COT Index by cendalc — Indicador por 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.

Script de código aberto

Dentro do verdadeiro espírito TradingView, o autor deste script publicou ele como um script de código aberto, para que os traders possam compreender e checar ele. Um viva ao autor! Você pode usá-lo gratuitamente, mas a reutilização deste código em uma publicação é regida pelas Regras da Casa. Você pode favoritá-lo para usá-lo em um gráfico.

Aviso legal

As informações e publicações não devem ser e não constituem conselhos ou recomendações financeiras, de investimento, de negociação ou de qualquer outro tipo, fornecidas ou endossadas pela TradingView. Leia mais em Termos de uso.

Quer usar esse script no gráfico?

//@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)