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The ongoing futures prices are from other sources (eg: Quandl.com ) and are the closing prices of the day. "The data from the Commitments of Traders Reports (CoT ) are downloaded from the server of the US COMMODITY FUTURE TRADING COMMISSION (CFTC) every Friday shortly after publication and read into our own database.
The CoT Index represents the current net position of a market participant in relation to the highs and lows within a freely selectable period. The default setting was 156 weeks (about 3 years). However, this should be adapted to the own trade and the selected future.
The Williams Commercial Index puts the net position of a market participant initially in relation to the total open interest at the time of the respective net position. This data is then in accordance with the CoT index set in relation to the highs and lows within a freely selectable period. The default setting is 26 weeks. This corresponds to the period proposed in the books of Larry Williams.
The basis of the calculation are the continuous futures prices (front month). Missing days and weekends courses have been calculated to avoid overweighting the years of missing the corresponding day. The chart represents the average of all days in relation to the last year's closing price.
More detailed information on the Commitment of Traders (CoT) data, e.g. the market participants (commercials, large speculators, small speculators, etc.) and the indicators can be found on our information page: