Contents
- General Overview
- Analysis of 'Commitments of Traders' (COT)
- Analysis of 'Disaggregated COT' (D-COT)
- Analysis of 'Traders in Financial Futures' (TFF)
- Analysis of 'Largest Traders' section in COT reports
- Analysis of 'Commodity Index Trader Supplement' (CIT) reports
General Overview
Brief Description
The MetaCOT 2 CFTC ToolBox is a powerful suite of indicators designed for analyzing CFTC reports directly within the MetaTrader platform. This toolkit includes tools for plotting COT, D-COT, TFF, and CIT charts. While the source codes are accessible, utilizing these indicators requires specific libraries, namely the MetaCOT 2 CFTC MT4 ToolBox.
It supports several types of CFTC reports:
- COT - Commitments of Traders: The most comprehensive report type available since 1989, covering a wide range of futures including commodities, currencies, energy, and financial futures.
- D-COT - Disaggregated COT: A detailed version of the COT report, focusing on specific trader groups, available since 2011 for commodities.
- TFF - Traders in Financial Futures: Similar to D-COT but designed for financial futures, categorizing market participants into specific groups.
- CIT - Commodity Index Trader Supplement: Provides insights into index traders' sentiment, including their positions.
- LRGST - Largest Positions: Highlights major market participants' positions relative to open interest, allowing for a more detailed analysis.
For each report type, the toolkit provides indicators including:
- Absolute Position: Displays the absolute positions of market participants.
- Absolute Changes: Shows weekly changes in net positions.
- Netto Positions: Displays net positions of traders.
- Netto Changes: Similar to Absolute Changes but for net positions.
- COT Index: An oscillator indicating overbought and oversold market conditions.
- Willco - Williams Commercial Index: A refined oscillator that accounts for market volume.
- Movement Index: Indicates swift changes in market sentiment.
Installing Libraries and Indicators
To set up the indicators effectively, follow these steps:
- Download the installation tool for CFTC reports: MetaCOT 2 Install CFTC Reports MT4.
- Utilize this tool to install the reports on your computer. Detailed instructions are available in a dedicated blog post.
- Install the data provider: MetaCOT 2 CFTC ToolBox Demo MT4 to access original CFTC data. For full functionality, consider upgrading to the paid version.
- Organize the files as directed in this guide.
- Compile each indicator in MetaEditor by selecting the MetaCOT indicators folder and choosing "Compile".
After compilation, the indicators will be accessible within MetaTrader. You may experience a slight delay in data display, which can be resolved by upgrading to the full version.
Multiple Indicators in One Window
MetaCOT indicators are designed to allow you to display multiple datasets within a single window, enhancing your analytical capabilities. Here’s how you can achieve this:
- Display several indicators in one sub-window of the main chart.
- Use data from each indicator to calculate other standard indicators.
For instance, create two COT indices within one window and calculate a moving average based on one of them:
- Drag and drop the COT-Index indicator onto your gold chart using default parameters.
- Repeat the process to add another COT-Index to the same area, altering the trader group to net positions of unreported traders. Set the 'Mirror mode' to true and choose a green color.
- Next, overlay a standard Moving Average onto the first indicator area. Adjust the properties to apply it to the first indicator's data.
By doing so, you can integrate and analyze various standard indicators using MetaCOT data effectively.
Exporting CFTC Reports to CSV and Excel
The MetaCOT 2 CFTC ToolBox also allows you to export any data from the CFTC reports into CSV format for further analysis in Excel. To do this, follow these steps:
- Run the script “Save the File In Indicators Values” on the relevant chart.
- Select 'COT Index' from the 'Type of CFTC Indicator' parameter, leaving 'Period' unchanged.
- Click 'OK' to generate the CSV file in the specified working directory.
Open Excel, navigate to the Data tab, and use the “From Text” option to import your CSV file, ensuring to specify a semicolon as the column separator.
The exported values should populate correctly in the spreadsheet, allowing for detailed analysis.
For Programmers
All indicators utilize a consistent algorithm involving:
- Filling a structure for data requests.
- Downloading report data via the MetaCOT 2 CFTC ToolBox.
