I spent some time looking at several COT sites and decided I could figure out the math of the calculations they used, so I did. If No one minds, I thought I would post every Friday the Commitments of Traders.
This information is available to the public from the CTFC and I have written the algorithms I am using.
The first chart is a normalized net of (longs - shorts) to a scale of 0 to 100, for a significant length of time, (1.5 years)
Some sites and books state that a value of extremes (100 and values of 0) indicate Commercials have just become maximum net long or maximum net short and a Reversal in price is likely soon.
The Second chart is the Actual Net Positions. For Further information on this, see the article by Kath Lien titled
" Using COT Report To Forecast FX Movements"
from July 20, 2005
The Third chart is the net open interest of COTs.
I know there are lots of sites that have COT information in CFTC and other formats, but this is my take on it and so I have decided if it can be useful to anyone, I will post it. If people find it useful, I will continue to post them every Friday Afternoon.
If you want charts for a commodity or future listed at CFTC that is not on this list, just post it and I will include it, if there is enough data available.
Here is the List of the Instruments I am tracking now:
1 EUROFX
2 JPY ( don't forget the data is inverted, ie; USDJPY )
3 GBP
4 USD INDEX
5 CAD ( don't forget the data is inverted, ie; USDCAD )
6 AUD
7 CHF ( don't forget the data is inverted, ie; USDCHF )
8 NZD
9 Gold
10 Silver
11 Oil ( Crude Light Sweet)
12 eMini S&P500
Regards, Scott
PS, Please do not ask me how to use the COT reports. I suggest a Google search as there is a lot of information available about the topic, free of charge in books and other sources.
EDIT
05/31/2009
I decided there was not enough demand to make updating this thread worth it.
The only two comments, were someone wanting to be spoon fed and another saying it had no real value and that others would not miss anything by not understanding it.
It takes a bit of work to research and post nearly 50 charts. I will not continue with this project. I will just compile the information for my self from now on. So I think this thread is closed. Too bad, if anyone had looked at the implications of the NormalizedNet Charts, I think they would have been amazed.
bye, that's it for me, Scott
This information is available to the public from the CTFC and I have written the algorithms I am using.
The first chart is a normalized net of (longs - shorts) to a scale of 0 to 100, for a significant length of time, (1.5 years)
Some sites and books state that a value of extremes (100 and values of 0) indicate Commercials have just become maximum net long or maximum net short and a Reversal in price is likely soon.
The Second chart is the Actual Net Positions. For Further information on this, see the article by Kath Lien titled
" Using COT Report To Forecast FX Movements"
from July 20, 2005
The Third chart is the net open interest of COTs.
I know there are lots of sites that have COT information in CFTC and other formats, but this is my take on it and so I have decided if it can be useful to anyone, I will post it. If people find it useful, I will continue to post them every Friday Afternoon.
If you want charts for a commodity or future listed at CFTC that is not on this list, just post it and I will include it, if there is enough data available.
Here is the List of the Instruments I am tracking now:
1 EUROFX
2 JPY ( don't forget the data is inverted, ie; USDJPY )
3 GBP
4 USD INDEX
5 CAD ( don't forget the data is inverted, ie; USDCAD )
6 AUD
7 CHF ( don't forget the data is inverted, ie; USDCHF )
8 NZD
9 Gold
10 Silver
11 Oil ( Crude Light Sweet)
12 eMini S&P500
Regards, Scott
PS, Please do not ask me how to use the COT reports. I suggest a Google search as there is a lot of information available about the topic, free of charge in books and other sources.
EDIT
05/31/2009
I decided there was not enough demand to make updating this thread worth it.
The only two comments, were someone wanting to be spoon fed and another saying it had no real value and that others would not miss anything by not understanding it.
It takes a bit of work to research and post nearly 50 charts. I will not continue with this project. I will just compile the information for my self from now on. So I think this thread is closed. Too bad, if anyone had looked at the implications of the NormalizedNet Charts, I think they would have been amazed.
bye, that's it for me, Scott
Attached File(s)
COT Currencies.zip
889 KB
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891 downloads
COT Futures.zip
471 KB
|
590 downloads