This paper studies whether actual position-based investor sentiment is useful in predicting price movements in three major petroleum futures markets: crude oil, heating oil, and unleaded gasoline. Using Wang (2003)’s methodology for the sentiment measurement and weekly actual position data during 1996 ~ 2006 from the COT report, the investors’ sentiments are found to have an insignificant influence on futures price movements in subsequent periods. Our results suggest that either the actual positionbased sentiment index is faulty or investor’s sentiment is not related to subsequent price movements in the petroleum futures markets