Commercial Index. COT Index based on commercial net value.
study("Commercial Index", shorttitle="Com Index", precision=2)
force_root = input("", title="Override Product")
is_includeoptions = input(false, type=bool, title="Include Options")
fxroot =
ticker == "USDCAD" ? "CD" :
ticker == "USDCHF" ? "SF" :
ticker == "USDCZK" ? "CZ" :
ticker == "USDHUF" ? "FR" :
ticker == "USDILS" ? "IS" :
ticker == "USDJPY" ? "JY" :
ticker == "USDMXN" ? "MP" :
ticker == "USDNOK" ? "UN" :
ticker == "USDPLN" ? "PZ" :
ticker == "USDRUB" ? "RU" :
ticker == "USDSEK" ? "SE" :
ticker == "USDZAR" ? "RA" :
ticker == "EURUSD" ? "EC" :
ticker == "AUDUSD" ? "AD" :
ticker == "GBPUSD" ? "BP" :
ticker == "NZDUSD" ? "NE" :
ticker == "BRLUSD" ? "BR" :
""
root = force_root == "" ? fxroot == "" ? syminfo.root : fxroot : force_root
code = root + (is_includeoptions ? "_FO_L_ALL" : "_F_L_ALL")
is_inversed =
ticker == "USDCAD" ? true :
ticker == "USDCHF" ? true :
ticker == "USDCZK" ? true :
ticker == "USDHUF" ? true :
ticker == "USDILS" ? true :
ticker == "USDJPY" ? true :
ticker == "USDMXN" ? true :
ticker == "USDNOK" ? true :
ticker == "USDPLN" ? true :
ticker == "USDRUB" ? true :
ticker == "USDSEK" ? true :
ticker == "USDZAR" ? true :
false
long_total = security("QUANDL:CFTC/"+code+"|4", "D", close)
short_total = close
long = is_inversed ? short_total : long_total
short = is_inversed ? long_total : short_total
net = long-short
length = input(24, title="Period (weeks)")
max = highest(net, length)
min = lowest(net, length)
index = 100 * (net - min) / (max - min)
index_adopted = security("QUANDL:CFTC/"+code+"|5", "D", index)
plot(index_adopted, color = black, title="Index", style=line)
hline(60, color=blue, linestyle=dashed)
hline(10, color=blue, linestyle=dashed)