COT Report Analysis - a thread on market sentiment

Hi Rookie,

very nich post. I have two questions which I did not exactly get:

  1. you pointed out at the time of the reversal the highest level of volume (I cannot see that in my charting program) and at the same time you said there was not much volume. Did you look at it wrong or you meant there was not much volume considering extreme levels?
  2. what is the difference between the last two charts? I see you circled the values on the top but I do not get what does that change.

Keep up the great work!

FE

Hi Lagoonboy,

hmmm… I am also a fan of Wikipedia but learning COT from Wikipedia… I do not know. It would be quite bad if after 1 700 posts we would be now learning COT from that site. And BTW I do not know if you are aware that you can yourself change the content there.

Rather start your learning here:

Commitment of Traders Report

If you are ready there, then start reading the thread to get a feeling for it. We are helpful here but we cannot repeat every single issue from the past. We have discussed several important issues earlier.

Search for Larry Williams and Stephen Briese for COT books. They should do the work.

You can download the weekly COT Report here:

Commitments of Traders - CFTC

These sources should keep you busy for at least a couple of weeks if not even for several months! Without some knowledge it is hard to take part in the discussions. I would suggest going through the steps I suggested. It takes time but you always have to invest time into something if you want to reach high quality.

It might be good to make the guide you said for newbies. But please do that discussion in the Newbie Island, that is why it is there. Good luck with that journey.

Also there are threads on Babypips.com what is legal and what is not. Frankly, I have no idea and at this moment I also do not want to be involved in it. I am only interested about regulations where I live, I am not interested to know regulations in the whole world. Please check that part in other threads, for sure you will get help there.

You also asked about technical parts of trading. That is again, another segment, does not have to do with this thread. You find hundreds of books about it, the internet has thousands of websites and Babypips school addresses the issue, just like many forum thread here:

The Analyst Arena

I hope I could help,

FE

Mike, Philip, rookie, BB,

I think we are on the right path again. Great quality and topic related posts. BB shares us great information tomorrow and we can all make better analysis.

Mike, I have seen a mistake I think in your very great chart (I found it really really useful). Please look at the strength ranking. It does not work in the way you wrote it as the USD is sometimes the base currency and sometimes the countercurrency. We should not forget that. Besides that, I find it really good.

FE

Thanks for sharing GBPNZD setup and highlighting technical areas where you’d go long and TP Philip.

I might want to try this out if this turns to my /pounds/ favor


Since Carney is concerned about eurozone’s “Germany” growth - UKs biggest trading partner these numbers might create some moves hopefully in the favor of pound. Carneys speech alone might not be enough to send pound to one direction.


PS: No trading on monday for me. No more.

Hi FE,

  1. I meant to say body not volume -
    <— You see the candle has small body and long tail an indication that sellers tried pushing the price further down but wasn’t enough buyers have added long orders overtaking bears /sellers/

  2. Circles on two of VIX weekly chart is MA value , I was comparing the MA value to that of two weeks ago. From what I understood its an indication for a reversal.

Hope that clears any confusion !

Hi guys,

rookie,
ok, thanks, it does make sense how you answered.

Based on what we have learned lately, I also try to plot a possible trade idea. As we (Philip, rookie and me) did not find many trading opportunities based on COT for currencies, I look at another segment.

Nikkei 225 had gained during the whole Asian Session. JPY was beat up in all pairs sinse market open (I actually went short on JPY looking at the gaps and all trades are positive). JPY could not close these gaps. All these brings me to the conclusion to look for short-term long S&P 500 trades today.

Have a nice week and good trading guys!

FE

Hi guys,

as Copper looks like the only interesting Commodity from our COT findings, I found the following article interesting, but it is only for members. If someone (who is obviously registered) could make a print screen and post it here, it would be great.

Chinese Stimulus Fuels Hope for Copper Prices - WSJ - WSJ

BTW, does membership cost money there?

Thanks,
FE

Good morning everybody!

Today, I’m going to show you how I made my database in a few, easy-to-follow steps. You don’t have to be an expert in Microsoft Excel, but some basic knowledge is required.

Template

My template is probably the most important element of my database. Developing it was a pain in the ass, but well worth the time.


I want you to pay attention not to the numbers, but the way the columns are organized. You might experiment with different layouts, but as you soon will see, there is a reason behind my version.

I encourage you to use the same layout as me, at least until you get comfortable using the Excel.

Importing Data

This point, where the element of speed lies. I probably spend about a day to figure out the way to export data from CFTC’s website into my database.

