Larry Williams COT proxy

[Chazbono68]

Hi all,

I did some digging and found some code online regarding Larry Williams indicators. I am most interested in the COT proxy. But I am not sure how to convert this code to thinkscript.

Larry Commerical Proxy Index
Larry Williams said he even dont need COT report to buil COT index. Here his formula:

MovingAvg(Open-Close, bars used in average)/MovingAvg(Range,bars used in average)*50 +50

 

[DeathFireArt - dag]

Hi all,

I did some digging and found some code online regarding Larry Williams indicators. I am most interested in the COT proxy. But I am not sure how to convert this code to thinkscript.

Larry Commerical Proxy Index
Larry Williams said he even dont need COT report to buil COT index. Here his formula:

MovingAvg(Open-Close, bars used in average)/MovingAvg(Range,bars used in average)*50 +50

Here is my code with auto level for the limits of the COT Index since it varies on every stock. Hope you like it. ;-)

#########################################################
#Created by dag. 05.15.2022
#Version 1.0
#This Script mimics the COT Large Traders Net position

declare lower;
declare hide_on_intraday;


DefineGlobalColor("HeavyBought", color.Green);
DefineGlobalColor("Normal", Color.Gray);
DefineGlobalColor("HeavySelling", Color.Red);



input ManualWeeklyBarsAgo = 8;
input Commodity = {default Stocks, Currencies, Metal, Meats, Softs_Sugar_coffee, Cotton, Grains, DollarIndex, Bonds, Energies, Manual};

def barsAgo; #Williams is using the 13 weeks or 65 Daily for /SI (Silver or /Gold and 90 daysFromDate for Currencies;
def CurrentPeriod = GetAggregationPeriod();

switch (Commodity) {
case Stocks:
barsAgo = 13;
case Currencies:
barsAgo = 26;
case Metal:
barsAgo = 26;
case Meats:
barsAgo = 13;
case Softs_Sugar_coffee:
barsAgo = 13;
case Cotton:
barsAgo = 26;
case Grains:
barsAgo = 26;
case DollarIndex:
barsAgo = 13;
case Bonds:
barsAgo = 52;
case Energies:
barsAgo = 13;
case Manual:
barsAgo = ManualWeeklyBarsAgo;

}

def AggregationPeriod = if getaggregationPeriod() == AggregationPeriod.Month then AggregationPeriod.Month else if getaggregationPeriod() == AggregationPeriod.Week then AggregationPeriod.Week else AggregationPeriod.Week ;


def c = close(period = AggregationPeriod);
def o = open(period = AggregationPeriod);
def h = high(period = AggregationPeriod);
def l = low(period = AggregationPeriod);



#def rangeIBD = if l > h[1] then (c - c[1]) / (h - c[1]) else if h < l[1] then (c - l) / (c[1] - l) else (c - l) / (h - l);
def WilliamsRange = trueRange(h,c,l);


plot COTIndex = Average(o - c, barsAgo) / Average(WilliamsRange, barsAgo) * 50 + 50; # instead you may use *100
COTIndex.SetDefaultColor(Color.RED);


#################### Levels ###########

input IndexColoring = {default AutoLevels, ManualLevels};

Input HeavyBaughtLevelManual= 60;
Input HeavySoldLevelManual = 30;

def BarAgoForLimits = barsAgo;
input levelsMultiplier = 5;
input ShowLevels = yes;




plot UnderV = HeavyBaughtLevelManual;
UnderV.assignValueColor(Color.Green);
UnderV.setHiding(!ShowLevels);

plot OverVal = HeavySoldLevelManual;
OverVal.assignValueColor(Color.Red);
OverVal.setHiding(!ShowLevels);



###### Auto Levels


def HighestHigh = Highest(COTIndex, BarAgoForLimits);
def LowestLow = Lowest(COTIndex, BarAgoForLimits);

def HeavyBuyers = Average(HighestHigh, BarAgoForLimits*levelsMultiplier);
#HeavyBuyers.SetDefaultColor(Color.GREEN);
#HeavyBuyers.sethiding(!ShowLevels);

def HeavySellers = Average(LowestLow, BarAgoForLimits*levelsMultiplier);
#HeavySellers.SetDefaultColor(Color.RED);
#HeavySellers.sethiding(!ShowLevels);




COTIndex.AssignValueColor (if COTIndex >= HeavyBuyers then Color.GREEN else if COTIndex <= HeavySellers then Color.RED else Color.WHITE);

COTIndex.AssignValueColor (if IndexColoring == IndexColoring.AutoLevels then (if COTIndex >= HeavyBuyers then GlobalColor("HeavyBought") else if COTIndex <= HeavySellers then GlobalColor("HeavySelling") else GlobalColor("Normal")) else (if COTIndex >= HeavyBaughtLevelManual then GlobalColor("HeavyBought") else if COTIndex <= HeavySoldLevelManual then GlobalColor("HeavySelling") else GlobalColor("Normal")));

#########################################################

 

[anty]

Awesome. Very much wanted and needed. Thank you!

