чередование лонг/шорт, вестимо. там где перепады максимальны (на полугодовых, например) - более или менее ясно, в какую сторону цена "пойдет" ко времени закрытия торгов по ним
совсем супер-идеально было бы к каждому периоду открытия прикрепить табличку с отчетами по бирже (количество открытых длинных/коротких позиций и ранжирование по статусу участников), которой с завидной регулярностью с нами делится Goran, но тут, думаю, и так все ясно)

Content of the Traders in Financial Futures (TFF) Report
Dealer/Intermediary
These participants are what are typically described as the “sell side” of the market. Though they
may not predominately sell futures, they do design and sell various financial assets to clients.
They tend to have matched books or offset their risk across markets and clients. Futures
contracts are part of the pricing and balancing of risk associated with the products they sell and
their activities. These include large banks (U.S. and non-U.S.) and dealers in securities, swaps
and other derivatives.
The rest of the market comprises the “buy-side,” which is divided into three separate categories:

Asset Manager/Institutional. These are institutional investors, including pension funds,
endowments, insurance companies, mutual funds and those portfolio/investment managers
whose clients are predominantly institutional.

Leveraged Funds. These are typically hedge funds and various types of money managers,
including registered commodity trading advisors (CTAs); registered commodity pool operators
(CPOs) or unregistered funds identified by CFTC.3
 The strategies may involve taking outright
positions or arbitrage within and across markets. The traders may be engaged in managing and
conducting proprietary futures trading and trading on behalf of speculative clients.

Other Reportables
Reportable traders that are not placed into one of the first three categories are placed into the
“other reportables” category. The traders in this category mostly are using markets to hedge
business risk, whether that risk is related to foreign exchange, equities or interest rates. This
category includes corporate treasuries, central banks, smaller banks, mortgage originators, credit
unions and any other reportable traders not assigned to the other three categories.

Spreading
The TFF sets out open interest by long, short, and spreading for all four categories of traders.
“Spreading” is a computed amount equal to offsetting long and short positions held by a trader.
The computed amount of spreading is calculated as the amount of offsetting futures in different
calendar months or offsetting futures and options in the same or different calendar months. Any
residual long or short position is reported in the long or short column. Inter-market spreads are
not considered.