Step 1: Commitments of Traders - CFTC

Step 2: Click on “Historical Compressed”


Step 3: Scroll down until you find either “Futures Only Reports” or “Futures-and-Options Combined Reports”

I prefer to use the latter.


Step 4: Download the Excel format of the years you wish to include in your own database.

Make sure you finished with these steps before moving forward.

Hey guys.
0720.


This is where things gets a little complicated.

Extract the files you downloaded from the CFTC’s website.


It should look like this. This is where the magic comes in. To make sense from all the numbers, you have to know what you are looking for. Let’s assume that we are searching for Silver.

Click on the small Icon that the arrow points at to open a blank sheet.


Go back to the “XLS” sheet.

Press Ctrl+F when you are in the Excel, then type “Silver”. Press “Find Next”.


Voila, we cut through all the c!#p! Hang in there buddy, we are just getting started!

Now, zoom out until you can see the whole year’s data.


Ctrl+C it (you won’t need all the columns, if you copy it to column “T”, you should be fine), then paste it into “Sheet 1”.


What you are staring at is 1 year of data of Silver.

It might seem to be a little complicated, but once you get the hang of it, you should be able to obtain 1 year of data in less than 2 minutes.

Now, open your Template.


Copy

Column A from XLS
to Column A in your Template


Column C from XLS
to Column B in Template


Column H from XLS
to Column C in Template 


Column I + J from XLS
to Column D and E in Template


Column K from XLS
to Column G in Template


Column L + M from XLS
to column H + I in Template 


Column P + Q from XLS
to Column K + L in Template


Hi Balazs,

thanks a lot for your tutorial. It is very valuable, I think I can say it in the name of all of us.

I did the tutorial just like you said. I even chose Silver so I have everywhere the same data as you. We can move further on.

As I do not know if you shared your template earlier, I do share mine what I just made. This way we all have the same, it looks like a perfect copy of your work. WOW. Guys, I cannot upload xls file. If someone has an idea and I share the file.

I have one question until this point:

For currencies the report does look like then for Commodities. For currencies we have commercial, non-commercial and non-reportable categories (like your sheet says) but for commodities we have 1 more group as there is Processor/User, Swap Dealers, Managed Money and Other Reportables. As I see in the excel, there is no difference in commodities and currencies. Still does it not influence the accurate results?

I am waiting for the further steps,

FE

You are probably looking at the Financial Futures. Open up the Futures and Options Combined reports then search for “Yen” for example. You should see the same columns as with Silver for example.


Hi rookie, Mike, Philip, Peter, flows and Balazs,

Lagoonboy raised a very valid question in one of his posts that made me thinking yesterday.

This question was when he asked if he should read the whole thread to get to know the COT Report. Well, as we are getting more and more attention, people start reading our thread in the middle of it and it is almost impossible to read the whole thread and catch up.

For this reason I thought I would take a good example from some other threads here and make a content for our thread. This would mean that I change a bit the very first post in the thread where I inclued a table of content. This is easy to update always as the thread moves forward. Well, now we have 1 700 posts and it is already a big work to read all these posts and choose which were the crucial posts for the COT report. Still, it is easier to do now than when we have 3 000 - 5 000 posts. If we are done, then we can always decide “live” if I should add another post to the table of content later on, that is no problem.

Why do I need you help? If you all help me, we can check about 300 posts/person. This does not take more time than 15-20min/person. If I have to do it alone I will get crazy. If you all contribute it will be easy to do.

What are the important points to make such a table?

  1. You all have to keep in mind to find the important posts, but really the important ones. A table of content for the thread should not have 100 - 150 important posts. I was thinking to have most of 15 posts like that. If in the future we will add extra to it then it will be longer anyway.

  2. Which posts do we need? I think to understand the COT report the following posts were important:

  • my discussion with Peter in the beginning about the COT report. I have to check if there is something I can pick out

  • the Briese and the Williams book description. These books give a summary of the COT report and how it works. Now here the tough part is to post all separated book parts. I though the person who will click through this part of the thread could send me the exact post number where the books are discussed. I will link to the very first post and write in commas all the other post numbers.

  • I started the COT Index discussion project with Philip. He made 1-2 very good explanation how to make the different COT Index steps to set up the indicator. He also does his analysis on COT Index so it would be good to refer to.

  • we definitely have to cover some part of Balazs’s analysis and tutorial. His analysis show for other people what is the goal to reach and where we want to come. His tutorial is also essential to show people how they can make their own database.

Besides these three points I am sure there are at least 5-10 posts which are important. I just remember these three topics that were discussed for a longer period of time in the thread and would be crucial for newcomers.

