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 or MQL4 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. This path is obviously because I use InterbankFX. Depending on your broker this path may be different.
You first must unzip the file that you downloaded. You can do this with any “zip” software. Once you extract 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.
Due to the fact that this is a stripped down version of my EA that I use to trade live it is programmed as an EA or expert advisor. I realize it should technically be an indicator and I will reprogram it when I get the opportunity. Also, if you are testing this out on the weekend it is not going to work. It only generates numbers “on tick”, so if the market is closed it is not going to do anything.
Update:
I have reprogrammed this EA as an indicator so that it does not have to be loaded as an EA. You can download the updated version here. Save to C:\Program Files (x86)\Interbank FX Trader 4\experts\indicators\
Update 2:
I have recently been asked for an example CSV file. Here it is – http://www.jeremywhittaker.com/wp-content/uploads/2010/03/annual.xls.csv The original source file I created this from is here – http://www.cftc.gov/MarketReports/files/dea/history/dea_fut_xls_2011.zip
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good
amazing stuff. Thanks!
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?
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?
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
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
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.
hi Jeremy
you can download the meta platform and open the demo account from this link
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
Hi Jeremy,
I like the idea of this indicator, however, I cannot get it to work.
open interest, commercials, non commercials all zero on my charts-hope you can help.
regards victor
This EA has been updated as an indicator. For anyone who is interested in downloading the latest version.
This is a very interesting indicator. I downloaded and installed it on the weekend, so I won’t know if it works till Monday. good work by the way.
By looking at the numbers on your chart, how do I know if this would be a good time to buy or sell?
I downloaded the new COT report, saved it as annual.xls.csv and put it in the files folder, but everything reads 0. What am I doing wrong?
You download the file and it’s named annual.xls. You have to actually have to open in Excel. Then go to file save as and select csv as the filetype. Then name the file annual.xls.csv. is that what you are doing?
Yes, I opened it in excel and saved it as csv first.
Can you confirm that you are using one of these currency pairs?
AUDUSD
USDCAD
USDCHF
EURUSD
GBPUSD
NZDUSD
USDJPY
Yes, actually I had it on all the pairs. I have since deleted all but EUR/USD, but it still doesnt’ show anything but zero’s. Another thing i noticed is that your indicator shows up, but when the price moves, it disappears. I don’t know if this has anything to do with it, but I am using Excel 2007 and when I save the file, it says some characteristics of the file will not be saved.
I got it figured out. I was renaming the annual.xls file as a csv file when it was already saved as csv and ended up with “annual.xls.csv.csv. My bad… The problem with the display disappearing when there is a price change is still there though.
Jeremy,
How do you actually use the indicator to trade? Do you go short if you have say 70% of non-commercial holding long positions? Do you have any parameters?
Thanks in advanced.
Andrew,
Unfortunately I’m not a CFA so I’m not allowed to give advice on specific trades. What I would recommend is to look at the data historically and see how it coincides with the actual price movement of the currency pairs.
The way I tested the data was plug all the historical numbers into Metatrader and told it go long if commercial was above 50 then go short if it was below 50. I did this for all the different reports, reportable, commercial, and non-commercial. So this is one way I tested.
The second method I use is more of an overbought/oversold test. If the positions were greater than 70 go short. If the positions were less than 30 go long. You could also try to switch this. If the positions are greater than 70 go long and less than 30 go short.
There are a lot of different ways to trade the COT reports. One thing I can say is do your own tests and come up with your own validations. Most people out there in the Forex world simply relay what they heard from someone else. Which 75% of the time it’s completely loaded.
Disclaimer: All of my advice is on a hypothetical basis and when I refer to Forex and currencies I am referring to a non-existent fictitious market.
Thank you Jeremy. I get the idea.
BTW, love your disclaimers
Hello Jeremy, could you upload sample annual.xls.csv file on your site, because I have a lot of problem to run your indicator or EA cause this file. I have Excel2007 and probably there is some problem to export it to properly csv format (I’ve got only 0 values and no error alerts). Best Regards.
I’ve gone ahead and updated the post with links to the CSV file.
Thank you. Now it’s working fine. This is Office2007 problem as I thought.
Hi Jeremy,
From your detailed instructions I was able to get the indicator working on my MT$ platform. Excuse me for being ignorant,as I have never used this indicator before. I have an idea what I am looking at. I believe that I am most interested in what the NonCommercial action is as I believe these are the big players. What I am not sure of is what direction they are looking to or are trading at. I could look at my higher time period charts and this could tell me. Can you make any clarification on this?
I will not be popular with what I say… but how to read Your indi ?
any help ? website or forum with instruction ?
( Pls help.
I still dont see any point how to utilize it to trading
I know COT methodology, but Your indi chart doesnt speak to me at all
Thank You in advance.
Ok I got Your answer above mine.
Apologize and thank You for Your kindess. God bless Your trading. There is also an excellent trading manual By Frank Paul about COT.
I have at least one problem
unsolved.
They changed their website. I actually opened this one with Historical Compressed:
http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm
is that correct ?
Pls help.
BUT which one should I download ? I assume Deaggregated cause there is DEA word in Your source file. When I change to CSV – I see only numbers with Your sample file, but NO histogram. How to change it ? which file to choose ?
Thank You in advance.
The one I use is here – http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm
Use the one labeled Excel under 2012
Youre gonna have to open it in excel and save it as a csv file.