TradeStation’s COT (Commitment of Traders) Indicator:
TradeStation now includes the historic COT (Commitment of Traders) report in the form of an indicator.
If you can plot it then you can use it in a Strategy. The following code listing takes the Indicator code and with very few modifications turns it into a trading system.
Line numbers 90 and 91 informs TS to take a long position if the Net Commercial Interests are positive and a short position if the Commercials are negative. I kept the original comments in place in case you wanted to see how the indicator and its associated function calls work. The linchpin of this code lies in the function call FundValue. This function call pulls fundamental data from the data servers and provides it in an easy to use format. Once you have the data you can play all sorts of games with it. This is just a simple system to see if the commercial traders really do know which direction the market is heading.
if you test this strategy on the ES you will notice a downward sloping 45 degree equity curve. This leads me to believe the commercials are trying their best to use the ES futures to hedge other market positions. If you go with the non Commercials you will see a totally different picture. To do this just substitute the following two lines:
If CommNet < 0 then sellShort tomorrow at open;
If CommNet > 0 then buy tomorrow at open;
If NonCommNet < 0 then sellShort tomorrow at open;
If NonCommNet > 0 then buy tomorrow at open;
I said a totally different picture not a great one. Check out if the speculators know better.