Okay guys, that is how I see it and how I think we can make it for newcomers clear what COT is about. At this point if someone comes to the thread we have to explain one by one for all people what we are doing here and what is COT report. It does not make much sense to do it like this way.

I ask all 5 of you to give this post a like if you would help me and click through about 300 posts to send find the important posts which you would send me in a private message (do not spam the thread with important post numbers), I can check all those posts. I definitely have to check them as maybe more people would link to similar posts. If I do not get a like, I consider it that you might not have read this post, I send then a private message and if you tell me you are not keen of doing this work, it is ok, then I distribute it between all others. It would be however nice if at least we have 4 out of 6 who is there to make this work. I find it for 3 or less people it too much work. I am sure I can already count on two people (I do not write names) so the question is if everyone participates. [I]I also have to emphasize, as everyone has a lot of things to do, this work does not have a timeline. If you wish to to this with me and some others, just give the like. If you only have time on the weekend, it is ok. If in two weeks, it is also ok. When you do it and give me the post numbers I just add your links to the first page table of content.[/I]

In my first thinking this is how I would distribute the thread:

[B]0-600 posts: Peter and me[/B]: original discussions between us about the books and basic COT information. [I]Also we would do this part as we are basically the two people there from the beginning.[/I]
[B]601-1499: Mike, rookie and Philip[/B]: the books were discussed I think in this part and we made some further development. The COT Index indicator was discussed here which is very important.[I] It is good for you guys to do this part because it is somewhere at that point I think when all 3 of you started working hard on the thread[/I] (although rookie started I think earlier, maybe Mike too)
[B]1501-present: Balazs[/B], as he did some great and complete analysis for COT “products” and he does an important tutorial. [I]Also Balazs would get the last part because he just joined.[/I]

Of course in the above mentioned disdtribution there are not all imporant issues mentioned but I tried to give some first thoughts.

Keep in mind that this kind of work is not only made for others but for ourselves. How often do I read in the thread that we ask the same questions? It is because with the increasing number of posts some crucial posts are lost is impossible to find them.

I am waiting for your answers.

Okay, for those who have gotten this far, it’s time to calculate the Net Positions.


For column F (Circled), type “=D3-E3”. Same goes for each Net Position category. Column J -> =“H3-I3”. Assuming that you have the exact same template as I have.

Once you have the Net Positions typed, simply drag down the formula until the end of the year.


After you completed the step for the three category, calculate the Commercial Net / OI. The formula for column N is J3/C3. We won’t need this calculation directly, but it is necessary, if you want to have the CP/OI Index (Willco)


Drag down the column to have the calculation for the whole year.

Done? Great, you just have your first year in your database! Give yourself a pat on the shoulder :slight_smile:

Now repeat the steps until you have your 4 years of data.

Hi Balazs,

the excel is okay, it works. I just wanted to know how come in one excel these different instruments are all combined although the original COT report does look different for them. At least I work with the Chicago Marcentile Exchange for currencies as it is suggested on the babypips website. And it looks different than the commodities.

As I said, in the excel you provided it is ok, just wanted to understand the thinking behid it.

Keep the tutorial coming when you have the time!

FE

EDIT: during the writing of this post you already made the next step. I start working with it right now.

Think of it as the courtesy of CFTC. Imagine if you had to download the historical data for each instrument one-by-one. They simply put together every instrument being traded on the exchanges and compressed the data so you get the whole package at once.

Hi BB,

ok, thanks I am ready with what you said. You even discussed the basic excel formulas so it should not be difficult to get these points. There is one difference though, for this reason I only made 1 year of data and not 4. In your chart the dates start from the top. I downloaded 2014, but on the top I have the most recent data. This might not be important because we do not care much about the dates but if I put more years in it then it will be a mix. I only know how can I turn a column upside down but do not know how can I do it with the whole excel sheet so all formulas and data will stay on its place and data remains therefore accurate.

Thanks,
FE

PS: maybe a pause would be good so the others also have the time to catch up. Soon if we get to the point where you discuss all different charts then we do not have to ask you all different analysis, only metals. Wow I am already happy for the time when soon we will analyse that way all markets!

No, no, you are actually pointing out a critical point with the report dates. I have 4 years of data because for my COT Index, I use 3 years look back period. I wanted to show you guys how to sort in the correct order the report dates once you have the data period you want.

Ok I will read from post 1199-1499. Now everyone knows which segment I’m reading so we wont do the same work.

One other thing FE, once we give you our recommendations and one of them is put through. Make sure to tell us to rename these posts with the title you gave them in the first page. There were many times when I read a headline, thought it was interesting but couldn’t find the info the headline suggested.