trader006

COT Index

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COT Index
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//@version=2
study("COT Index", shorttitle="COT index L", precision=2)

length = input(13, title="La/Sm Týdnů")
is_includeoptions = input(true, type=bool, title="Včetně opcí")
force_root = input("", title="Jiný podklad")
nasobek = iff(isdaily,5,1)

coticker =
	  ticker == "AUDUSD" ? "AD" :
	  ticker == "GBPUSD" ? "BP" :
	  ticker == "NZDUSD" ? "NE" :
	  ticker == "BRLUSD" ? "BR" :
	  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 == "E61!"   ? "EC" :
	  ticker == "S61!"   ? "SF" :
	  ticker == "J61!"   ? "JY" :
	  ticker == "D61!"   ? "CD" :
	  ticker == "A61!"   ? "AD" :
	  ticker == "N61!"   ? "NE" :
	  ticker == "B61!"   ? "BP" :
	  ticker == "M61!"   ? "MP" :
	  ticker == "YO1!"   ? "MP" :
	  ticker == "6M1!"   ? "MP" :
	  ticker == "DXY"    ? "DX" :

	  ticker == "ZC1!"   ? "C"  :
	  ticker == "ZS1!"   ? "S"  :
	  ticker == "ZM1!"   ? "SM" :
	  ticker == "ZL1!"   ? "BO" :
	  ticker == "ZW1!"   ? "W"  :
	  ticker == "KE1!"   ? "KW" :
	  ticker == "ZO1!"   ? "O"  :
	  ticker == "ZR1!"   ? "RR" :

	  ticker == "COPPER" ? "HG" :
	  ticker == "XAUUSD" ? "GC" :
	  ticker == "XAGUSD" ? "SI" :

	  ticker == "LE1!"   ? "LC" :
	  ticker == "GF1!"   ? "FC" :
	  ticker == "HE1!"   ? "LH" :

	  ticker == "SPX"    ? "SP" :
	  ticker == "SPY"    ? "ES" :
	  ticker == "IUXX"   ? "NQ" :
	  ticker == "DJY0"   ? "DJ" :
	  ticker == "IUX"    ? "TF" :
	  ticker == "IWM"    ? "TF" :
	  ticker == "TNA"    ? "TF" :
	  ticker == "RJ1!"   ? "TF" :
	  ticker == "IDX"    ? "MD" :
	  ticker == "MDY0"   ? "MD" :
	  ticker == "GE1!"   ? "ED" :
	  ticker == "ZQ1!"   ? "FF" :
	  ticker == "ZT1!"   ? "TU" :
	  ticker == "ZF1!"   ? "FV" :
	  ticker == "ZN1!"   ? "TY" :
	  ticker == "ZB1!"   ? "US" :

	  ticker == "FL1!"   ? "CU" :
	  ticker == "VI1!"   ? "VX" :
	  ticker == "VIX"    ? "VX" :
	  ticker == "NY1!"   ? "NK" :
	  ticker == "USOIL"  ? "CL" :
	  ""

root = force_root == "" ? (coticker == "" ? syminfo.root : coticker) : force_root
code = "QUANDL:CFTC/"+root+(is_includeoptions ? "_FO_L_ALL|" : "_F_L_ALL|")

long_comm = security(code + "4", "W", close)
short_comm = security(code + "5", "W", close)

long_large = security(code + "1", "W", close)
short_large = security(code + "2", "W", close)

long_small = security(code + "8", "W", close)
short_small = security(code + "9", "W", close)

net_comm = long_comm-short_comm
net_large = long_large-short_large
net_small = long_small-short_small

max_comm_tr = highest(net_comm, 13 * nasobek)
min_comm_tr = lowest(net_comm, 13 * nasobek)
index_comm_tr = sma(100 * (net_comm - min_comm_tr) / (max_comm_tr - min_comm_tr),nasobek)
max_comm_dv = highest(net_comm, 26 * nasobek)
min_comm_dv = lowest(net_comm, 26 * nasobek)
index_comm_dv = sma(100 * (net_comm - min_comm_dv) / (max_comm_dv - min_comm_dv),nasobek)
max_comm_pa = highest(net_comm, 52 * nasobek)
min_comm_pa = lowest(net_comm, 52 * nasobek)
index_comm_pa = sma(100 * (net_comm - min_comm_pa) / (max_comm_pa - min_comm_pa),nasobek)

max_large = highest(net_large, length * nasobek)
min_large = lowest(net_large, length * nasobek)
index_large = sma(100 * (net_large - min_large) / (max_large - min_large),nasobek)

max_small = highest(net_small, length * nasobek)
min_small = lowest(net_small, length * nasobek)
index_small = sma(100 * (net_small - min_small) / (max_small - min_small),nasobek)

plot(index_comm_tr, color = blue, title="Comm 13", style=line, linewidth=2)
plot(index_comm_dv, color = #00B0FF, title="Comm 26", style=line, linewidth=1)
plot(index_comm_pa, color = #B000FF, title="Comm 52", style=line, linewidth=1)
plot(index_large, color = green, title="Large", style=line, linewidth=1)
plot(index_small, color = red, title="Small", style=line, linewidth=1)

hline(95, color=lime, linestyle=dashed, title="Horní extrém")
hline(5, color=lime, linestyle=dashed, title="Dolní extrém")
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