COT MCI

27. Nov. 2023

The COT MCI script is a market indicator based on the data from the Commitment of Traders Reports.

Integration of COT Report Data:
The script sources COT data from futures contracts, including:

Treasury Bonds (ZB), Dollar Index (DX), 10-Year Treasury Notes (ZN)
Commodities like Soybeans (ZS), Soy Meal (ZM), Soy Oil (ZL), Corn (ZC), Wheat (ZW), Kansas City Wheat (KE), Pork (HE), Cattle (LE)
Precious Metals such as Gold (GC), Silver (SI), Palladium (PA), Platinum (PL)
Industrial Metals like Copper (HG), Aluminum (AUP), Steel (HRC)
Energy Products like Crude Oil (CL), Heating Oil (HO), Gasoline (RB), Natural Gas (NG), Brent Crude (BB)
Currencies such as AUD (6A), GBP (6B), CAD (6C), EUR (6E), JPY (6J), CHF (6S), NZD (6N), BRL (6L), MXN (6M), RUB (6R), ZAR (6Z)
Others: Sugar (SB), Coffee (KC), Cocoa (CC), Cotton (CT), Ethanol (EH), Rice (ZR), Oats (ZO), Whey (DC), Orange Juice (OJ), Lumber (LBS), Livestock (GF), E-mini S&P 500 (ES), E-mini Russell 2000 (RTY), E-mini Dow Jones (YM), E-mini NASDAQ-100 (NQ), VIX Futures (VX), S&P 500 (SP), DJIA (DJIA)
Cryptocurrencies such as Bitcoin (BTC) and Ethereum (ETH)

Functions and Logic of the Script:
COT Calculation: Determines the net positions for commercial actors and large speculators. Also Available are short and long positions of commercials or large speculators.
Position Change Analysis: Analyzes the percentage changes in net positions and open interest data over a period of 6 weeks (Weekly Chart).

Average Value Calculation: Determines short-term and long-term trend averages.
Trend Analysis: Buy and sell signals (represented in colors) are based on linear regressions and average calculations.

Usage and Application Examples:
Ideal for traders looking for a detailed analysis of market dynamics and position changes in the futures market. Suitable for decision-making in transaction timing and assessing market sentiment.

Usage Notes:
Users should be familiar with the interpretation of COT data and basic concepts of futures trading. Particularly suitable for medium to long-term trading strategies.

11. Feb. 2024

Versionshinweise

Updated the COT data resource due to missing updates from Quandl Nasdaq data