The Commitments of Traders report publishes futures positioning by category of trader each week. COT strategies fade extreme speculative positioning, on the theory that when speculators are all on one side the market is due to turn, or follow commercial hedgers, who are assumed to be better informed.
The claim is that positioning extremes mark turning points.
We tested COT positioning rules across 17 years of data with real trading costs. The result is a caution rather than a null: the rules worked well in one stretch of years and not at all in the next, so that a trader who tested them on the good years would have found a strong strategy and then lost with it. Over the whole span there was no dependable edge.
The reason is that positioning was informative in a market regime that has since changed, and a strategy whose edge belongs to a regime is a strategy that stops when the regime does.
If you trade it anyway, look at the year-by-year results, not the total, and ask which years produced the profit.