ICT Commitment of Traders° by toodegreesDescription:
The Commitment of Traders (COT) is a valuable raw data report released weekly by the Commodity Futures Trading Commission (CFTC). This report offers insights into the current long and short positions of three key market entities:
Commercial Traders ( usually represented in red )
Large Traders ( typically depicted in green )
Small Speculator Traders ( commonly shown in blue )
The concept of utilizing the COT data as a strategic trading tool was first introduced by Larry Williams, who emphasized the importance of monitoring Commercial Speculators – large corporate producers or consumers of commodities.
The Inner Circle Trader (ICT) prompts us to delve deeper into this data. While we can easily determine their Net Position (also referred to as the Main Program) by subtracting Commercial Short Positions from the Commercial Long Positions, this calculation doesn't reveal their ongoing Hedge Program .
Merely following the Main Program won't provide a trading edge. Aligning with the Hedge Program can be an invaluable weapon in your trading arsenal.
The Commercial Speculators' Hedge Program can be unveiled by examining the highest and lowest reading of their Net Position over a chosen time period and setting a new "zero line" between these extremes. This process generates a novel "COT Graph" providing a detailed understanding of the Commercial Speculators' current market activity.
When the Hedge Program, Seasonality, and Open Interest are cross-referenced with Institutional Orderflow, a trader can construct a very clear medium-to-long-term market narrative.
Features:
Access COT Data for the Commercial Speculators via Tradingview's reliable data source
Automate calculations and display the 3-month, 6-month, 12-month, 2-year, and 3-year Hedge Program
Define your own Custom Time Range for the Hedge Program
Display the Main Program and all Hedge Programs in an easy-to-understand table format
Additionally, by following the included instructions, you can augment your table with COT data from multiple markets. This extra information can help monitor correlated markets and develop a more robust market narrative:
Cotreport
Commitment of Traders ~ INDEXESMy intention was to create 1 script for the Commitment of Traders report but I wasn't not aware there is a limit on how many instrument calls can be made in PineScript so I had no choice but to divide the script into instrument categories. So far I have created 4 of them: Forex, Metals/ Commodities, Treasuries & Indexes which is the one presented here. If you are interested in the other ones, feel free to do a search.
Available Instruments: Mini S&P, VIX, Mini NASDAQ, Mini RUSSELL, EAFE Index (Global Developed Markets & EMRG Index (Global Emerging Markets)
The script calculates and plots the ZScore of both Net Long (Money Managers / Asset Managers) and Net Long (Dealers / Swap). In some instrument categories you will also see Open Interest. It depends on whether I was maxed out or not on making security calls.
If you are not familiar with ZScore, it basically calculates the distance of price from a mean average in units of Standard Deviation. In theory when price reaches +2 it signifies overbought while if it reaches -2 is oversold. However just because it's hitting an extreme in one particular average doesn't necessarily mean it will reverse as the position of price in relation with the next longer average might not be so out of range.
Must be attached to weekly chart.
If you have any questions/suggestions, feel free to add them in the comments below
Commitment of Traders ~ TREASURIESMy intention was to create 1 script for the Commitment of Traders report but I wasn't not aware there is a limit on how many instrument calls can be made in PineScript so I had no choice but to divide the script into instrument categories. So far I have created 4 of them: Forex, Indexes & Metals/ Commodities & Treasuries which is the one presented here. If you are interested in the other ones, feel free to do a search.
Available Instruments: Ultra(25-35yrs), Bonds(15-25yrs), 10yrs, 5yrs, 2yrs & 3 Month EuroDollar
The script calculates the ZScore of both Net Long (Money Managers / Asset Managers) and Net Long (Dealers / Swap) In some instrument categories you will also see Open Interest. It depends on whether I was maxed out or not on making security calls.
If you are not familiar with ZScore, it basically calculates the distance of price from a mean average in units of Standard Deviation. In theory when price reaches +2 it signifies overbought while if it reaches -2 is oversold. However just because it's hitting an extreme in one particular average doesn't necessarily mean it will reverse as the position of price in relation with the next longer average might not be so out of range.
Must be attached to weekly chart.
If you have any questions/suggestions, feel free to add them in the comments below
Commitment of Traders ~ COMMODITIES/METALSMy intention was to create 1 script for the Commitment of Traders report but I wasn't not aware there is a limit on how many instrument calls can be made in PineScript so I had no choice but to divide the script into instrument categories. So far I have created 4 of them: Forex, Treasuries, Indexes & Metals/ Commodities which is the one presented here. If you are interested in the other ones, feel free to do a search.
Available Instruments: Bloomberg Commodities Index, GOLD , SILVER , CRUDE OIL & NATURAL GAS
The script calculates the ZScore of both Net Long (Money Managers / Asset Managers) and Net Long (Dealers / Swap) In some instrument categories you will also see Open Interest. It depends on whether I was maxed out or not on making security calls.
If you are not familiar with ZScore, it basically calculates the distance of price from a mean average in units of Standard Deviation. In theory when price reaches +2 it signifies overbought while if it reaches -2 is oversold. However just because it's hitting an extreme in one particular average doesn't necessarily mean it will reverse as the position of price in relation with the next longer average might not be so out of range.
Must be attached to weekly chart.
If you have any questions/suggestions, feel free to add them in the comments below
COT extremes indexCalculates the difference between net of noncommercials and net of commercials.
Difference = (net of noncommercials) - (net of commercials).
The extreme reading in one end or another may indicate the possible change of trend.
Based on Tradingview COT sample script and Babypips formula.
Works on daily timeframe.
