This thread deals with FX sentiment indicators.

The majority of FX trading volume takes place OTC, and not through a central exchange, so it is not possible to get a 100% accurate picture of sentiment. However, there are some organizations and brokers who do release data collected from their members and customers.

For futures trading CFTC issues it's Commitment of Traders (COT) report every Friday, which features a snapshot from the previous Tuesday. Two websites which deal with this data are www.cotstimer.blogspot.com (free) and www.sentimentrader.com (paid).

I know of 2 retail brokers who supply data on the open positions and open orders of their customers. These are FXCM and OANDA.

FXCM publishes a report (SSI) once a week (I think a Thursday) on their website www.dailyfx.com. Paid subscribers get a report once a day. I think customers of FXCM get it free. Anyway, FXCM claim to run a fund based on this SSI, which essentially trades against their own customers, based on the truism that 90% of traders fail. They further claim that the SSI is a more reliable indicator than the COT report. For the last few months at least, it has been. The COT report has had most observers predicting dollar strength throughout most of it's recent down move. The SSI was showing that the majority of retail was in fact dollar bullish.

OANDA takes a snapshot every few hours, and this is accessible to customers only. From what I have seen, the OANDA data correlates very well with the weekly SSI report, and I have found it a good indicator of lop-sided markets, and potential short/long squeezes. I will post the OANDA snapshot from time to time, but I don't want to take the***** too much, as it is proprietary information.

If anyone else has an analysis of COT, FXCM or perhaps options data, then please feel free to post.

So, to start, here are the OANDA open postion data for 12th August, 16:31; as you can see, the biggest lop-sided market is USD/CHF, with about 65% of open positions long. The other major pairs are stuck close to the 50% range.

Thank you, Clarence. I LOVE COT reports, please keep it coming if you can..

The problem with going long CHF is all that Swissy bank intervention bull**** from time to time. I'm avoiding it like the plague

Great idea - I will start posting the FXCM data since I pay for it (thru spreads)

lets see if todays will copy properly. Looks like I should be looking for USDCAD shorts!!! Nice action on the daily fading the SSI! Whats amusing is retail is LONG everything at once WTF?

Quote:

Wednesday, 12 August 2009 09:21:46 GMT
Written by David Song, Currency Analyst



FXCM Speculative Sentiment Index (SSI) Statistics:




Intraday Highlight:

AUDUSD - The ratio of long to short positions in the AUDUSD stands at 1.64 as nearly 62% of traders are long. Yesterday, the ratio was at 1.24 as 55% of open positions were long. In detail, long positions are 18.3% higher than yesterday and 37.5% stronger since last week. Short positions are 10.1% lower than yesterday and 27.5% weaker since last week. Open interest is 5.6% stronger than yesterday and 14.2% above its monthly average. The SSI is a contrarian indicator and signals more AUDUSD losses.







How to Interpret the SSI? The FXCM SSI is based on proprietary customer flow information and is designed to recognize price trend breaks and reversals in the four most popularly traded currency pairs. The absolute number of the ratio itself represents the amount by which longs exceed shorts or vice versa. For example if the EURUSD ratio is 2.55, long customer orders exceed short orders by a ratio of 2.55 to 1. Conceptually similar to contrarian analyses using the CFTC IMM open position data or COT Report, the SSI provides an alternative approach that is both more timely and accurate in forecasting currency price movement. The SSI is a contrarian indicator that tells you how the market is weighted and where the trend may head. More long positions don't necessary suggest more confidence in the direction of the current trend. In general, when traders start having adverse movements against their position, many tend to increase the size of their position with the purpose to average down their entry price in one last attempt to recover from previous losses. However, the higher the number of short orders in a bull market the more dangerous is to take additional shorts because many of those traders who just entered the markets are also leaving their protective stop losses just above the current price action.

I wouldnt go by the words they write tho - I have seen those fail pretty badly... The chart tells it all, combined with what the market is really doing.

Thanks boyz!

Here is the SSI report just published by dailyfx.com:

http://www.dailyfx.com/story/strategy_pi....

Quote:

US Dollar Forecast Bearish, but Watch for Sentiment Shiftsd

EURUSD – Euro Forecast Modestly Bullish versus US Dollar
GBPUSD – Trading Strategies Flat on Indecisive Price Action
USDJPY – Japanese Yen Forecast to Gain Further against USD
USDCHF – Swiss Franc Trading Bias Remains Bullish
USDCAD – Canadian Dollar Expected to Gain vs. US Dollar

It has been a challenging week for forex sentiment-based currency trading, as extremely indecisive markets have given us mixed signals for short-term US Dollar trading. Just several days ago, our SSI-based trading strategies were aggressively long the US Dollar on clearly one-sided crowd sentiment. Yet the Greenback’s dramatic reversal forced many of our systems to cover positions. The more recent shift in sentiment generally points to further USD losses. Yet we have limited conviction in our short-term forecasts on indecisive sentiment. We would ideally wait for clarification in short-term price action before taking aggressive bets on major currency pairs.

