgers is that they are most bullish at market bottoms and most bearish at market tops.”
“Remember, every market top or bottom is accompanied by a sentiment extreme, but not every sentiment extreme results in a market top or bottom.”
“Buy on the rumours, sell on the news”.
If the news is expected to be good, or bad, market consensus will indicate this and people will enter the positions early. If the news is better than expected, the price will go up more. Buying early into a good thing is never bad. However, if the news is worse than expected, the price will drop like crazy because buying into it early was even worse.
So if the consensus is positive, then entering a position could be seen as “less risky”… this is a directional bias.
A non-directional bias means we don’t care what the result is, we just expect a huge move in one direction. Therefore, knowing this, we can plan for both sides.
How to create your own 0-100 index based on values over any periods
Seasonal Information: I’ve been working on a session/seasonal indicator in the background. The following bit of information can be useful.
“The second reason could be the reason for the unemployment rate drop. Perhaps it’s right after Thanksgiving during the holiday rush. During this time, many companies normally hire seasonal employees to keep up with the influx of Christmas shoppers. This increase in jobs may cause a short term drop in the unemployment rate, but it’s not at all indicative of the long term outlook on the U.S. economy.”
Could we spot temporary USD increases around this time?