Monolith Research
Alt-data & nowcasting
VIII · Alt-data & nowcasting Researched

COT positioning

CFTC Commitments-of-Traders positioning tested as a cross-sectional factor.

In plain terms

Each week the CFTC publishes how the largest players — commercials and large speculators — are positioned in futures. The idea is that extreme positioning anticipates the next move.

How it works

Positioning is turned into a cross-sectional factor across commodity and FX futures, leaning against crowded extremes and with confirmed hedger flow.

What it’s tested against

Tested as a factor against the liquid contracts the firm can actually trade. The genuine premium concentrates in less-liquid names and is blunted by the release lag — which the evaluation makes explicit rather than papering over.

Data

CFTC Commitments-of-Traders (weekly, since 1992).

Researched — a documented examination of where the positioning premium does, and does not, live.

All strategy families

Research record only. Strategy logic stays private; what is shown can be reconstructed from a versioned notebook and a dated data snapshot. Not investment advice.