Whittaker COT Index Variant-A

If you are a currency trader it can be quite annoying when you cannot access volume data as you can in other markets. This can be instrumental to ones success if your strategy from another insrument outside of Forex requires some type of volume indicator. Although it is not perfect you can use the futures market COT or Commitment of Traders report to gauge this.

Since 2000 the COT reports are released weekly. However, you must keep in mind the reports are released on Friday but reflect data from Tuesday. As the reports are closed off on Tuesday but not published until 3 days later.

When it comes to the COT report there are a few different sections that are valuable:

Commercial: These are organizations that use the futures market to hedge their positions. They are not traders by nature. They only use futures to guarantee their profits for the future.
Non-Commercial: These are the speculators who trade the futures market for a living. They include hedge funds and other individuals who speculate the market and make the requirements that are set by the CFTC.
Reportable: Positions held above specific reporting levels set by the CFTC.
Non-Reportable: These are individuals or organizations who do not meet the minimum requirements set forth by the CFTC to be categorized.
Open Interest: The open interest is the amount of futures or options contracts which are not offset by another transaction.

The Whittaker COT Index Variant-A is an MT4 indicator.  Basically what it will do is go through the data from the COT report and extract the above sections.  It will then as a percentage let you know how many traders are long in each category.

To use this indicator you must visit the CFTC website and weekly download the updated report.  Here is a link to the report that must be downloaded, http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm

Use the image below to make sure you’re downloading the correct link.  Save this file to C:\Program Files (x86)\Interbank FX Trader 4\experts\files.

Once you download this file it must be converted to CSV format for MetaTrader to read it.  You can do this by opening the file located at C:\Program Files (x86)\Interbank FX Trader 4\experts\files\annual.xls with Microsoft Excel.  Once it is open in Excel go to file>save as.  From the save as type window select CSV(Comma Delimited) (*.csv).  You will want to name the file annual.xls.csv  this by default is what Whitaker COT Index will be looking for.

The actual Whittaker COT Index variant-A can be downloaded here. Save the file to C:\Program Files (x86)\Interbank FX Trader 4\experts  Once the file is downloaded simply add it to your chart.

8 Comments for this entry

• 

  lazo

  March 23rd, 2010 on 10:12 am

  good
• 

  C. Lahrs

  March 28th, 2010 on 6:40 am

  amazing stuff. Thanks!
• 

  Eric

  April 1st, 2010 on 10:21 pm

  do I need to make any additional modifications to the csv file? This indicator is grayed out in metatrader and when I do add it, it shows an ‘x’ mark on top right of the chart. what am i doing wrong here?
• 

  Trader

  April 3rd, 2010 on 10:27 am

  the site is changed. http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm. when i click the link to download the file, i get the error: Page not found. Is anyone else getting this error?
• 

  Jeremy Whittaker

  April 4th, 2010 on 10:47 am

  It looks like they updated the location of their historical file. I’ve edited the post to reflect the new location.

  http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm
• 

  iwan

  May 19th, 2010 on 9:44 pm

  thanks for sharing this Jeremy. but i got problem in loading it. Is this COT index only for forex? because I trade in commodity too especially crude oil light sweet.
  would you please helping me? thanks a lot
• 

  Jeremy Whittaker

  May 19th, 2010 on 10:36 pm

  I’m honestly not sure how this would work with other commodities. I wasn’t even aware that you could trade anything other than currencies in Metatrader.
• 

  iwan

  May 20th, 2010 on 8:28 am

  hi Jeremy
  you can download the meta platform and open the demo account from this link
  monex-fx.com/platform/monex4setup.exe
  it has commodities (such as gold,silver,and crude oil light sweet), forex (such as GBPCHF, EURCAD,EURAUD), and index too (Dow Jones, S&P500, and Nasdaq).
  the demo account offers you much more…
  just have a look Jeremy.
  and tell me if you have the solution for my problem.i really want a cot index in my MT4 platform. thanks

3 Trackbacks / Pingbacks for this entry

• COT(Commitment of Traders) report on MT4 - BabyPips.com Forex Forum, March 4th, 2010 on 1:06 pm

  [...] COT(Commitment of Traders) report on MT4 I created an EA for MT4 that you all might find helpful. It will basically print the current COT report data on your MT4 screen. It is completely free but requires you download a file from CFTC website. More information can be found here, Whittaker COT Index Variant-a. [...]

• Tweets that mention Whittaker COT Index Variant-a | Jeremy Whittaker -- Topsy.com, March 28th, 2010 on 6:40 am

  [...] This post was mentioned on Twitter by Christoph Lahrs and Christoph Lahrs, Christoph Lahrs. Christoph Lahrs said: Print the current COT report data on your MT4 s <> http://www.jeremywhittaker.com/2010/03/03/whittaker-cot-index-variant-a/ [...]

• uberVU - social comments, March 29th, 2010 on 2:49 pm

  Social comments and analytics for this post…

  This post was mentioned on Twitter by FXtradingMentor: Print the current COT report data on your MT4 s http://www.jeremywhittaker.com/2010/03/03/whittaker-cot-index-variant-a/...