COT Filters

COT Info Jun 25, 2023

COT filters allow to customize the elaboration of raw COT-data. For example, to decide the Periods of the Indicators, and whether to apply Moving-Averages in order to smooth lines.

Below, a detailed explanation of each parameter. You can find the same information in the COT charts page, in the (i) info boxes.

Price MA (periods)
- the n°of periods (in weeks) to compute the simple moving average over the price of the instrument.
- Trend is your friend, and Moving Average can be useful to determine it.
- The Moving Average will appear in the same sub-chart of the price.
- Example of Periods: 26w (6 months), 39w (9 months), 52w (1 year).

Years of Seasonality
- the n°of years used to compute Seasonality. To use All-History available for an instrument, leave this field blank.
- it matters only if 'Show Seasonality' is selected from 'Chart Filters'.
- The algorithm computes the 'Detrended Seasonality' with a 'Rolling-Years' method. For example, if 'Years of Seasonality'=5:
  - the seasonality of 2021 will be computed from 2016 to 2020;
  - the seasonality of 2020 with the returns from 2015 to 2019;
  - etc.

COT Report Type
It is a choice between:
- Futures and Options: to see net-positions of operators for both Futures and Option Markets
- Futures only: to see net-positions of operators only for Futures Market
(This parameter is applied to both Legacy and Disaggregated raw-data and oscillators)

COT Measure
It is a choice between:
- Net Position / Open Interest: to see the Net-positions of each group of operators as a percentage of the Open Interest
- Net Position: to see the Net-positions of each group of operators in dollars
(This parameter is applied to both Legacy and Disaggregated raw-data)

COT MA (periods)
- Is the number of periods of a Weekly Moving Average (MA) applied to COT-raw data (not oscillators).
- Moving average is useful to smooth the line, to reduce the noise and see the trend more clearly.
- For example, if 'COT MA'=8 ==> the last data of a COT group (e.g. Non-Commercials) will be the average of the last 8 observations
(This parameter is applied to both Legacy and Disaggregated raw-data)

COT oscillator (periods)
- It is the period, in weeks, used to compute the oscillators.
- For example, if 'COT oscillator'=52 ==> the oscillator will show how the group 'Commercials' is positioned today with respect to the 52 previous weeks.
(This parameter is applied to both Legacy and Disaggregated oscillators)

COT oscillator MA (periods)
- It is the n°of periods (in weeks) to be used to compute the Simple-Moving-Average over the COT oscillator data (e.g. over the Commercials Net-position oscillator).
- For example, if 'COT oscillator MA'=8 ==> the last data of a COT group oscillator will be the average of the last 8 observations
(This parameter is applied to both Legacy and Disaggregated oscillators)