I didn't think to look at Commitment of Traders although I get the data on my system. It needs some sort of processing, currently it's not easy to get an overview, which incidentally I'm sure I saw out there somewhere.
The futures I'm looking at trading are AD, BF, BP, C, CB, CC, CD, CT, DF, EC, ED, EJ, GB, GC, HG, HS, JY, KC, NX, SB, SF, SP, US & X. Based on a balance between deep liquidity and lack of correlation and getting 25 - although of course that's only 24 and I might have to find a different short term interest rate because ED is so untradeable with the systems I'm developing, it just doesn't have the volatility for the margin, slippage and commission for most of the time, and then some of the time it has too much. Challenging.