Whittaker COT index variant a

I no longer trade using Metatrader. I noticed users kept hitting an invalid link on my website to this search phrase. So the purpose of this post is to catch those invalid links related to Metatrader. I would recommend learning Python and custom developing your algorithms. It will be much more rewarding.

If you are a currency trader it can be quite annoying when you cannot access volume data as you can in other markets. This can be instrumental to ones success if your strategy from another insrument outside of Forex requires some type of volume indicator. Although it is not perfect you can use the futures market COT or Commitment of Traders report to gauge this.

Since 2000 the COT reports are released weekly. However, you must keep in mind the reports are released on Friday but reflect data from Tuesday. As the reports are closed off on Tuesday but not published until 3 days later.

When it comes to the COT report there are a few different sections that are valuable:

Commercial: These are organizations that use the futures market to hedge their positions. They are not traders by nature. They only use futures to guarantee their profits for the future.
Non-Commercial: These are the speculators who trade the futures market for a living. They include hedge funds and other individuals who speculate the market and make the requirements that are set by the CFTC.
Reportable: Positions held above specific reporting levels set by the CFTC.
Non-Reportable: These are individuals or organizations who do not meet the minimum requirements set forth by the CFTC to be categorized.
Open Interest: The open interest is the amount of futures or options contracts which are not offset by another transaction.

The Whittaker COT Index Variant-A is an MT4 or MQL4 indicator. Basically what it will do is go through the data from the COT report and extract the above sections. It will then as a percentage let you know how many traders are long in each category.

To use this indicator you must visit the CFTC website and weekly download the updated report. Here is a link to the report that must be downloaded, http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm

Use the image below to make sure you’re downloading the correct link. Save this file to C:\Program Files (x86)\Interbank FX Trader 4\experts\files. This path is obviously because I use InterbankFX. Depending on your broker this path may be different.

You first must unzip the file that you downloaded. You can do this with any “zip” software. Once you extract this file it must be converted to CSV format for MetaTrader to read it.You can do this by opening the file located at C:\Program Files (x86)\Interbank FX Trader 4\experts\files\annual.xls with Microsoft Excel. Once it is open in Excel go to file>save as. From the save as type window select CSV(Comma Delimited) (*.csv). You will want to name the file annual.xls.csv this by default is what Whitaker COT Index will be looking for.

The actual Whittaker COT Index variant-A can be downloaded here. Save the file to C:\Program Files (x86)\Interbank FX Trader 4\experts Once the file is downloaded simply add it to your chart.

Due to the fact that this is a stripped down version of my EA that I use to trade live it is programmed as an EA or expert advisor. I realize it should technically be an indicator and I will reprogram it when I get the opportunity. Also, if you are testing this out on the weekend it is not going to work. It only generates numbers “on tick”, so if the market is closed it is not going to do anything.

Update:
I have reprogrammed this EA as an indicator so that it does not have to be loaded as an EA. You can download the updated version here. Save to C:\Program Files (x86)\Interbank FX Trader 4\experts\indicators\

Update 2:

The original source file I created this from is here – http://www.cftc.gov/MarketReports/files/dea/history/dea_fut_xls_2011.zip

Attached are zip files I had or that I was working on for Metatrader. I don’t know if they’re up to date, if they work, or support them in any form.

Whittaker COT Index Variant-A

I no longer trade using Metatrader. I noticed users kept hitting an invalid link on my website to this search phrase. So the purpose of this post is to catch those invalid links related to Metatrader. I would recommend learning Python and custom developing your algorithms. It will be much more rewarding.

If you are a currency trader it can be quite annoying when you cannot access volume data as you can in other markets. This can be instrumental to ones success if your strategy from another insrument outside of Forex requires some type of volume indicator. Although it is not perfect you can use the futures market COT or Commitment of Traders report to gauge this.

Since 2000 the COT reports are released weekly. However, you must keep in mind the reports are released on Friday but reflect data from Tuesday. As the reports are closed off on Tuesday but not published until 3 days later.

When it comes to the COT report there are a few different sections that are valuable:

Commercial: These are organizations that use the futures market to hedge their positions. They are not traders by nature. They only use futures to guarantee their profits for the future.
Non-Commercial: These are the speculators who trade the futures market for a living. They include hedge funds and other individuals who speculate the market and make the requirements that are set by the CFTC.
Reportable: Positions held above specific reporting levels set by the CFTC.
Non-Reportable: These are individuals or organizations who do not meet the minimum requirements set forth by the CFTC to be categorized.
Open Interest: The open interest is the amount of futures or options contracts which are not offset by another transaction.