Any chance that code could be modified for intraday periods?

 

[DeathFireArt - dag]

Awesome. Very much wanted and needed. Thank you!

Any chance that code could be modified for intraday periods?

Here is my code modified for use intraday. However please note that as per L. Williams the COT Proxy Index was designed for Weekly use only and tested by him. Intraday may give you allots of false signals.

Happy Trading ;-)

#########################################################
#Created by dag. 07.06.2022
#Version 1.1 #Added Code for Intraday usage. Suggest using AggregationPeriod.Week as per Williams.
#This Script mimics the COT Large Traders Net position

declare lower;
#declare hide_on_intraday;


DefineGlobalColor("HeavyBought", color.Green);
DefineGlobalColor("Normal", Color.Gray);
DefineGlobalColor("HeavySelling", Color.Red);



input ManualWeeklyBarsAgo = 8;
input Commodity = {default Stocks, Currencies, Metal, Meats, Softs_Sugar_coffee, Cotton, Grains, DollarIndex, Bonds, Energies, Manual};

def barsAgo; #Williams is using the 13 weeks or 65 Daily for /SI (Silver or /Gold and 90 daysFromDate for Currencies;
def CurrentPeriod = GetAggregationPeriod();

switch (Commodity) {
case Stocks:
barsAgo = 13;
case Currencies:
barsAgo = 26;
case Metal:
barsAgo = 26;
case Meats:
barsAgo = 13;
case Softs_Sugar_coffee:
barsAgo = 13;
case Cotton:
barsAgo = 26;
case Grains:
barsAgo = 26;
case DollarIndex:
barsAgo = 13;
case Bonds:
barsAgo = 52;
case Energies:
barsAgo = 13;
case Manual:
barsAgo = ManualWeeklyBarsAgo;

}

input ForIntradayUsePeriod = {default No_DefaultAsPerWilliams, Yes_Auto, Yes_Manual};
input PeriodManual = aggregationPeriod.DAY;

def AggregationPeriod = if ForIntradayUsePeriod == ForIntradayUsePeriod.Yes_Auto then getaggregationPeriod() else if ForIntradayUsePeriod == ForIntradayUsePeriod.Yes_Manual then PeriodManual else if ForIntradayUsePeriod == ForIntradayUsePeriod.No_DefaultAsPerWilliams then (if getaggregationPeriod() == AggregationPeriod.Month then AggregationPeriod.Month else if getaggregationPeriod() == AggregationPeriod.Week then AggregationPeriod.Week else AggregationPeriod.Week) else double.nan ;


def c = close(period = AggregationPeriod);
def o = open(period = AggregationPeriod);
def h = high(period = AggregationPeriod);
def l = low(period = AggregationPeriod);



def WilliamsRange = trueRange(h,c,l);


plot COTIndex = Average(o - c, barsAgo) / Average(WilliamsRange, barsAgo) * 50 + 50; # instead you may use *100


#################### Levels ###########

input IndexColoring = {default AutoLevels, ManualLevels};

Input HeavyBaughtLevelManual= 60;
Input HeavySoldLevelManual = 30;

def BarAgoForLimits = barsAgo;
input levelsMultiplier = 5;
input ShowLevels = yes;




plot UnderV = HeavyBaughtLevelManual;
UnderV.assignValueColor(Color.Green);
UnderV.setHiding(!ShowLevels);

plot OverVal = HeavySoldLevelManual;
OverVal.assignValueColor(Color.Red);
OverVal.setHiding(!ShowLevels);



###### Auto Levels


def HighestHigh = Highest(COTIndex, BarAgoForLimits);
def LowestLow = Lowest(COTIndex, BarAgoForLimits);

def HeavyBuyers = Average(HighestHigh, BarAgoForLimits*levelsMultiplier);
def HeavySellers = Average(LowestLow, BarAgoForLimits*levelsMultiplier);



COTIndex.AssignValueColor (if IndexColoring == IndexColoring.AutoLevels then (if COTIndex >= HeavyBuyers then GlobalColor("HeavyBought") else if COTIndex <= HeavySellers then GlobalColor("HeavySelling") else GlobalColor("Normal")) else (if COTIndex >= HeavyBaughtLevelManual then GlobalColor("HeavyBought") else if COTIndex <= HeavySoldLevelManual then GlobalColor("HeavySelling") else GlobalColor("Normal")));

#########################################################

 

[Trading51]

Here is my code modified for use intraday. However please note that as per L. Williams the COT Proxy Index was designed for Weekly use only and tested by him. Intraday may give you allots of false signals.

