Data
2026
Same name, different data: the CoT goes twice per week
The CFTC will publish the Commitments of Traders report twice per week from the end of 2026. The series keeps its name, but the day it describes, the delay before it's public, and the number of rows in a year all change. A backtest built on the weekly report has been testing that structure as well as the rule.
Ten things about markets that seem obvious
We took ten things traders take for granted, from gold as a safe haven to copper as a guide to stocks, and tested them on 16 years of data in 19 futures markets.
More history may not be more evidence
A backtest that runs back to 1926 only helps if what it measures existed for the whole period. We tested which edges lasted through changes in the market and which didn't, using a century of daily US returns, 16 years of ES intraday data, the closing-auction seconds that moved in 2018 and 2019, and the fee that widened ETF spreads in April 2026.
Rolling your own futures contracts
A continuous futures series is a chain of expiring contracts joined by somebody's rules. Here's what those rules are, what goes wrong when you take them on trust, and how to build and check a series of your own.
Peering into daily bars
Many short-term trading rules need facts a daily bar throws away. We coded 16 of them and five of Jim Dalton's, ran them on 16 years of one-minute data in ES, crude oil, Treasury notes, the grains, and SPY, and report what held up and what a daily-bar backtest can't see.
Where your data bars come from
· Updated
Equity data is reported, under rules written in 1975 and rewritten in 2005, and is changing again on 6 December 2026.
Why market data is harder than you think
· Updated
The hidden decisions in your market data can change your signals, your position sizes, and what your backtest appears to prove.
The lie hidden inside daily bars
· Updated
Many aspiring traders are told that using daily bars is good enough for all but short-term intraday strategies. We tested the guess many backtesting engines make about the path inside a daily bar against 16 years of one-second data in six futures markets. It gets the order of the high and low right four days in five, as it would on a random walk, but for a stop and a target near the entry it's close to a coin toss, and it flatters the tight-stop, wide-target brackets an optimiser is drawn to.