- Calculating indicator values based on the data.
- Synchronizing values with the current chart for display.
An example of implementation can be found in the MetaCOT 2 COT Index code.
Analysis of 'Commitments of Traders' (COT)
MetaCOT 2 COT Absolute Position
This indicator illustrates the dynamics of open positions across different trader groups within the COT report:
- Cumulative Open Interest (Open Interest).
- Long and short positions of non-commercial traders.
- Positions of operators and non-reportable traders.
Key Parameters:
- Source of Report: COT report type (Futures Only or Futures And Options).
- Group of Traders: Participant groups within the report.
Extreme values often indicate potential market reversals, making this indicator valuable for forecasting.
Chart of COT Report: Absolute Positions of Participants
MetaCOT 2 COT Absolute Changes
This indicator tracks changes in the number of contracts held by market participants, derived from COT reports:
Parameters:
- Source of Report: COT report type (Futures Only or Futures And Options).
- Group of Traders: Includes open interest, long and short positions.
- Difference Between Two Reports: Set to calculate differences over specified weeks.
- Type Values: Absolute or percent changes.
Using this indicator alongside others enhances the overall analysis.
Chart of COT Report: Changes in Absolute Positions
MetaCOT 2 COT Netto Position
This indicator displays the net positions of market participants, showing the difference between long and short positions:
- Cumulative Open Interest (Open Interest).
- Net position of non-commercial traders.
- Net position of operators and non-reportable traders.
Extreme values often indicate potential market reversals.
Chart of COT Report: Net Positions of Participants
MetaCOT 2 COT Netto Changes
This indicator tracks changes in net positions, allowing for detailed insights into market dynamics:
- Contract changes can be viewed against any previous date.
- Changes can be displayed as absolute or percentage changes.
Chart of COT Report: Changes in Net Position
MetaCOT 2 COT Index
COT Index provides insights into extreme market conditions, indicating potential reversals:
- Calculated using net trader positions from the COT report.
- Values between 0% to 20% and 80% to 100% indicate overbought and oversold conditions.
Chart of 52-week COT Index, Gold
MetaCOT 2 COT Williams Commercial Index (Willco)
Willco Index offers a more advanced analysis of commercial trader positions:
- Compares extreme values of participant groups to cumulative open interest.
- Indicates potential market reversals similar to COT Index.
Chart of 52-week Willco, Gold
MetaCOT 2 COT Movement Index
Movement Index identifies rapid changes in trader positions, useful for detecting market imbalances:
- Expressed as a percentage between -100% to +100%.
- Signals reversals when exceeding a threshold (default 40%).
Chart of 52-week Movement Index, Gold
Analysis of 'Disaggregated COT' (D-COT) Reports
Explore the D-COT reports with the following indicators:
MetaCOT 2 D-COT Absolute Position
Similar to COT Absolute Position but focuses on specific trader groups:
- Total open interest across market participants.
- Long and short positions of producers, swap dealers, and money managers.
Chart of D-COT Report: Absolute Positions of Participants
MetaCOT 2 D-COT Absolute Changes
This indicator tracks changes in the number of contracts held by participants in D-COT reports:
- Contract changes can be analyzed against previous dates.
- Changes can be displayed as absolute or percentages.
Chart of D-COT Report: Changes in Commitments
MetaCOT 2 D-COT Netto Position
Displays the net positions of market participants in the D-COT report:
- Long and short positions of commercial traders.
Chart of D-COT Report: Net Positions of Participants
MetaCOT 2 D-COT Netto Changes
Tracks changes in net positions, useful for understanding market dynamics:
- Contract changes can be viewed against previous periods.
- Changes can be displayed as absolute or percentages.
Chart of D-COT Report: Changes in Net Positions
Analysis of 'Traders in Financial Futures' (TFF) Reports
Utilize the TFF indicators for insights in financial markets:
MetaCOT 2 TFF Absolute Position
Shows the dynamics of open positions among financial futures participants:
- Total open interest across all market participants.
- Long and short positions of dealers and asset managers.
Chart of TFF Report: Absolute Positions of Dealers
MetaCOT 2 TFF Absolute Changes
Tracks changes in the number of contracts held by market participants:
- Contract changes can be viewed against previous dates.