Happy Trading ;-)

#########################################################
#Created by dag. 07.06.2022
#Version 1.1 #Added Code for Intraday usage. Suggest using AggregationPeriod.Week as per Williams.
#This Script mimics the COT Large Traders Net position

declare lower;
#declare hide_on_intraday;


DefineGlobalColor("HeavyBought", color.Green);
DefineGlobalColor("Normal", Color.Gray);
DefineGlobalColor("HeavySelling", Color.Red);



input ManualWeeklyBarsAgo = 8;
input Commodity = {default Stocks, Currencies, Metal, Meats, Softs_Sugar_coffee, Cotton, Grains, DollarIndex, Bonds, Energies, Manual};

def barsAgo; #Williams is using the 13 weeks or 65 Daily for /SI (Silver or /Gold and 90 daysFromDate for Currencies;
def CurrentPeriod = GetAggregationPeriod();

switch (Commodity) {
case Stocks:
barsAgo = 13;
case Currencies:
barsAgo = 26;
case Metal:
barsAgo = 26;
case Meats:
barsAgo = 13;
case Softs_Sugar_coffee:
barsAgo = 13;
case Cotton:
barsAgo = 26;
case Grains:
barsAgo = 26;
case DollarIndex:
barsAgo = 13;
case Bonds:
barsAgo = 52;
case Energies:
barsAgo = 13;
case Manual:
barsAgo = ManualWeeklyBarsAgo;

}

input ForIntradayUsePeriod = {default No_DefaultAsPerWilliams, Yes_Auto, Yes_Manual};
input PeriodManual = aggregationPeriod.DAY;

def AggregationPeriod = if ForIntradayUsePeriod == ForIntradayUsePeriod.Yes_Auto then getaggregationPeriod() else if ForIntradayUsePeriod == ForIntradayUsePeriod.Yes_Manual then PeriodManual else if ForIntradayUsePeriod == ForIntradayUsePeriod.No_DefaultAsPerWilliams then (if getaggregationPeriod() == AggregationPeriod.Month then AggregationPeriod.Month else if getaggregationPeriod() == AggregationPeriod.Week then AggregationPeriod.Week else AggregationPeriod.Week) else double.nan ;


def c = close(period = AggregationPeriod);
def o = open(period = AggregationPeriod);
def h = high(period = AggregationPeriod);
def l = low(period = AggregationPeriod);



def WilliamsRange = trueRange(h,c,l);


plot COTIndex = Average(o - c, barsAgo) / Average(WilliamsRange, barsAgo) * 50 + 50; # instead you may use *100


#################### Levels ###########

input IndexColoring = {default AutoLevels, ManualLevels};

Input HeavyBaughtLevelManual= 60;
Input HeavySoldLevelManual = 30;

def BarAgoForLimits = barsAgo;
input levelsMultiplier = 5;
input ShowLevels = yes;




plot UnderV = HeavyBaughtLevelManual;
UnderV.assignValueColor(Color.Green);
UnderV.setHiding(!ShowLevels);

plot OverVal = HeavySoldLevelManual;
OverVal.assignValueColor(Color.Red);
OverVal.setHiding(!ShowLevels);



###### Auto Levels


def HighestHigh = Highest(COTIndex, BarAgoForLimits);
def LowestLow = Lowest(COTIndex, BarAgoForLimits);

def HeavyBuyers = Average(HighestHigh, BarAgoForLimits*levelsMultiplier);
def HeavySellers = Average(LowestLow, BarAgoForLimits*levelsMultiplier);



COTIndex.AssignValueColor (if IndexColoring == IndexColoring.AutoLevels then (if COTIndex >= HeavyBuyers then GlobalColor("HeavyBought") else if COTIndex <= HeavySellers then GlobalColor("HeavySelling") else GlobalColor("Normal")) else (if COTIndex >= HeavyBaughtLevelManual then GlobalColor("HeavyBought") else if COTIndex <= HeavySoldLevelManual then GlobalColor("HeavySelling") else GlobalColor("Normal")));

#########################################################

Thanks a bunch. Is it possible to add futures to this code ?

 

[DeathFireArt - dag]

Thanks a bunch. Is it possible to add futures to this code ?

Just select from the drop-down list what Commodity you are interested in in the properties of the indicator.

 

[Trading51]

Just select from the drop-down list what Commodity you are interested in in the properties of the indicator.

I would like to look at NQ and ES futures could these be added ?

 

[DeathFireArt - dag]

I would like to look at NQ and ES futures could these be added ?

Just for your records, Larry Williams was using the 13 weeks or 65 Daily for /SI (Silver or /Gold) and 90 days for Currencies. Actual the drop-down list is a reference to how many bars ago should count from history for the calculation.

What Larry Williams found to work best was for:
Stocks: 13 weeks or 65 days
Currencies: 26 weeks or 130 days
Metal: 26 weeks or 130 days
Meats: 13 weeks or 65 days
Softs_Sugar_coffee: 13 weeks or 65 days
Cotton: 26 weeks or 130 days
Grains: 26 weeks or 130 days
DollarIndex: 13 weeks or 65 days
Bonds: 52 weeks or 260 days
Energies: 13 weeks or 65 days

So actually instead you can select from commodity properties manual selection and add your preferable "weekly bars ago" on the settings. So as you may see is fully customizable

Hope the above assists you.