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COT Report

  • #1
  • First Post: Aug 5, 2006 11:18am Aug 5, 2006 11:18am
I made the attached indicator to graph the COT report. I'm sharing it so that I can also get some advice from some experts about how to interpret COT data. I've seen some posts on a number of forums, but, have found some confusing and contradictory statements.

The indicator looks at the net difference between long and short orders for commercial and noncommercial traders. If you look at a COT report, I just take the net longs and subtract the net shorts. If the number is positive, then the bar will be positive. If it's negative, the bar will be negative.

Is there another way to look at COT data, or is this correct? What should we pay attention to in terms of changes?

I'm including a screenshot of a weekly chart with the COT data. The weeks should coincide together between the histogram and the price bars, but, I haven't validated this.

To set this up, unzip the cot.zip contents (a single CSV file) to the experts/files directory (this is for MT4) and then put the mq4 file in the experts/indicators directory. Compile the indicator, then add the indicator to a weekly chart for best results. Hover over the histogram bars to see whether it's displaying commercial or non commercial values.

stockwet
Attached Image
Attached File(s)
File Type: zip cot.zip   < 1 KB | 2,358 downloads
File Type: mq4 cot.mq4   2 KB | 2,160 downloads
  • #2
  • Aug 5, 2006 12:06pm Aug 5, 2006 12:06pm
I also check the COT weekly, but what I look for are extremes in positioning among the non-commercial traders. Changes in open interest from week to week help indicate a strenghtening or weakening trend, also flips in net positioning from long to short could indicate a change in overall sentiment. With cable, when long or short non-commercial positioning exceeds 50000, I consider that extreme. Currently I only trade cable, and as of this past Friday's report, longs are at their highest since the pair peaked around the middle of May, so I expect some sort of retrace in the pair. Perhaps this coming week. One thing to remeber about COT: this week's report, released on Friday, is compiled from the previous week's data starting and ending on Tuesday, so it is somewhat lagging.
  • #3
  • Aug 7, 2006 9:08am Aug 7, 2006 9:08am
Thanks. That's probably something I could add - probably as another indicator. Is the number you pick as an extreme arbitrary, or based on something you learned elsewhere or observed?

stockwet
  • #4
  • Aug 7, 2006 9:10am Aug 7, 2006 9:10am
Also, is it just me, or has volume on the EURUSD kicked it into high gear this year? I was surprised by the volume difference between 2005 and 2006.
  • #5
  • Aug 7, 2006 9:14am Aug 7, 2006 9:14am
COuld it be that there are a lot more Forex traders now? ANd EURUSD is the pair of choice for many.



Quoting stockwet
Also, is it just me, or has volume on the EURUSD kicked it into high gear this year? I was surprised by the volume difference between 2005 and 2006.
  • #6
  • Aug 7, 2006 9:22am Aug 7, 2006 9:22am
Quoting Yardie
COuld it be that there are a lot more Forex traders now? ANd EURUSD is the pair of choice for many.
Maybe. Remember, though, that the COT report measures commercial and noncomm traders on the futures market. So, I think there are a lot more forex traders, but, I'm not sure whether all those new spot traders are reflected in the report. Clearly, there are either more futures traders, or the existing participants are making more or larger trades. I think that's a given. I was just surprised at the large volume difference.

I wonder if all the spot brokers and market makers are reflected as noncomm traders in the report??
  • #7
  • Aug 7, 2006 10:04am Aug 7, 2006 10:04am
Here is a year old general article by Kathy Lien on COT.
Attached File(s)
File Type: pdf COT - Lien.pdf   72 KB | 2,922 downloads
  • #8
  • Aug 7, 2006 10:42am Aug 7, 2006 10:42am
Quoting nvwine
Here is a year old general article by Kathy Lien on COT.
Yeah, this is what got me interested in looking at this in the first place. However, I had read another article that talked about looking at the commercials, instead. So, I wasn't sure which way to go with this.
  • #9
  • Aug 7, 2006 10:58am Aug 7, 2006 10:58am
Quoting stockwet
Yeah, this is what got me interested in looking at this in the first place. However, I had read another article that talked about looking at the commercials, instead. So, I wasn't sure which way to go with this.
There are some that say you should always side with the commercials, but that could get the average retail trader slaughtered. I think most of the time the commercials are looking to hedge positions against spot prices or fluctuations in exchange rates. Commercials have been net short since mid-May when the correction began from the rally from 1.7300 to 1.900 in cable.
I really don't think commercials are in it for speculation. If you look at the last report the commercials added to shorts and cut back their longs, maybe they are trying to fade the market but that kind of risk taking doesn't seem to fit the profile of large instituitions that make up the commercials. If you were to follow their example exclusively as a retail trader it would not end well.
  • #10
  • Edited 11:20am Aug 7, 2006 11:09am | Edited 11:20am
Quoting stockwet
Thanks. That's probably something I could add - probably as another indicator. Is the number you pick as an extreme arbitrary, or based on something you learned elsewhere or observed?

