TradeStation’s COT (Commitment of Traders) Indicator:
TradeStation COT 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.
{ Net positions of various groups of traders from the CFTC's weekly Commitments of Traders report. "Net" positions are calculated by taking the number of contracts that a group of traders is long and subtracting the number of contracts that that group of traders is short.
The user input "FuturesOnly_Or_FuturesAndOptions_1_or_2" determines whether the CFTC's "Futures Only" report is used, or the "Futures and Options" report is used to determine the positions of the various groups of traders. By default, the "Futures Only" report is used.
Plot1: Commercial traders' net position Plot2: Non-commercial traders' net position Plot3: Speculators' net positions, for speculators not of reportable size Plot4: Zero line
If an error occurs retrieving one of the values used by this study, or if the value is not applicable or non-meaningful, a blank cell will be displayed in RadarScreen or in the OptionStation assets pane. In a chart, no value will be plotted until a value is obtained without generating an error when retrieved. }
input: FuturesOnly_Or_FuturesAndOptions_1_or_2( 1 ) ; { set to 1 to use the CFTC's "Futures Only" report, set to 2 (or to any value other than 1) to use the "Futures and Options" report }
if oCommLongErr = fdrOk and oCommShortErr = fdrOk then begin CommNet = CommLong - CommShort ; Print ("CommNet ",commNet); end ;
if oNonCommLongErr = fdrOk and oNonCommShortErr = fdrOk then begin NonCommNet = NonCommLong - NonCommShort ; end ;
if oSpecLongErr = fdrOk and oSpecShortErr = fdrOk then begin SpecNet = SpecLong - SpecShort ; end ; If CommNet < 0 then sellShort tomorrow at open; If CommNet > 0 then buy tomorrow at open;
{ ** Copyright (c) 2001 - 2010 TradeStation Technologies, Inc. All rights reserved. ** ** TradeStation reserves the right to modify or overwrite this analysis technique with each release. ** }
COT Indicator Converted To Strategy
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;
With:
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.
Backtesting with [Trade Station,Python,AmiBroker, Excel]. Intended for informational and educational purposes only!
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Get All Four Books in the Easing Into EasyLanguage Series - The Day Trade Edition is now Available!
Announcement – A Day Trade Edition will be added to my Easing Into EasyLanguage Series this year! This edition will be the fourth installment and will utilize concepts discussed in the Hi-Res and Advanced Topics editions. I will show how to develop and program algorithms that will enter after the open of the day and get out before the market closes. Hence, no overnight exposure. Most examples will be carried out on the mini Dow, Nasdaq, S&P500 and Russel. The programming skills that you will learn can be carried to any market that provides enough bang for the buck to day trade. Look for this edition later this year. But get geared up for it by reading the first three editions in the series now. Get your favorite QUANT the books they need!
The Cover of my latest book. The first in the series.
Hello to All! The Easing Into EasyLanguage Series is now complete with the publication of the Advanced Topics Edition. This series includes three educational editions. Start out with the Foundation Edition. It is designed for the new user of EasyLanguage or for those you would like to have a refresher course. There are 13 tutorials ranging from creating Strategies to PaintBars. Learn how to create your own functions or apply stops and profit objectives. Ever wanted to know how to find an inside day that is also a Narrow Range 7 (NR7?) Now you can, and the best part is you get over 4 HOURS OF VIDEO INSTRUCTION – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Hi-Res Edition Cover
This book is for those that have read the Foundation Edition or have some experience working with EasyLanguage and the various functions that help make a trading decision. This book’s audience will be those programmers that want to take an idea, that requires an observation of intraday market movements to make a trading decision, and program it accurately. If you have programmed daily bar systems, and you want to drill down and add some components that require additional market information (like what came first – the high or the low), then you have come to the right place. If you want to buy and sell short in the same day and use trade management principles such as profit targets and stop losses then The Hi-Res Edition is the book you need. There are two paradigms that EasyLanguage covers: daily and intraday bar programming. It’s the same language, but the move from daily to intraday programming can be quite difficult. Learn all the essentials and shortcuts with this edition. 5 HOURS OF VIDEO INSTRUCTION in this Hi-Res edition – one for each tutorial. All source code is available too, and if you have TradeStation, so are the workspaces. Plus you can always email George for any questions. george.p.pruitt@gmail.com.
Advanced Topics Cover
Advanced Topics (AT) could cover a vast amount of ideas and concepts and be the length of “War and Peace” on steroids. Since this book is part of the series, I wanted to cover a handful of concepts that included the follow programming constructs. Arrays and their manipulation. Buffers (fixed length arrays) and the tools to maintain buffer elements with formulas for extraction and sorting. Finite State Machines using the switch-case construct and range based case values. Using original text graphic objects and retrieving and analyzing their properties to determine X and Y coordinate values of text location. Seasonality: The Ruggiero/Barna Universal Seasonal and the Sheldon Knight Seasonal methods. In AT, you will also find an introduction to EasyLanguage’s Project Concept and the steps to create one by adding/deleting component files. TradeStation now provides access to fundamental data such as Commitment of Traders – learn how to convert the Net Change indicator into a strategy utilizing the FundValue functionality. If you wanted to find out how to merge multiple time frames into a single indicator, you are in luck! Create a MTF indicator for yourself.
Get Day Trading Edition Today!
Day Trading (DT) – This is a surprise installment in my Easing into EasyLanguage Series, as I had only intended on three books. However, I think it will fit well with the other books. Daytrading is a very popular approach as overnight risk is eliminated. Don’t worry there is plenty of risk during the day too! However, it can be very difficult to accurately program a trading idea on higher resolution data such as five- or one-minute bars. Like my other books, there is no “Holy Grail” included. And if you are looking for a book that gets in and out of a trade in a few seconds, this is not the one for you. I discourage trading more than a handful of trades per day – this is best left up to the professionals. But, if you want to learn about volatility-based break outs, pyramiding, scaling out, zone-based trading, accurate trade accounting and having a peek at algorithms that once ruled the systematic daytrading industry, then this is the book for you. A beginner might have a little difficulty in following along with the tutorials. If you have read the first two books (Foundation and Hi-Res) in this series, you are good to go. Or if you have some experience working with EasyLanguage and minute data, you will be OK as well.
Pick up your copies today – e-Book or paperback format – at Amazon.com
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