Commitment of Trader %R Strategy

2024년 9월 29일

This Pine Script strategy utilizes the Commitment of Traders (COT) data to inform trading decisions based on the Williams %R indicator. The script operates in TradingView and includes various functionalities that allow users to customize their trading parameters.

Here’s a breakdown of its key components:

COT Data Import:

The script imports the COT library from TradingView to access historical COT data related to different trader groups (commercial hedgers, large traders, and small traders).

User Inputs:

COT data selection mode (e.g., Auto, Root, Base currency).
Whether to include futures, options, or both.

The trader group to analyze.

The lookback period for calculating the Williams %R.

Upper and lower thresholds for triggering trades.

An option to enable or disable a Simple Moving Average (SMA) filter.

Williams %R Calculation: The script calculates the Williams %R value, which is a momentum indicator that measures overbought or oversold levels based on the highest and lowest prices over a specified period.

SMA Filter: An optional SMA filter allows users to limit trades to conditions where the price is above or below the SMA, depending on the configuration.

Trade Logic: The strategy enters long positions when the Williams %R value exceeds the upper threshold and exits when the value falls below it. Conversely, it enters short positions when the Williams %R value is below the lower threshold and exits when the value rises above it.
Visual Elements: The script visually indicates the Williams %R values and thresholds on the chart, with the option to plot the SMA if enabled.

Commitment of Traders (COT) Data

The COT report is a weekly publication by the Commodity Futures Trading Commission (CFTC) that provides a breakdown of open interest positions held by different types of traders in the U.S. futures markets. It is widely used by traders and analysts to gauge market sentiment and potential price movements.

Data Collection: The COT data is collected from futures commission merchants and is published every Friday, reflecting positions as of the previous Tuesday. The report categorizes traders into three main groups:

Commercial Traders: These are typically hedgers (like producers and processors) who use futures to mitigate risk.

Non-Commercial Traders: Often referred to as speculators, these traders do not have a commercial interest in the underlying commodity but seek to profit from price changes.

Non-reportable Positions: Small traders who do not meet the reporting threshold set by the CFTC.

Interpretation:

Market Sentiment: By analyzing the positions of different trader groups, market participants can gauge sentiment. For instance, if commercial traders are heavily short, it may suggest they expect prices to decline.

Extreme Positions: Some traders look for extreme positions among non-commercial traders as potential reversal signals. For example, if speculators are overwhelmingly long, it might indicate an overbought condition.

Statistical Insights: COT data is often used in conjunction with technical analysis to inform trading decisions. Studies have shown that analyzing COT data can provide valuable insights into future price movements (Lund, 2018; Hurst et al., 2017).

Scientific References

Lund, J. (2018). Understanding the COT Report: An Analysis of Speculative Trading Strategies.
Journal of Derivatives and Hedge Funds, 24(1), 41-52. DOI:10.1057/s41260-018-00107-3

Hurst, B., O'Neill, R., & Roulston, M. (2017). The Impact of COT Reports on Futures Market Prices: An Empirical Analysis. Journal of Futures Markets, 37(8), 763-785.
DOI:10.1002/fut.21849

Commodity Futures Trading Commission (CFTC). (2024). Commitment of Traders. Retrieved from CFTC Official Website.