Commitments of Traders report (COT Report) is often referred to by various experts to look at market direction. However, little study has been conducted to test its prediction power. We applied statistical method to test its prediction power for EURUSD. We show net positions of non-commercial traders have statistically significant prediction power for EURUSD, and our back-test result shows we could have earn +335% gain over the past 10 years (=+15% compounding return per year) if we had traded based on this indicator.
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Back test result in the research report