|
PureBytes Links
Trading Reference Links
|
Can someone please help me with indicator formulas for Steve Briese's
COT and Movement Indexes (his book, The Commitments of Traders
Bible). I download my COT data from Shatterfield.com and have two
separate folders that Amibroker accesses for price and COT
data; "C:\Metastock Data" (for pricing data), and "C:\MetaStock
Data\COT" (for the Commitments of Traders data).
I am using the Metastock database plugin, so each folder is updated
whenever I download daily data; weekly COT data from Shatterfield,
and daily price data from Quotes Plus.
I came up with the below formula and it does render a correct COT
Index for one security, Corn; although I would rather it be rendered
as a histogram (on a scale 100% bullish, 0% bearish), and normalized
with the centerline at 50%. Shatterfield's COT data is broken into 3
files for each security; "Corn-C" is the Commercials' open
interest, "Corn-N" is the Non-Commericials' Open Interest, and "Corn-
S" is for Small, nonreportable traders. Hence, three SetForeign's to
plot the COT Index indicator in a single pane.
The problem is that the formula is tied to the one security. I need
to be able to page through my securities and have each one render the
appropriate indicator for that particular security. As it is now,
when I page from Corn, say to Copper, the price information changes
but the COT Index indicator in the bottom pane still shows the Corn
Index indicator.
In other words, how do I formulate the below COT index formula so
that it is global in nature and will reflect each different
Security's price chart with the appropriate underlying COT data? The
hhv/llv lookback is supposed to be 3 years, so I'm not sure "780" is
correct. I assumed 52 weeks per year x 5 trading days a week x 3
years.
SetForeign("CORN-C");
IndexN = (Close - LLV(Close,780))/(HHV(Close,780) - LLV(Close,780))
*100;
Plot(IndexN, "Cot Index (C)", colorRed, styleThick );
SetForeign("CORN-N");
IndexC = (Close - LLV(Close,780))/(HHV(Close,780) - LLV(Close,780))
*100;
Plot(IndexC, "Cot Index (N)", colorBlue, styleThick );
SetForeign("CORN-S");
IndexS = (Close - LLV(Close,780))/(HHV(Close,780) - LLV(Close,780))
*100;
Plot(IndexS, "Cot Index (S)", colorGreen, styleThick );
Then, if you can help me with that, I need a similar formula to chart
Briese's Movement Index, which is nothing more than the "rate of
change of the COT Index." The lookback period on this is supposed to
be 6 weeks. The appropriate Metastock formula (I'm making the switch
to AmiBroker) is:
Weeks:=Input("Weeks",3,1000,156);
Com:=Security("C:\MetaStock Data\COT\CORN-C",C);
Non:=Security("C:\MetaStock Data\COT\CORN-N",C);
Sml:=Security("C:\MetaStock Data\COT\CORN-S",C);
ROC(((com-LLV(com,Weeks))/(HHV(com,Weeks)-LLV(com,Weeks))*100),5,$);
ROC(((non-LLV(non,Weeks))/(HHV(non,Weeks)-LLV(non,Weeks))*100),5,$);
ROC(((sml-LLV(sml,Weeks))/(HHV(sml,Weeks)-LLV(sml,Weeks))*100),5,$);
Briese states that the Movement Index is "simply the difference
between the COT Index and its reading of one or several weeks prior.
I use six."
If you can help me with this the pertinent information (a pdf file)
can be found here:
http://markewilson.net2go.com
Thanks,
Mark Wilson
------------------------------------
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|