The Whittaker COT Index Variant-A is an MT4 indicator.  Basically what it will do is go through the data from the COT report and extract the above sections.  It will then as a percentage let you know how many traders are long in each category.

To use this indicator you must visit the CFTC website and weekly download the updated report.  Here is a link to the report that must be downloaded, http://www.cftc.gov/MarketReports/CommitmentsofTraders/HistoricalCompressed/index.htm

Use the image below to make sure you’re downloading the correct link.  Save this file to C:\Program Files (x86)\Interbank FX Trader 4\experts\files.

Once you download this file it must be converted to CSV format for MetaTrader to read it.  You can do this by opening the file located at C:\Program Files (x86)\Interbank FX Trader 4\experts\files\annual.xls with Microsoft Excel.  Once it is open in Excel go to file>save as.  From the save as type window select CSV(Comma Delimited) (*.csv).  You will want to name the file annual.xls.csv  this by default is what Whitaker COT Index will be looking for.

The actual Whittaker COT Index variant-A can be downloaded here. Save the file to C:\Program Files (x86)\Interbank FX Trader 4\experts  Once the file is downloaded simply add it to your chart.

Attached are zip files I had or that I was working on for Metatrader. I don’t know if they’re up to date, if they work, or support them in any form.

Setting up MetaTrader for better backtesting quality

I no longer trade using Metatrader. I noticed users kept hitting an invalid link on my website to this search phrase. So the purpose of this post is to catch those invalid links related to Metatrader. I would recommend learning Python and custom developing your algorithms. It will be much more rewarding.

If you’re working with a default installation of MT4 or Metatrader chances are you modeling quality is not very good. I have composed this post to show how I import data into MT4 for better backtesting performance.

First thing you need is high quality historical data in CSV format. I have found Forex Tester to be very beneficial for that, http://www.forextester.com/data/datasources.html.

1. You will want to download the file that pertains to the pair you will be trading.

2. The next step is unzipping the file using a simple Zip program.

3. Before proceeding to import your new data you will want to go ahead and delete all of your old data first. So that you are not mixing the two up. If you are running Windows7 or Windows Vista you have to look in two locations for the .hst files and delete all of them. If however you are running Windows XP you need to only look in one. These locations can vary greatly depending what broker you download your platform from. I use Interbank but you will have to look and mind and figure out where yours are. Or you can just search your entire hard drive for *.hst files.
C:\Program Files (x86)\Interbank FX Trader 4 – B\history
C:\Users\%username%\AppData\Local\VirtualStore\Program Files (x86)\Interbank FX Trader 4 – B\history\IBFX-MT4 Mini-2

4. Now that you have unzipped the files they should be in .CSV format. From here you can now open your Metatrader platform. Then go to tools>options click on the chart tab and change the “max bars in history” and “max bars in chart” to 999999999. Once you close this window Metatrader will adjust to the highest possible setting automatically.

5. You will now want to go to tools>history center. Double click your currency pair that you are trying to import. Then double click on the 1m timeframe underneath it. Now click on the import button. Browse to the location of the .txt file that you extracted in step 2. You may have to change the rows setting to 0. If it works correctly you will be able to see every row from the file that you are importing. Click ok and all of your 1m data is now complete.

6. The next step is to generate your 5m 10m 30m 60m 240m 1440m and 10080m data. This will get all of the commonly used timeframes. You can also do custom ones if you wish.

7. To do this you need to go to navigator from Metatrader terminal. Select the scripts from the navigator window and look for one named “period_converter”.

8. Open a 1m chart of the currency pair that you just imported.

9. Now double click on period_converter

10. It’s going to ask you for an input labeled “ExtPeriodMultiplier”. The default value is 3. Change this to 5 to generate your 5 minute chart data.

11. If you have your terminal window open in Metatrader select the experts tab. You will see something that says period_converter GBPUSDm,M1: 726279 record(s) written. This is how you know it is complete.

12. Double click period converter again. This time select 10 for 10 minute chart. Continue doing steps 10 and 11 until you have created your 5m 10m 30m 60m 240m 1440m and 10080m data. You are now ready to move on to your next currency pair.

Attached are zip files I had or that I was working on for Metatrader. I don’t know if they’re up to date, if they work, or support them in any form.