7.1.7CFTC持仓报告指标.doc

7.1.7 CFTC持仓指标使用CFTC持仓报告来识别市场上潜在的反转行情是非常有效的。不过，有一个问题，我们并不能简单的凭借打印出来的CFTC持仓报告来判断，“嘿，看上去市场已经处于极端状况。”确定市场的极端状况是一件困难的事情，因为净多头和净空头并不总是相关的。5年前的极端水平可能并不是今年的极端水平。那么，你应该怎么处理这一问题呢？你想要做的是，创建一个指标，这个指标可以帮助你来衡量市场是否处于极端水平。以下我们将分几步教你如何创建该指数。1、确定你想要涵盖的时间周期。指数中输入的参数越多，我们所获得的市场情绪极端信号越少，但是信号却更为可靠。输入的参数越少，所获得的市场情绪极端信号越多，但是信号的可行度却大打折扣。2、计算出每周大型投机者和商业交易者持仓差这一公式如下：持仓差=大型投机者净头寸-商业交易者净头寸注意，如果大型投机者持有极端多头，这可能意味着商业交易者持有极端空头。那么，计算出来的指数将为正另一方面，如果大型投机者持有极端空头，那么意味着，商业交易者持有极端多头，则计算出来的指数为负值。3、将计算后的数据进行升序排列，从最小的负值一直排到最大的正值4、给最大的值赋值为100，给最小的值赋值为0。现在，我们就有了CFTC持仓指标！这一指数和我们在之前课程中讲过的RSI指标和随机指标非常的类似。一旦我们对每一个计算出来的差值进行赋值，我们将能够发现，输入到该指数的新数据是否处于极端状态，即是否接近0或100。如果CFTC报告显示，市场处于极端状态，那么，它能够向我们发出市场处于顶部或底部的精确信号。Your Very Own COT IndicatorHaving your very own COT indicator is like having your own pony.Using the COT report can be quite useful as a tool in spotting potential reversals in the market.Theres one problem though, we cannot simply look at the absolute figures printed on the COT report and say, Aha, it looks like the market has hit an extreme I will short and buy myself 10,000,000 pairs of socks.Determining extremes can be difficult because the net long and short positions are not all relevant. What may have been an extreme level five years ago may no longer be an extreme level this year. How do you deal with this problem?What you want to do is create an index that will help you gauge whether the markets are at extreme levels. Below is a step-by-step process on how to create this index.Decide how long of a period we want to cover. The more values we input into the index, the less sentiment extreme signals we will receive, but the more reliable it will be. Having less input values will result in more signals, although it might lead to more false positives. Calculate the difference between the positions of large speculators and commercial traders for each week. The formula for calculating this difference is:Difference = Net position of Large Speculators Net position of CommercialsTake note that if large speculators are extremely long, this would imply that commercial traders are extremely short. This would result in a positive figure.On the other hand, if large speculators are extremely short, that would mean that commercial traders are extremely long and this would result in a negative figure.Rank these results in ascending order, from most negative to most positive. Assign a value of 100 to the largest number and 0 to the smallest figure.And now we have a COT indicator! This is very similar to the RSI and stochastic indicators that weve discussed in earlier lessons.Once we have assigned values to each of the calculated differences, we should be alerted whenever new data inputted into the index shows an extreme 0 or 100. This would indicate that the difference between the positions of the two groups is largest, and that a reversal may be imminent.Remember, we are interested in knowing whether the trend is going to continue or if it is going to end. If the COT report reveals that the markets are at extreme levels, it would help pinpoint those tops and bottoms that we all love so much.We dug around the forums and found this little gold n