风险声明：差价合约（CFD）是属于复杂的投资产品，因杠杆而存在快速亏损的高度风险。
交易前您应衡量是否了解差价合约以及是否能够承担发生亏损的高风险。
Web Trader MT5
全部
Commitments of Traders Report (COT)
A weekly report from the CFTC that summarizes the net positioning of large traders in all regulated US futures markets. Published every Friday, for positions as of the previous Tuesday, on more than 100 commodity, financial, and currency futures. One of the most popular datasets used in systematic and macro trading.
The COT categorizes positions as those of commercial hedgers, non-commercial speculators, or non-reportable small traders. The Disaggregated COT further breaks down the COT into producers, swap dealers, managed money, and other reportables, a more detailed and analytical classification.
Absolute position levels are not as important as percentile rankings against history. If speculative net long positions are extended to 5-year highs in a commodity trade, the trade is crowded, and the risk of reversal is increased as a result of the unwind of the positions, even when the overall fundamental direction is positive.
The COT is lagging by construction (published on Friday after Tuesday positions), and applies only to futures markets, not to OTC or options markets. It has been used as one of the many inputs and is one of the most honest publicly available sources of information on who is there, where, and how much.
Example: COT data indicates that speculators’ net-long holdings in gold have reached a ten-year peak, while commercial hedgers’ net-short positions have also reached a ten-year low. A contrarian trader would use the divergence as one component in a thesis that speculators are overextended and that any disappointment with the macro catalyst could trigger forced unwinds and a major sell-off.
Commodities
Raw materials manufactured into consumer goods, categorised as hard (minable like gold and silver) or soft (harvestable like coffee and cotton).
Commodity Channel Index (CCI)
A momentum oscillator that indicates the price’s distance from its mean value over a period of time in units of mean absolute deviation, created by Donald Lambert. In a normal market, about 70-80% of values are in the range of +100 to -100.
Levels above +100 are considered overbought, levels below -100 are considered oversold. Lambert first planned to use CCI as a timing indicator for cyclical trends, so that when CCI moves above +100, it was a sign of a strong trend, not a signal to sell. In practice, traders use it both ways: Mean reversion ignores extremes; Trenders use threshold crossings as entry signals. Before applying the indicator, it is important to know the approach you are taking.
CCI is also applicable to the divergence analysis. However, price is making new highs, while CCI is making lower highs, which is not a standalone timing signal but may simply indicate weakening momentum.
Example: Crude oil futures drop sharply over several weeks, and the CCI falls well below -100. A range-bound trader looks for the CCI to move back above -100, seeing the indicator as a confirmation that the downtrend is ending, with the idea that extreme overbought conditions in a ranging market usually give way to short-term pullbacks.
Commodity Futures Trading Commission (CFTC)
The U.S. federal agency that oversees markets for commodity futures, options, and swaps. It was created in 1974, and its scope has grown significantly. The majority of the global derivatives market in interest rates, currencies, and energy is regulated by it when US participants are involved, or US markets are included.
The CFTC is not a part of the SEC. The general distinction: SEC regulates stocks, bonds, and options on securities; CFTC regulates derivatives on commodities, currencies, interest rates, and, more recently, crypto assets, which is one of the things they dispute with each other about.
There are three basic functions: exchange and clearing house rulemaking, exchange and clearing house enforcement, and publication of data (including the COT report, which is one of the most widely used series used in futures markets). Since the passage of the Dodd-Frank Act in 2008, the CFTC’s requirements have expanded to include previously unregulated OTC swaps, which must now be cleared through a central clearinghouse.
Example: A commodity trading company builds up futures positions in a grain contract in excess of the CFTC’s speculative position limits without having a valid hedging exemption in place. The CFTC conducts investigations, imposes hefty fines, and publishes the names of the firms. The damage to a firm’s reputation when clients start to reconsider the firm’s risk management culture is more expensive than the financial cost.
Commodity Research Bureau Index
A broad-based commodity index that measures the direction of commodity prices in various industries, similar in nature to how the S&P 500 tracks stock market prices. The multiple has been calculated since the mid-20th century and re-weighted several times; the current multiple gives the largest weight to energy.
The CRB covers energy (crude oil, heating oil, natural gas), metals (gold, silver, copper, platinum), agriculture (corn, wheat, soybeans, sugar, coffee, cocoa, orange juice), and livestock (live cattle, lean hogs). The energy weighting reduces the volatility from the oil cycle, while other elements offer diversification.
The CRB is used as a general inflation input by macro traders and economists. Producer prices are also rising, which affects consumer prices, and it’s an early indicator in the inflation pipeline that central banks watch as part of their forecasting models. The index also serves to define the “commodity super-cycle” concept. Periods of structurally high commodity prices driven by the industrialization of emerging markets.
Example: As energy costs rise and agricultural supply issues push up grain prices, the CRB breaks out of its multi-year base. For a macro fund manager, the broad-based shift is a positive sign that an inflationary impulse is structural, bringing on board exposure to commodity producers and also inflation-linked bond funds.
Commodity Trading Advisor (CTA)
A registered professional or firm that renders advice and/or direct direction in commodity futures, options, and derivatives trading. CTAs are required to be registered with the CFTC and become members of the National Futures Association in the United States.
The label is more than just agricultural. CTAs tend to employ systematic strategies that follow trends in equity indices, interest rates, currencies, and energy. Quantitative models can recognize price trends and trade them; buy when prices are up and sell when prices are down.
CTAs are valued as portfolio diversifiers by institutional investors. Trend-following is often profitable in equity bear markets, when the models provide prolonged profit opportunities due to persistent directional moves. The downside: choppy, no-trending conditions lead to small losses in runs, while frequent reversals lead to errant entries that lead to an instant loss. The world’s largest CTAs can handle tens of billions of dollars without any human discretion whatsoever after they signal.
Example: A CTA might gradually establish short positions in equity index futures as the equity index keeps making new lows. As balanced portfolios decline, the fund’s returns are positive, providing just the diversification during a crisis that the original institutional allocation had sought.
我们使用cookies以了解您如何使用我们的网站并尽可能为您提供优质体验。您可访问我们的Cookie政策以了解更多信息。
