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Commitments of Traders (COT)

PostPosted: Thu Jul 29, 2010 3:59 pm
by Apprentice

Commitment of Traders (COT) report is published by the Commodity Futures Trading Commission (CFTC).

CFTC divides traders into three groups: Commercial, Non Commercial (large speculators), Small traders (small speculators).

Commercial investors, companies that protect their Long positions (Hedging).

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There are three options.
If true, Adds, Sum Long and Short positions of the selected type of investor.

If true, Shows the percentage of investors who have long or short positions.

Investor Type(Noncommercial/Commercial)
The choice of the investor type data, you would like to view.

The best results, give on the weekly time frame.

Warning. COT is not derivation of price, it can give early warning of change in relationships on the market.

ng: Useful reading: Using COT Report To Forecast FX Movements by Kathy Lien @ informedtraders: Part I, Part II

Re: Commitments of Traders (COT)

PostPosted: Thu Jul 29, 2010 6:19 pm
by a135711
very interesting and useful. well done. could you possibly revise it to have the option for line display instead of bars? also, if the commercial, large speculative could be viewed in one window?

Re: Commitments of Traders (COT)

PostPosted: Fri Jul 30, 2010 7:03 am
by Apprentice

Commitments of Traders Autoselect

To work you must have regular COT indicator.

This implementation automatically retrieves COT report for the currency pair that trader open.
Indicator retrieves data if they are available.

If the COT report is available for only one currency pair, Indicator fetches the data for only one currency.
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Re: Commitments of Traders (COT)

PostPosted: Fri Jul 30, 2010 7:07 am
by Apprentice
a135711 I thought about it, but here we have a problem with overlaping.

Maybe, if one is a Line and the second is bar, I will think about about it.
For now you can open two COT indicators one below the other.

Keep in mind that this is the first version, all suggestions are welcome, errors are possible.

Re: Commitments of Traders (COT)

PostPosted: Sun Aug 01, 2010 3:19 am
Dear Apprentice, --

Good work on this . Was wishing to ask you if this could be considered an indicator
version of the "Market Depth Display" that is now currently on the ActiveTrader Platform --
Does this rely on the same information - and therefore would it generate quantifiably similar
picture of BULL-BEAR bought-sold market-depth type signals - withouth the actual numerics
relative to liquidity-pricing availabilities at the different prices ??? ... Could we call it
Our TSII alternative to marketdepth ?

If this is indeed the case GREAT !!! and good work -- If there is a variation instead -- the
nature of the information handled being different, this could be a good opportunity to ask you
if it were possible to incorporate the basic BOTTOM LINE of the Marketdepth information into
An Indicator that we could use on the TSII Platforms ??? ...

Yours, With Many Thanks in Advance, -- Sincerely & Fraternally -- FCJJY@VOILA.FR+

Re: Commitments of Traders (COT)

PostPosted: Sun Aug 01, 2010 6:08 am
by Apprentice
Vasiliy & Nikolay are responsible for the difficult part of the job,
I am only responsible for the presentation.

Market Depth from ActiveTrader Platform and COT are not not comparable.

Market Depth shows us levels of currently open orders,
COT tells us about the open position (not trades) in the week behind us,
Similar to SSI (Speculative-sentiment-index) from FXCM.

Certainly I propose that we include Market Depth as soon as possible,
but it primarily depends on FXCM response.

Re: Commitments of Traders (COT)

PostPosted: Mon Sep 06, 2010 3:33 pm
by scbforex
Great work guys!

May we have a version which presents the current number of positions as a percentile of an arbitrary number of weeks? This would make identifying extremes in sentiment very easy.

Thanks Again!

Re: Commitments of Traders (COT)

PostPosted: Wed Sep 08, 2010 8:24 am
by Apprentice
Can you describe in detail your request.
"Presents the current number of positions as a percentile of an arbitrary number of weeks"

Do you think in relation to the moving average, for a defined number of weeks, cumulative or some other way.

Re: Commitments of Traders (COT)

PostPosted: Wed Sep 08, 2010 8:43 pm
by scbforex

I am looking at using Saettele`s approach in "Sentiment in the Forex Market" (Wiley, 2008). In Ch 5 he discusses a method to more readily identify sentiment extremes. He proposes calculating a three part indicator:

The first is the COT Index which is the percent rank of the current net position against the last 13, 26 or 52 weeks, arbitrarily chosen by the trader according to their trading time-lines.

The last tow parts are the %Long index commercial and non-commercial positions:

%Long = # long contracts รท (# long contracts + # short contracts)

Extremes in COT positioning would be confirmed by extreme bullish and bearish positions in the commercial and non-commercial positions.

I highly recommend his book as I am not really doing justice to his work.

Kindest Regards


Re: Commitments of Traders (COT)

PostPosted: Thu Sep 09, 2010 2:24 am
by Apprentice
As far as I understand it, by reading his book.
In calculating it only uses, large, speculators.