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The JAM COT Downloader is a TradeStation Add -On that downloads and manages Commitments of Traders (COT) report data, provided by the Commodity Futures Trading Commission (CFTC).
Commitments of Traders reports can be useful to all traders, giving insights into what other traders are doing in the market. But to download and format the COT data every week is very time consuming. The JAM COT Downloader automates this weekly process and makes it as simple as applying an indicator to a chart.
NEWS: On 17 July 2009 TradeStation released their own COT data that comes with the 8.x platform. My first reaction was to retire the JAM COT Downloader . However, there is a problem with the TradeStation COT data, so for traders wishing to use COT data I will continue to sell and support the JAM COT Downloader . TradeStation have dated their COT data by its compilation date, not by its release date. Therefore, any backtesting done with the TradeStation data will be invalid. For those traders interested in the accuracy of their backtests the JAM COT Downloader remains the best solution.
The benefits of using the JAM COT Downloader include:
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All the COT data is downloaded and organised in only a few seconds per week. |
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Written as a TradeStation indicator. The 'look and feel' of the program is the same as you are used to with TradeStation. Just apply the indicator to a chart and everything is done automatically. |
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All three COT reports are included - 'Futures Only', 'Futures & Options' and the new 'Commodity Index Traders' Supplemental report. |
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Data is organised in both All-Data-Everywhere (ADE) and standard TradeStation 3rd Party data format. |
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Date Mapping Technology. The COT reports are dated by their compilation date. But they are not released to the public until several days after this date. The JAM COT Downloader automatically changes the date of the COT data to its release date. |
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Full data histories for all three reports are included. 'Futures Only' data starts in 1986, 'Futures & Options' data starts in 1995, and the 'Supplemental' data starts in 2006. |
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Historic data has been cleaned. The historic data from the CFTC website contains numerous errors. These errors have been corrected so that historic data is as accurate as possible. |
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The package includes a number of example indicators, including Larry Williams' COT Index. |
The JAM COT Downloader is simply a TradeStation Indicator that is applied to a chart once per week. It has the following inputs.
ADEDataFormat_On |
This option formats the COT data into ADE format and saves it to the ADE working directory (C:\ADE\DATA or equivalent), where it can be used by any ADE indicators or strategies. |
TS3rdPartyFormat_On |
This option formats the COT data into TS 3rd Party format and saves it to the TS 3rd Party data directory (C:\TSDATA or equivalent). |
OptionsData_On |
This option downloads the 'Futures & Options' COT report. The data is formatted according to the 'ADEDataFormat' and 'TS3rdPartyFormat' options above. |
SupplementalData_On |
This option downloads the 'Supplemental' COT report. The Supplemental data is formatted according to the 'ADEDataFormat' and 'TS3rdPartyFormat' options above. |
DateMapping_On |
This option turns the Date Mapping technology on or off. If it is turned on then any data downloaded will have the date field changed from the 'as of' date to the 'release date'. |
Date Mapping Technology
The COT report data provided by the CFTC is dated as of its compilation date (known as the 'as of' date). But it is not then released until several days later (known as the 'release date'). If you backtest using the 'as of' date you are backtesting with future data, invalidating your backtest results. It is therefore important to make sure you only backtest with the release date. The 'release date' is a variable number of days after the 'as of' date and, unfortunately, the CFTC have not kept records of the actual release dates.
To resolve this issue we have incorporated Date Mapping Technology into the JAM COT Downloader . This changes the date from the 'as of' date to a 'release date'. The Date Mapping Technology incorporates knowledge of the number of business days after the 'as of' date that the report is supposed to be released (this has varied over the years) plus a knowledge of past federal holidays (taken from the JAM Economic Calendar ). Whilst the release dates cannot be guaranteed to be correct, they will be much more accurate than with any other method.
Example Indicators
The charts below show the COT data plotted in TS 3rd-Party format. Each component (Open Interest, Large Long etc) has its own datastream (which are hidden). An indicator combines these datastreams into one display. The chart on the left is for the 'Futures Only' report for the Australian Dollar. The chart on the right is for the 'Supplemental' report for Soybean Oil.
These charts show the COT data plotted with ADE. The chart on the left is for CBOT Wheat from the 'Futures Only' report. It shows each component ( Open Interest, Large Long etc) plotted separately. The chart on the right is for NYMEX Gold from the 'Futures Only' report. The indicator is Larry Williams' COT Index.
Further Reading
Web Links
Commodity Futures Trading Commission COT Site - http://www.cftc.gov/cftc/cftccotreports.htm
Books
Trading Systems and Methods, Third Edition , by Perry J. Kaufmann , p. 344-350
Trade Stocks and Commodities with the Insiders , by Larry Williams
Commitments of Traders: Strategies for Tracking the Market and Trading Profitably , by Floyd Upperman
Magazine Articles
Technical Analysis of Stocks and Commodities
September & October 1996, The COT Index by Scott Barrie
April 2002, The Commitment of Traders Report by Jon Andersen
August 2005, Commitment of Traders Report: Demystified by Jason Braswell
November 2005, The Commitment of Traders Revealed: Floyd Upperman , book review & interview
August 2006, Quick-Scans: Commitment of Traders , book review
October 2006, Watch the Commercials by Sam Bhugaloo
May 2007, Timing The Market With COTs by Alex Roslin
Active Trader
January 2006, Larry Williams looks inside futures , book review & interview
February 2006, Floyd Upperman: Digging into COT Data by David Bukey
The JAM COT Downloader is provided as a DLL and TradeStation function. Both these files are encrypted and licensed to your TradeStation Customer Number .
Please contact me for more information or
Purchase JAM COT Downloader
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