Futures & Options Trader 2008-02 | COT extreme-position system

Note: The code is hardlinked to the Pinnacle Data's symbol names created in ASCII datasource. You have to really know what you're doing and have all those CLC & COT datasources in both MetaStock and ASCII formats on your disk.

Strategy rules:

Buy tomorrow at the market when:
1. Today's net commercial position is below zero.
2. The 13-day exponential moving average (EMA) of closing prices crosses above the 39-day EMA of closing prices.
3. The 14-day average directional movement index (ADX) is above 15.

Short tomorrow at the market when:
1. Today's net commercial position is above zero.
2. The 13-day EMA of closing prices crosses below the 39-day EMA of closing prices.
3. The 14-day ADX is above 15.

Exit long position tomorrow at the market when the net commercial position is less than or equal to the 100-day lowest net commercial position.

Cover short position tomorrow at the market when the net commercial position is greater than or equal to the 100- day highest net commercial position.

Alternately, exit long or short position with a protective 5-percent stop-loss order