lcenovsky

COT Index by cendalc

199 3 29
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: https://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.

snapshot
Remove from Favorite Scripts Add to Favorite Scripts
//@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)
walkman
4 months ago
Add this code to highlight if commericals> large traders to identify a bear market. if large traders>commericals it's a bull market.

// Cross

Highlightcross=input(true, title="highlightcross?",type=bool)
c_color= (large_idx > comm_idx) ? green : (large_idx< comm_idx) ? red: na
bgcolor(Highlightcross ? c_color:na)
Reply
walkman walkman
4 months ago
Actually I only tested this with crude oil. Works for crude oil so far.
Reply
lcenovsky walkman
4 months ago
I don't think it is that easyt to identify bull/bear market :-) But it can help a little.
Reply
Ideas Scripts Chart
United States
United Kingdom
India
España
Italia
Brasil
Россия
Türkiye
日本
한국
Home Stock Screener Economic Calendar How It Works Chart Features House Rules Moderators For the WEB Widgets Stock Charting Library Priority Support Feature Request Blog & News FAQ Help & Wiki Twitter
Private Messages Chat Ideas Published Followers Following Priority Support Public Profile Profile Settings Billing Sign Out