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.
 

The benefits of using the JAM COT Downloader include:

	All the COT data is downloaded and organised in only a few seconds per week.
	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.
	All three COT reports are included – ‘Futures Only’, ‘Futures & Options’ and the new ‘Commodity Index Traders’ Supplemental report.
	Data is organised in both All-Data-Everywhere (ADE) and standard TradeStation 3rd Party data format.
	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.
	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.
	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.
	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…

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.

TradeStation COT data download

If you need more information then please feel free to contact me.

Purchase JAM COT Downloader