COT Index by cendalc

2016년 7월 26일

Legacy and disaggregated COT index for several commodities I trade:
ZC, ZW, ZS, ZL, ZM, HG, GC, SI, CC, KC, CT, OJ, SB, CL, HO, NG

Available indexes:

• Commercials Index
  
• Large traders Index
  
• Producers Index
  
• Managed Money Index
  

Data is taken from Quandl: quandl.com/data/CFTC

Default week period is 26 except for CC, KC, CT, OJ, SB, CL, HO and NG where it is 13. You can set your own period.

Works correctly on weekly and daily data. Daily length is correctly computed from trade days in weeks.

Displays the previous cot index for the current week if COT report has not yet been published.