COT Index by cendalc — Indikator oleh lcenovsky

COT index

cot index

Legacy and disaggregated COT index for several commodities I trade:
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG

Available indexes:

Commercials Index
Large traders Index
Producers Index
Managed Money Index

Data is taken from Quandl:

Default week period is 26 except for CC, KC, CT, OJ, SB, CL, HO and NG where it is 13. You can set your own period.

Works correctly on weekly and daily data. Daily length is correctly computed from trade days in weeks.

Displays the previous cot index for the current week if COT report has not yet been published.

Skrip open-source

Dalam semangat TradingView, penulis dari skrip ini telah mempublikasikannya ke sumber-terbuka, maka trader dapat mengerti dan memverifikasinya. Semangat untuk penulis! Anda dapat menggunakannya secara gratis, namun penggunaan kembali kode ini dalam publikasi diatur oleh Tata Tertib. Anda dapat memfavoritkannya untuk digunakan pada chart

Pernyataan Penyangkalan

Informasi dan publikasi tidak dimaksudkan untuk menjadi, dan bukan merupakan saran keuangan, investasi, perdagangan, atau rekomendasi lainnya yang diberikan atau didukung oleh TradingView. Baca selengkapnya di Persyaratan Penggunaan.

Inggin menggunakan skrip ini pada chart?

//@version=2
study("COT Index by cendalc", shorttitle="COT Index", precision=1)

qticker =
     syminfo.root == "ZC" ? "C"  :
     syminfo.root == "ZW" ? "W"  :
     syminfo.root == "ZS" ? "S"  :
     syminfo.root == "ZL" ? "BO" :
     syminfo.root == "ZM" ? "SM" :
     syminfo.root == "HG" ? "HG" :
     syminfo.root == "GC" ? "GC" :
     syminfo.root == "SI" ? "SI" :
     syminfo.root == "CC" ? "CC" :
     syminfo.root == "KC" ? "KC" :
     syminfo.root == "CT" ? "CT" :
     syminfo.root == "OJ" ? "OJ" :
     syminfo.root == "SB" ? "SB" :
     syminfo.root == "CL" ? "CL" :
     syminfo.root == "HO" ? "HO" :
     syminfo.root == "NG" ? "NG" :
     ""

force_length = input(0, title="Weeks (0 = automatic)")

length =
     force_length != 0 ? force_length :
     syminfo.root == "CC" ? 13 :
     syminfo.root == "KC" ? 13 :
     syminfo.root == "CT" ? 13 :
     syminfo.root == "OJ" ? 13 :
     syminfo.root == "SB" ? 13 :
     syminfo.root == "CL" ? 13 :
     syminfo.root == "HO" ? 13 :
     syminfo.root == "NG" ? 13 :
     26

GetDailyAdjustment(weeks) =>
    weekCount = weeks
    daily_adjust = 1
    tmp = for i = 0 to (length * 5)
        weekCount := weekCount - iff(dayofweek[i] < dayofweek[i+1], 1, 0)
        if weekCount <= 0
            break
        daily_adjust := daily_adjust + 1
    daily_adjust

Highest(x, y) =>
    ret = x
    for i = 1 to y-1
        ret := max(ret, x[i])

Lowest(x, y) =>
    ret = x
    for i = 1 to y-1
        ret := min(ret, x[i])


legacy_cot = "QUANDL:CFTC/" + qticker + "_FO_L_ALL|"
cot = "QUANDL:CFTC/" + qticker + "_FO_ALL|"

oi = security(legacy_cot + "0", "W", close)

no_cot_adjst = oi == oi[1] ? 1 : 0
length_adjst = isdaily ? GetDailyAdjustment(length + no_cot_adjst) : length + no_cot_adjst

comm_lg = security(legacy_cot + "4", "W", close)
comm_sh = security(legacy_cot + "5", "W", close)
comm_net = comm_lg - comm_sh

large_lg = security(legacy_cot + "1", "W", close)
large_sh = security(legacy_cot + "2", "W", close)
large_net = large_lg - large_sh

other_lg = security(legacy_cot + "8", "W", close)
other_sh = security(legacy_cot + "9", "W", close)
other_net = other_lg - other_sh

comm_max = Highest(comm_net, length_adjst)
comm_min = Lowest(comm_net, length_adjst)
comm_idx = if (dayofweek > nz(dayofweek[1]))
    comm_idx[1]
else
    100 * (comm_net - comm_min) / (comm_max - comm_min)

large_max = Highest(large_net, length_adjst)
large_min = Lowest(large_net, length_adjst)
large_idx = if (dayofweek > nz(dayofweek[1]))
    large_idx[1]
else
    100 * (large_net - large_min) / (large_max - large_min)

prod_lg = security(cot + "1", "W", close)
prod_sh = security(cot + "2", "W", close)
prod_net = prod_lg - prod_sh

manag_lg = security(cot + "6", "W", close)
manag_sh = security(cot + "7", "W", close)
manag_net = manag_lg - manag_sh

prod_max = Highest(prod_net, length_adjst)
prod_min = Lowest(prod_net, length_adjst)
prod_idx = if (isdaily and (dayofweek > nz(dayofweek[1])))
    prod_idx[1]
else
    100 * (prod_net - prod_min) / (prod_max - prod_min)

manag_max = Highest(manag_net, length_adjst)
manag_min = Lowest(manag_net, length_adjst)
manag_idx = if (dayofweek > nz(dayofweek[1]))
    manag_idx[1]
else
    100 * (manag_net - manag_min) / (manag_max - manag_min)

plot(comm_idx, color=blue, title="Commercials Index", style=line, linewidth=2)
plot(large_idx, color=green, title="Large traders Index", style=line, linewidth=1)
plot(prod_idx, color=aqua, title="Producers Index", style=line, linewidth=2)
plot(manag_idx, color=lime, title="Managed Money Index", style=line, linewidth=1)