COT Index by cendalc
Legacy and disaggregated COT index for several commodities I trade:
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG
Available indexes:
Data is taken from Quandl: www.quandl.com/data/CFTC
Default week period is 26 except for CC, KC, CT, OJ, SB, CL, HO and NG where it is 13. You can set your own period.
Works correctly on weekly and daily data. Daily length is correctly computed from trade days in weeks.
Displays the previous cot index for the current week if COT report has not yet been published.
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG
Available indexes:
- Commercials Index
- Large traders Index
- Producers Index
- Managed Money Index
Data is taken from Quandl: www.quandl.com/data/CFTC
Default week period is 26 except for CC, KC, CT, OJ, SB, CL, HO and NG where it is 13. You can set your own period.
Works correctly on weekly and daily data. Daily length is correctly computed from trade days in weeks.
Displays the previous cot index for the current week if COT report has not yet been published.
//@version=2
study("COT Index by cendalc", shorttitle="COT Index", precision=1)
qticker =
syminfo.root == "ZC" ? "C" :
syminfo.root == "ZW" ? "W" :
syminfo.root == "ZS" ? "S" :
syminfo.root == "ZL" ? "BO" :
syminfo.root == "ZM" ? "SM" :
syminfo.root == "HG" ? "HG" :
syminfo.root == "GC" ? "GC" :
syminfo.root == "SI" ? "SI" :
syminfo.root == "CC" ? "CC" :
syminfo.root == "KC" ? "KC" :
syminfo.root == "CT" ? "CT" :
syminfo.root == "OJ" ? "OJ" :
syminfo.root == "SB" ? "SB" :
syminfo.root == "CL" ? "CL" :
syminfo.root == "HO" ? "HO" :
syminfo.root == "NG" ? "NG" :
""
force_length = input(0, title="Weeks (0 = automatic)")
length =
force_length != 0 ? force_length :
syminfo.root == "CC" ? 13 :
syminfo.root == "KC" ? 13 :
syminfo.root == "CT" ? 13 :
syminfo.root == "OJ" ? 13 :
syminfo.root == "SB" ? 13 :
syminfo.root == "CL" ? 13 :
syminfo.root == "HO" ? 13 :
syminfo.root == "NG" ? 13 :
26
GetDailyAdjustment(weeks) =>
weekCount = weeks
daily_adjust = 1
tmp = for i = 0 to (length * 5)
weekCount := weekCount - iff(dayofweek[i] < dayofweek[i+1], 1, 0)
if weekCount <= 0
break
daily_adjust := daily_adjust + 1
daily_adjust
Highest(x, y) =>
ret = x
for i = 1 to y-1
ret := max(ret, x[i])
Lowest(x, y) =>
ret = x
for i = 1 to y-1
ret := min(ret, x[i])
legacy_cot = "QUANDL:CFTC/" + qticker + "_FO_L_ALL|"
cot = "QUANDL:CFTC/" + qticker + "_FO_ALL|"
oi = security(legacy_cot + "0", "W", close)
no_cot_adjst = oi == oi[1] ? 1 : 0
length_adjst = isdaily ? GetDailyAdjustment(length + no_cot_adjst) : length + no_cot_adjst
comm_lg = security(legacy_cot + "4", "W", close)
comm_sh = security(legacy_cot + "5", "W", close)
comm_net = comm_lg - comm_sh
large_lg = security(legacy_cot + "1", "W", close)
large_sh = security(legacy_cot + "2", "W", close)
large_net = large_lg - large_sh
other_lg = security(legacy_cot + "8", "W", close)
other_sh = security(legacy_cot + "9", "W", close)
other_net = other_lg - other_sh
comm_max = Highest(comm_net, length_adjst)
comm_min = Lowest(comm_net, length_adjst)
comm_idx = if (dayofweek > nz(dayofweek[1]))
comm_idx[1]
else
100 * (comm_net - comm_min) / (comm_max - comm_min)
large_max = Highest(large_net, length_adjst)
large_min = Lowest(large_net, length_adjst)
large_idx = if (dayofweek > nz(dayofweek[1]))
large_idx[1]
else
100 * (large_net - large_min) / (large_max - large_min)
prod_lg = security(cot + "1", "W", close)
prod_sh = security(cot + "2", "W", close)
prod_net = prod_lg - prod_sh
manag_lg = security(cot + "6", "W", close)
manag_sh = security(cot + "7", "W", close)
manag_net = manag_lg - manag_sh
prod_max = Highest(prod_net, length_adjst)
prod_min = Lowest(prod_net, length_adjst)
prod_idx = if (isdaily and (dayofweek > nz(dayofweek[1])))
prod_idx[1]
else
100 * (prod_net - prod_min) / (prod_max - prod_min)
manag_max = Highest(manag_net, length_adjst)
manag_min = Lowest(manag_net, length_adjst)
manag_idx = if (dayofweek > nz(dayofweek[1]))
manag_idx[1]
else
100 * (manag_net - manag_min) / (manag_max - manag_min)
plot(comm_idx, color=blue, title="Commercials Index", style=line, linewidth=2)
plot(large_idx, color=green, title="Large traders Index", style=line, linewidth=1)
plot(prod_idx, color=aqua, title="Producers Index", style=line, linewidth=2)
plot(manag_idx, color=lime, title="Managed Money Index", style=line, linewidth=1)