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Market Sentiment 市场情绪: Page 7 of 9

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How to Create Your Own COT Trading Indicator

My Own COT Indicator

Having your very own COT indicator is like having your own pony.

Using the COT report can be quite useful as a tool for spotting potential reversals in the market.

There’s one problem though, we cannot simply look at the absolute figures printed on the COT report and say, “Aha, it looks like the market has hit an extreme… I will short and buy myself 10,000,000 pairs of socks with my easy profits.”

Determining extremes can be difficult because the net long and short positions are not all relevant. What may have been an extreme level five years ago may no longer be an extreme level this year. How do you deal with this problem?

What you want to do is create an index that will help you gauge whether the markets are at extreme levels. Below is a step-by-step process on how to create this index.

    1. Decide how long of a period we want to cover. The more values we input into the index, the less sentiment extreme signals we will receive, but the more reliable it will be. Having less input values will result in more signals, although it might lead to more false positives.
    2. Calculate the difference between the positions of large speculators and commercial traders for each week.

The formula for calculating this difference is:

Difference = Net position of Large Speculators – Net position of Commercials

Take note that if large speculators are extremely long, this would imply that commercial traders are extremely short. This would result in a positive figure.

On the other hand, if large speculators are extremely short, that would mean that commercial traders are most likely extremely long; this would result in a negative figure.

  1. Rank these results in ascending order, from most negative to most positive.
  2. Assign a value of 100 to the largest number and 0 to the smallest figure.

And now we have a COT indicator! This is very similar to the RSI and stochastic indicators that we’ve discussed in earlier lessons.

Once we have assigned values to each of the calculated differences, we should be alerted whenever new data inputted into the index shows an extreme: 0 or 100. This would indicate that the difference between the positions of the two groups is largest, and that a reversal may be imminent.

Remember, we are interested in knowing whether the trend is going to continue or if it is going to end. If the COT report reveals that the markets are at extreme levels, it would help pinpoint those tops and bottoms that we all love so much.

We dug around the forums and found this little gold nugget for you. Apparently you can download the COT indicator if you’re trading on an MT4 platform and you can find the link in our COT data to indicator forum thread!

你自己专属的COT指标



      

       拥有你自己专属的COT指标,就像你拥有了自己的小马一样。

       使用COT报告是相当有用的工具,它可以用来找出市场潜在的反转迹象。

       但是,还有一个问题,我们不能只是简单地,就看着COT报告上印着的数字,就说:“啊哈,看来市场已经达到了极端 … … 我将做空,并为自己买10,000,000对的短袜子。”

       要精确的判断出,头寸的极端水平是非常困难的,因为净多头和空头头寸的头寸,并不是全部都相互关联的。五年前的一个极端水平,再今年可能已不再是一个极端的水平。你该如何处理这个问题呢?

       你要做的就是创建一个指数,这将有助于你评估,市场是否正处于极端的水平。下面是一个按步就班的过程,教你怎样制作这个指数。

    1.   决定一个我们想要覆盖的周期长度。我们输入到指数的平均值越多,收到的极端情绪信号就越少,
         但它会更可靠。输入较少的平均值将导致更多的信号,但是它也可能导致更多的错误。

    2.   每星期计算大型投机者们,与商业交易者们之间的,头寸差异。

            计算这种差异的公式为:

                  差异=大型投机者们的净头寸 – 商业交易者们的净头寸

             注意,如果大型投机者们在极端做多,这可能意味着,商业交易者们在极端做空。这将产生正数的数字。

             另一方面,如果大型投机者们在极端做空,这可能意味着,商业交易者们在极端的做多,
             而这会导致一个负数的数字。

     3.   把得到的结果按递增的顺序排列,由最小的负数到最大的正数。

     4.   分配数值,由最大的正数100,到最小的负数0。

        现在我们也有了一个COT指标!这和我们曾经在前面讨论过的,RSI或随机指标非常相似。

        一旦我们分配数值0-100给每一个计算出来的差异后,我们应该警惕,只要当新的数据输入时,该指数显示出一个极端的-0或是100。这表明两组别之间的头寸差异已经最大化,反转可能即将发生。

       请记住,我们是对趋势感兴趣,想知道它究竟会继续走下去,或是将要反转。如果COT报告显示出市场在极端的水平,这将有助于我们较精确的找出顶部和底部,我们都爱这么做。