stockwet
Since I only trade cable right now, I can only be sure about the extremes in positioning with that pair. But just based on historical data, provided by the COT, 40k is the lower end of the extreme range and +50k is the high end of the extreme range for this pair. You need only look at the tops and bottoms made by a pair and find corresponding historical COT reports. Once extremes are reached and non-comms start cutting back positions for whatever reasons, one could conclude a particular move is losing strength. Right now cable is at 56k long, which I would consider extreme. To me this means that if the Fed surprises by raising rates, with the extreme positioning and since the market had been pricing in a pause from the end of June, any dollar positive move would be substantial.
  • #11
  • Aug 7, 2006 11:38am Aug 7, 2006 11:38am
BUt what if they pause as everyone expected. Do you suspect that the LONGS would get even more extreme?



Quoting SisterCurare
Since I only trade cable right now, I can only be sure about the extremes in positioning with that pair. But just based on historical data, provided by the COT, 40k is the lower end of the extreme range and +50k is the high end of the extreme range for this pair. You need only look at the tops and bottoms made by a pair and find corresponding historical COT reports. Once extremes are reached and non-comms start cutting back positions for whatever reasons, one could conclude a particular move is losing strength. Right now cable is at 56k long, which I would consider extreme. To me this means that if the Fed surprises by raising rates, with the extreme positioning and since the market had been pricing in a pause from the end of June, any dollar positive move would be substantial.
  • #12
  • Aug 7, 2006 5:11pm Aug 7, 2006 5:11pm
Quoting Yardie
BUt what if they pause as everyone expected. Do you suspect that the LONGS would get even more extreme?
To be quite honest, I'm not sure. I can only get data as far back as 2005, but I have never seen positions exceed 56K. I think it's some sort of record. Even at the peak of the rally to 1.9000 positions did not exceed 52k. At some point there will be no buyers, only sellers and I think we are approaching that point.
  • #13
  • Aug 7, 2006 5:30pm Aug 7, 2006 5:30pm
I'll see if I can pull in some more data.
  • #14
  • Aug 7, 2006 6:46pm Aug 7, 2006 6:46pm
Quoting stockwet
I'll see if I can pull in some more data.
On the subject of extra Forex volume, there was a CNBC video I linked to recently that talked about the explosive growth this year is retail Forex.

BTW, I've been a subscriber to the this COT site for a few months now and intend to keep it that way. Cheap for such valuable info!
Bundy's status today: "Waiting..."
  • #15
  • Aug 7, 2006 6:55pm Aug 7, 2006 6:55pm
OK. I grabbed data going back to 2000. Here's an updated indicator with updated data. Again, unzip the data to the files directory and follow the previous instructions. I also added levels in there of 50,000 and -50,000.

stockwet
Attached File(s)
File Type: zip cot-2000.zip   10 KB | 1,636 downloads
File Type: mq4 cot.mq4   3 KB | 1,537 downloads
  • #16
  • Aug 8, 2006 1:38am Aug 8, 2006 1:38am
This site is free and the display is better than most pay sites for COT./www.timingcharts.com/index.aspx
  • #17
  • Feb 6, 2007 5:11pm Feb 6, 2007 5:11pm
where can i get hte cot XL file?
  • #18
  • Feb 6, 2007 6:10pm Feb 6, 2007 6:10pm
Quoting pippy le pur
This site is free and the display is better than most pay sites for COT./www.timingcharts.com/index.aspx
Above link is dead... use this one instead:
http://www.timingcharts.com/

We need more discussions on the COT
  • #19
  • Feb 6, 2007 6:53pm Feb 6, 2007 6:53pm
Quoting bundyraider
On the subject of extra Forex volume, there was a CNBC video I linked to recently that talked about the explosive growth this year is retail Forex.

BTW, I've been a subscriber to the this COT site for a few months now and intend to keep it that way. Cheap for such valuable info!
Do you still find this information useful
  • #20
  • Feb 6, 2007 7:44pm Feb 6, 2007 7:44pm
enjoy boys and girls... I haven't kept up with updating it, but i am sure you all agree that this little tool is great 'cause the price is right.
Attached File(s)
File Type: zip Commitments of Traders.zip   232 KB | 2,657 downloads
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