I just read the The Commitments of Traders Bible: How To Profit from Insider Market Intelligence by Stephen E. Briese.
It was great and introduced me to the C.O.T index and how to calculate it but I couldn't figure out how to calculate C.O.T movement index using the C.O.T index. Can anyone here show me how to?
A google search provides the following
The COT Index highlights extremes in trader net positions. The rate of change of the COT Index or COT Movement Index is simply the difference between the COT Index and its reading of one or several weeks prior. The Movement Index marks three intermediate reaction highs (arrows), which initially provided excellent reselling points and subsequently became ideal levels for trailing stop losses.
Quote from Wiley Online Library
So there is a choice of how many weeks 'n' back in time you compare with. I would suggest some back testing of this with varying values of 'n', to determine if what n gives you the best reaction for your market.
One claim to fame of Larry Williams is the Williams %R Indicator. In reality, it's the inverse of George Lane's Stochastic Indicator so he didn't really invent anything at all with this indicator.
Larry Williams also wrote a book about the COT Report. Out of curiosity, I took a quick look and found this explanation:
https://freecotdata.com/how-to-use/
It looks like a variation of the %R Indicator, adjusted for Open Interest. Beyond that, I have no clue nor am I going to research this for you. And unfortunately, this is probably going to be the best answer your receive since it's likely to be the only answer :->)
Marcus is correct. I simply want to add that in Briese's book he specifies that he uses a value of 6 weeks (this from memory reading the book some years ago). I tested this against the COT Charts found on Briese's website and this confirms my memory.
COT_Index(movement) = COT_Index(current) - COT_Index(-6 weeks)
Briese simply highlights the -+40 moves as crimson red. Here is a link to the Australian dollar chart on his site.