- Changes can be displayed as absolute or percentages.
Chart of TFF Report: Changes in Commitments
MetaCOT 2 TFF Netto Position
Displays the net positions of market participants in TFF reports:
- Long and short positions across different trader groups.
Chart of TFF Report: Net Positions of Participants
MetaCOT 2 TFF Netto Changes
Tracks changes in net positions of market participants:
- Contract changes can be viewed against previous periods.
- Changes can be displayed as absolute or percentages.
Chart of TFF Report: Changes in Net Positions
MetaCOT 2 TFF Index
Provides insights into extreme market conditions, indicating potential reversals:
- Calculated using net trader positions from the TFF report.
- Values between 0% to 20% and 80% to 100% indicate overbought and oversold conditions.
Chart of 52-week TFF Index, British Pound
MetaCOT 2 TFF Williams Commercial Index (Willco)
Willco Index offers a more advanced analysis of financial trader positions:
- Compares extreme values of participant groups to cumulative open interest.
- Indicates potential market reversals similar to TFF Index.
Chart of TFF Willco (52-weekly, Russian Ruble)
Analysis of 'Largest Traders' Section in COT Reports
MetaCOT 2 L-COT Absolute Position
This indicator shows the positions of major market participants relative to open interest:
- Absolute positions of the four and eight largest traders.
- Net positions of the same groups.
Chart of COT Report: Largest Participants
MetaCOT 2 L-COT Absolute Changes
Tracks changes in the number of contracts held by the largest market participants:
- Contract changes can be viewed against previous reports.
- Changes can be displayed as absolute or percentages.
Chart of COT Report: Changes in Positions of Largest Participants
MetaCOT 2 L-COT Netto Position
Displays net positions of major market participants:
- The absolute and net positions of the four and eight largest traders.
Chart of COT Report: Net Positions of Largest Participants
MetaCOT 2 L-COT Netto Changes
Tracks changes in net positions of large market participants:
- Contract changes can be viewed against previous periods.
- Changes can be displayed as absolute or percentages.
Chart of COT Report: Dynamic of Changes in Netto Position of Largest Participants
MetaCOT 2 L-COT Williams Commercial Index (Willco)
Willco Index compares extreme values of participant groups to cumulative open interest:
- It serves as an oscillator, signaling potential reversals.
Chart of Willco on Largest Participants (52 weekly, Silver)
Analysis of 'Commodity Index Trader Supplement' (CIT) Reports
The CIT report provides enhanced insights into commodity markets:
- Highlights positions of index traders alongside traditional data.
MetaCOT 2 CIT Absolute Position
Displays the dynamics of open positions for index traders:
- Includes both long and short positions.
Chart of CIT Report: Positions of Index Traders
MetaCOT 2 CIT Absolute Changes
Tracks changes in index trader positions:
- Contract changes can be viewed against previous reports.
- Changes can be displayed as absolute or percentages.
Chart of CIT Report: Changes in Positions of Index Traders
MetaCOT 2 CIT Netto Position
Displays the net positions of market participants in CIT reports:
- Highlights long and short positions of index traders.
Chart of CIT Report: Net Positions of Index Traders
MetaCOT 2 CIT Netto Changes
Tracks changes in net positions of market participants:
- Contract changes can be viewed against previous periods.
- Changes can be displayed as absolute or percentages.
Chart of CIT Report: Changes in Net Positions of Index Traders
MetaCOT 2 CIT Index
Calculates the CIT Index similar to the COT Index, providing insights into market extremes:
- Indicates potential reversals based on trader positions.
Chart of 52-week CIT Index, Sugar
MetaCOT 2 CIT Williams Commercial Index (Willco)
Provides insights into index trader positions relative to open interest:
- Indicates potential market reversals similar to CIT Index.
Chart of CIT Willco (52-weekly, Wheat)
MetaCOT 2 CIT Movement Index
Tracks rapid changes in index trader positions, useful for detecting market shifts:
- Displays changes in positions as a histogram.
Chart of CIT Movement Index (52-weekly, Wheat)