This script was created due to the lack of position of US Dollar Index Futures (DXY).
It is designed to perform a much more liquid and inclusive position analysis.
As the exponential ratios do not mean anything to positions, weights are used as multipliers instead of exponential functions.
Swedish Krona (SEK) Futures are not directly quoted in Quandl, therefore...
Plots the COT Index from the legacy report data from Quandl. Plots the commercial, non commercial and non reportables. Each plot can be hidden as needed.
I've tried to capture the basic dollar based currencies and the futures such as corn , wheat , rice, oil , hogs etc. The symbols required a little translation to match what Quandl is expecting but I think I got...
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
Large traders Index
Managed Money Index
Data is taken from Quandl: www.quandl.com
Default week period is 26 except for CC, KC, CT, OJ, SB, CL, HO and NG...
Plots the COT net positions from the legacy report data from Quandl. Plots the commercial, non commercial and non reportables. Each plot can be hidden as needed.
I've tried to capture the basic dollar based currencies and the futures such as corn, wheat, rice, oil, hogs etc. The symbols required a little translation to...
I'm often asked to provide an alternate view on the CoT data. For example, the indicator "Commercial index" is an oscillator from 0 to 100, but oftentimes it can be helpful to look at the absolute position. So, here the absolute position of certain parts of the CoT report are given, alongside with the percentage of a given time frame to put them in...
The Herrick Payoff Index is designed to show the amount of money flowing into or out of a futures contract. The Index uses open interest during its calculations, therefore, the security being analyzed must contain open interest.
The Herrick Payoff Index was developed by John Herrick.When the Herrick Payoff Index is above zero, it shows that money is flowing into...
Commitment of Traders based on legacy format taken from quandl.com. In this version you need to select product when applying the indicator. In future version there might be some kind of auto mapping based on current symbol.