[KY]COT (Commitment of Traders)

29 มิ.ย. 2020

(1) What is COT(Commitment of Traders)?
COT reports provide a breakdown of each Tuesday’s open interest for futures and options on futures markets.
(Traders categories are Commercials, Speculators, Non-Reportables)
* Data itself is published Friday but its source is as of Tuesday close!! This is important.
* You MUST read CFTC site before you use my script.
cftc.gov/MarketReports/CommitmentsofTraders/index.htm

(2) What can you do with my COT indicator?
You can illustrate the following data from COT report.
- Open Interest: total number of positions of each traders
- Commercials net position: the net position of "Producer/Merchant/Processor/User" and "Swap Dealers"
- Speculators net position: the net position of "Money Managers" (or sometimes called "Managed Money", "Funds", "Large Speculators")
- Other Reportables net position: the net position of "Other Reportables" (aka "Small Speculators")
- Non Reportables net position: the net position of "Non Reportables" (aka "Retail/individual investors")
In addition to these, you can show detailed information as follows:
- Speculators long/short position: sometimes you need not only "Net position" but also "Long/Short posotion". Use this.
- Long/Short ratio of each traders: Long ratio is shown as percentage. calculation is
Long ratio = (Long Interest + Spread) / (Long Interest + Short Interest + 2 * Spread)

(3) What data source do I use?
I use quandl CFTC data.
quandl.com/data/CFTC-Commodity-Futures-Trading-Commission-Reports

(4) How to use my indicator?
- add at least three indicator.
- wait until data is loaded.(my script collects a lot of data from CFTC so usually it takes 5-10 seconds.)
- open the settings and choose what you want to display.
options are ["OpenInterest", "Commercials", "Specs", "Others", "Total Reportables", "Non Reportables", "SpecsVol", "PositionRatio"]

(4) Have any questions? Or any requests or ideas for improvement?
Please message me.
tradingview.com/u/KaibaraYuzan/

(5) Happy Trading Everyone!!

30 มิ.ย. 2020

เอกสารเผยแพร่

I removed the unrelated drawings in the chart which would help you understand how my script works.
And to make it easier to understand, I changed the pine code slightly.(Not affecting the result itself.)