I thought it would be a good idea to chart the COT report on my own so I know exactly how it's calculated and I don't have to rely on incomplete free charts or pay for a subscription service.
I created 2 charts for each pair according to Larry William's formulas for a 3 year index and a 26 week period index.
I want to chart the Open Interest as well (seems like no free service does that? maybe i'm wrong?)
However, I'm a little stuck and I'm hoping one of you can help.
How would you interpret this paragraph from Larry's book about COT reports:
I've attached the spreadsheet I created.
I'm confused about the formula for the "stochastic" he mentions and about what " the total open interest of the last 26 weeks." means.
Is that a sum? Or net difference? Something else?
If you know what exactly that "stochastic" he's talking about is, and on what columns from the report to apply it, please calculate it for a row or a few in my spreadsheet and I will do the rest.
I will then repost the complete spreadsheet and explain how to interpret the data.
Alternatively, just tell me what the formula for the stochastic would be and on what columns from the report to apply it (which open interest columns, the total open interest all and the changes in open interest or others?)
Edit:
Ok, I think I figured out what Williams was trying to say.I've uploaded a new spreadsheet containing:
Charted COT Commercial & NonCommercial positions indexes for both 26 weeks & 3 year periods, and Open Interest for 26 weeks, 1 year and 3 year periods.
If you have any ideas on how we can improve this, I would love to hear about it.
ps: mexican peso is missing because i don't plan to trade it anytime soon, so i figured i'd save time if i didn't chart cot for it as well.
I created 2 charts for each pair according to Larry William's formulas for a 3 year index and a 26 week period index.
I want to chart the Open Interest as well (seems like no free service does that? maybe i'm wrong?)
However, I'm a little stuck and I'm hoping one of you can help.
How would you interpret this paragraph from Larry's book about COT reports:
QuoteDisliked
We are faced with a problem as we delve into the COT readings of the commercials. It is this: do we monitor their long positions or their short positions? As I’ve shown in the prior chapters, it appears that either side of the equation can be used. The resolution is easy. Let’s use both their buying and selling!
What I mean by this is that the best view can be garnered from taking the net long/short position of these wise men and putting that into the perspective of OI with the following formula. I have it in my Genesis software.
Stochastic Custom (COT Commercials/Open Interest, vara)
What the formula is doing is taking a stochastic of the net of commercial longs minus shorts divided by the total open interest of the last many weeks. (Vara is computer talk for a variable). You can play with this variable a great deal to see what number of weeks you think works best.
While it varies from time to time and market to market, I have come to believe that, all things considered, a 26-week window to take this measurement is the best, across the board. In the old days, as I have discussed, we used a three-year look-back. In this day and age of volatile markets, though, a world full of fast changes and instant news, I have defaulted to the 26-week or one-half year window to get our perspective on how the commercials have been investing their money.
I've attached the spreadsheet I created.
I'm confused about the formula for the "stochastic" he mentions and about what " the total open interest of the last 26 weeks." means.
Is that a sum? Or net difference? Something else?
If you know what exactly that "stochastic" he's talking about is, and on what columns from the report to apply it, please calculate it for a row or a few in my spreadsheet and I will do the rest.
I will then repost the complete spreadsheet and explain how to interpret the data.
Alternatively, just tell me what the formula for the stochastic would be and on what columns from the report to apply it (which open interest columns, the total open interest all and the changes in open interest or others?)
Edit:
Ok, I think I figured out what Williams was trying to say.I've uploaded a new spreadsheet containing:
Charted COT Commercial & NonCommercial positions indexes for both 26 weeks & 3 year periods, and Open Interest for 26 weeks, 1 year and 3 year periods.
If you have any ideas on how we can improve this, I would love to hear about it.
ps: mexican peso is missing because i don't plan to trade it anytime soon, so i figured i'd save time if i didn't chart cot for it as well.
Attached File(s)
