COT Trendfilter + Signals

2024年10月30日

COT Trendfilter + Signals Indicator

Data Processing and Usage: The COT indicator processes Commitments of Traders (COT) data provided by the CFTC. Users can select from various participant groups, including Commercials, Large Speculators, and Small Speculators. However, it is important to note that the signal logic of the indicator is exclusively applicable to the net positions of Commercials. This is because Commercials tend to trade contrarily, meaning their trading decisions often run against the prevailing market trend.

Functionality of the Indicators

1. Cycle COT
The cCOT is an enhanced version of the classic RSI. It incorporates additional smoothing based on market vibrations, along with adaptive upper and lower bands based on cyclical memory. The cCOT uses the current dominant cycle length as input and highlights trading signals when the signal line crosses above or below the adaptive bands. Compared to the standard RSI, the cCOT responds more quickly to market movements.
For detailed information on the cCOT, please refer to Chapter 4 "Fine tuning technical indicators" in the book "Decoding the Hidden Market Rhythm, Part 1" by Lars von Thienen.

2. Adaptive Ultra-Smooth Momentum Indicator
The Adaptive Ultra-Smooth Momentum Indicator (CSI) provides an optimized momentum oscillator based on the current dominant cycle. It addresses three common issues with standard indicators: excessive false signals, signal delay, and the need for length adjustments. The CSI offers adaptive smoothing, zero delay, and accurate detection of turning points.
For further information about the CSI, please refer to Chapter 10 "Cycle Swing Indicator: Trading the swing of the dominant cycle" in the book "Decoding the Hidden Market Rhythm, Part 1" by Lars von Thienen.


Signals and Validation

The indicator generates various trading signals:

cCOT:
A buy signal is indicated by an airplane emoji (🛫), while a sell signal is marked by another airplane emoji (🛬).
COT Momentum:
A buy signal is shown by the symbol “∿” in green, while a sell signal is represented by the same symbol in red.
Standard COT Index (Willco):
A buy signal is depicted by a “B” (in green), while a sell signal is shown by an “S” (in red).
Additionally, the validity of the signals is checked. If a previous signal becomes invalid in the following week, it is marked with a gray “x,” indicating that these signals may not be reliable. Users can also switch between net positions, long, and short to analyze the most relevant data for them.

Background Color

The color in the channel can indicate the strength of the Commercials' long-term trend. A channel background color signals an active long-, short-term trend, while no color suggests that there is no clear long-term trend present.



Strange behavior
When only a sharp spike is displayed and the rest is flat, the length settings of the Cycle Length Index should be increased. This can occur when the length is too short, resulting in an unusual spike to properly generate the channel.

Disclaimer
The use of this indicator and the generated signals is at your own risk. The author assumes no responsibility for trading decisions made based on these signals. Please be aware that trading financial instruments involves risks.

2024年11月25日

版本注释

1. Indicator = Cycle COT Index
2. Indicator = COT Momentum

The weekly fluctuations in COT data can now be analyzed in greater detail using Bollinger Bands. The momentum has been enhanced to visually highlight percentage changes exceeding a specified threshold (e.g., X%) with a blue color for easier interpretation.
Additionally, buy and sell signals derived from the standard COT Index 1 and 2 can now be marked visually, allowing for a more intuitive analysis. Users can leverage extreme values, such as 75 or 25, as well as the upper and lower Bollinger Bands, to identify potential buy or sell opportunities.