Here's a study on using the Commitments of Traders index as an indicator for trading the corn market."Conventional wisdom has it that the commercial hedgers and noncommercials (or large speculators) are consistently right, while the small speculators are consistently wrong. But in commodity trading, conventional wisdom is a very dangerous thing to rely on."
"My examination of the Commitments of Traders data relies on the use of the COT index. The COT index is simply a measure of how the net positions by reporting class compare with a certain number of previous reports, where the net position is defined as longs minus shorts by reporting class.
"The COT index (Figure 1) allows us to view the net position of each reporting class in relation to its own history, to ascertain if a particular group is aggressively positioned with a directional bias."