Thursday pic...

Amazing that we closed bullish yesterday and traders flipped short euro, and USDCAD longs INCREASED after the fat reversal bar??? Wow they are pretty bad.

marked thread, I dont do fx trading but do play the currency etf's...

currently short euro - long dollar - short fxe, long uup

Your short euro trade should work out but it could take a few months - the high has a good chance of already being in place IMHO. Weekly chart 'falling off the roof' pattern makes this likely. For this to work out we will probably get HnS on euro and inverted HnS on the USDCHF daily charts.

On OANDA, almost 75% of the aggregate positioning in USD/CHF is long.

The FXCM SSI also contradicts the 'short dollar trade is crowded' meme.

http://www.dailyfx.com/story/topheadline....

Quote:

Japanese Yen Forecast to Rally Further vs US Dollar, British Pound

EURUSD – Euro Short-term Forecast Neutral vs US Dollar
GBPUSD – British Pound Outlook Unclear in Choppy Markets
USDJPY – Japanese Yen Forecast to Gain Further against USD
USDCHF – Swiss Franc Trading Bias Remains Bullish
USDCAD – Canadian Dollar Forecast to Gain vs. US Dollar

Choppy forex trading conditions has made it a difficult week for sentiment-based currency forecasts, as our SSI indicator works best in trending market environments. Indecisive forex trading crowds have given few indications on what we may expect next. Indeed, our sentiment-based forecasts for the EURUSD and GBPUSD are currently neutral. All the while, we see scope for continued Japanese Yen gains versus the US Dollar (USDJPY declines), while the GBPJPY likewise remains at risk for further declines.

There seems to be no "home page" for the SSI index. It is just referenced in the news flow from dailyfx. Right?

Yes, Jhn, that's right, although maybe if you are a subscriber, you get a fancy home page. I don't know. I just see the free report every Thursday and compare it to the OANDA feed, and they match pretty closely.

I get the page, every day. Sorry I have been out of pocket...

USDCHF is FOUR to ONE long by retail..... *IF* we take out the daily lows expect a huge wooshing sound.

Four to one is insane. Fangs for the update, Zen (as you are a Jack Russell).

Here is Jamie Saettele's take on the latest COT report. I must admit, I usually find his readings very confusing, and this week's commentary is no exception (bullish the dollar index and yet also bullish the Euro, which makes up 60+% of the dollar index).

http://www.dailyfx.com/story/charting_ce....

Quote:

Speculative US Dollar Longs Increase Significantly

US Dollar Index: The 13 week index has increased from 0, indicating a turn from a bearish sentiment extreme. Sentiment extremes occur at bottoms so favor the upside

EUR: The 13 week index has turned from 100, but is now at 0 for the first time since the March low, which is usually bullish. The sentiment picture is not clear.

GBP: The 13 week index has turned from 100, which indicates a turn from a bullish sentiment extreme. Favor the downside.

JPY: The 13 week index has dropped from 100 to 42 in the past 3 weeks. Previously bearish (USDJPY bullish) due to the sentiment extreme as indicated by 100, sentiment conditions are now neutral.

FXCM's latest SSI has been published. The pound looks a good short based on this. I wish I hadn't posted all those bullish articles in other parts of the forum now.

http://www.dailyfx.com/story/topheadline....

Quote:

British Pound Forecast to Fall versus Japanese Yen

EURUSD – Euro Short-term Outlook Neutral vs US Dollar
GBPUSD – British Pound Forecast to Fall Against Dollar
USDJPY – Japanese Yen Forecast to Gain Further against USD
USDCHF – Swiss Franc Trading Bias is Unclear
USDCAD – Canadian Dollar Outlook mixed against USD

Todays:

I'm wondering - since retail uses stops (and probably tight ones at that), and too much leverage...

Best use of the SSI would be to pick the things retail is into the most and enter on a break of SR against their stops no?

Just like yesterday. Anyone who had a sell entry below the lows on USDCHF got paid by the huge amount of retail stops under that line...

hmmmmmmmmm - May have to play with that one.

Why does the rest of the market always want to do what I'm doing? Retail is short euros as well apparently. Grr. Luckily I took down the majority of my position before the weekend lockup.

Monday 8/31:

Looks like retail is more important that some ****ty Rydex fund when it comes to gauging sentiment.

Retail getting massively long the dollar into this break lower.

The latest positioning, dollar bullish sentiment getting more and more extreme, especially on EUR/USD and USD/JPY.

The first chart shows just how underwater these dollar longs are on EUR/USD.

The second chart shows the usual view of the ratios of longs to shorts on the major pairs.

today...