Internal Packages

LocationPoint AddOns

Seasonality AddOns

COT (Commitments of traders)

BRIEF DESCRIPTION OF COT PACKAGE

WARNING! Dear customers, before you start working with the COT workspace and indicators, we ask that you read these instructions thoroughly before modifying any settings.

The COT AddOn is an advanced tool that contains a large number of settings and parameters – incorrect settings made due to “curiosity” may lead to undesired behavior.

IMPORTANT! The COT data appears weekly, which is why it makes sense to display the COT data in weekly charts. A monthy chart can provide an additional longterm overview, the daily chart may be used for timing your market-entry in detail. Using smaller timeframes in combination with the COT indikators may not be very useful.

You are free to carry out any and all changes; however, we recommend that you only touch those setting which you are already familiar with. Since large amounts of data have to be downloaded and processed for the COT indicators, you may have to wait for the indicators to be completely loaded. Please allow your AgenaTrader to fully load the indicators before making any further entries in order to maintain the stability of AgenaTrader.

You can find more detailed information about the COT reports on the CFTC’s website under the following links:

- About the COT Report - Release Schedule of the Reports - Explanatory Notes - Disaggregated Explanatory Notes (Commodities) - Disaggregated Explanatory Notes (Financial)

INSTRUCTIONS FOR PACKAGE INSTALLATION

1. After the purchase, you receive the necessary .atpack file and a download link sent to you by email

   • The COTPackageInstitutional.atpack: this file is the actual package including all components contained within. ATTENTION! If you are using InternetExplorer or MicrosoftEdge, the browserautomatically converts the atpack file to a .zip-file. After the download you therefore have to rename the COTPackageInstitutional..zip to COTPackageInstitutional.atpack!

2. Save the .atpack file on your hard disk.

3. You now need to enter our license for the package in AgenaTrader. For this, click on the symbol with the question mark, select About -> Entering Activation Key, navigate to “COTPackageInstitutional” and enter your activation key that you have received by email. Click on “Activate”. Once you receive the notice that your license has been successfully activated, close this window.

4. Now open Tools -> Packages -> Import Package, read the following backup information and if you have already carried out a backup, click on OK. In the next window, navigate to the storage location of the COTPackageInstitutional.atpack file, click on it and select “Open”. Confirm the Agena restart request with OK so that your AgenaTrader can be restarted.

5. After the restart, the first step is to establish a connection to your futures data feed. To be able to use the COT package, it is necessary that you have a futures data feed.

6. As soon as you have established a connection to your futures data feed, select Main -> Workspace -> Commitment Of Traders Institutional to load the COT workspace. As soon as all charts are completely loaded, the COTPackageInstitutional is fully ready to go.

CONTENT COMMITMENTS OF TRADERS (COT) - ADDON

The Commitments of Traders Report is a valuable report that is made available by the regulatory authority – the CFTC – once a week. The aim of this report is to bring transparency to the trading activities of all market participants.

In this context, there are two types of report: the abridged form, which has been made available to the traders since 1986 (=Legacy-reports), as well as the detailed version, which has been published since 2009 (=Disaggregated-reports). Both reports can be displayed in AgenaTrader and used for semi-automated trading as well as for analyzing and realtime-scanning the markets. The COT report is not only interesting for futures trading, but is also ideally suited for swing-trading with IndexCFDs, CommodityCFDs and Forex

Using AgenaTrader in combination with the new COT AddOn is an extremely efficient way to work with the CFTC data and carry out your analyses. To make trading and analyses using the COT data as simple and intuitive as possible, the COT AddOn contains the following components:

1. Predefined workspace for effective application of the COT indicators

2. COT Legacy indicators:

   • COTReportLegacy

   • COTOpenInterestLegacy

   • COTAggregatedIndexPositionLegacy

   • COTCommercialIndex

3. COT Disaggregated indicators:

   • COTReportDisaggregated

   • COTOpenInterestDisaggregated

   • COTAggregatedIndexPositionDisaggregated

4. Additional COT indicators:

   • COTStockDummy

   • COTLargeTraderActivity

   • MarketValue

5. COT Legacy conditons:

   • CommercialsBuySilentMarket / CommercialsSellExcitedMarket

   • CommercialIndexLong / CommercialIndexShort

6. COT Disaggregated conditions:

   • ProducerGoldenOpportunityLong / ProducerGoldenOpportunityShort

   • DealerTakeTheChanceLong / DealerTakeTheChanceShort

7. Additional conditions:

   • COTStockDummyLong / COTStockDummyShort

   • UnderValuedMarket / OverValuedMarket

8. Predefined trade-setups for the COT conditions

1.1.1. THE COT REPORT ESCORT

The COTReportEscort forms the connecting link between the COT data from the CFTC and your charts. Using this tool, you can carry out assignments for which COT data should be displayed on which chart/instrument.

You can reach the COTReportEscort via Tools->Services->COTReportEscort.

When you open the COTReportEscort, you will find all available COT data listed on the left side. If you now select one of the entries, the assigned instruments will appear in the right-hand window.

In the example below, I would like to have the COT data for the “British pound sterling” future of the CME displayed in the 6B, M6B and GBPUSD charts. To do so, I select the entry British Pound Sterling in the column on the left. In the right-hand column, I now enter the exact symbol name under Symbol, so first “6B”, and then I click “Enter”. If AgenaTrader recognizes the symbol, the correct entry for this instrument should now appear under “Name”. I carry out exactly the same procedure for GBPUSD and the M6B.

With this, the COT mapping for the British pound is fully executed; I confirm with “Apply” and then click “OK” to close the COTReportEscort. When you now open a chart from 6B, M6B or GBPUSD and load a COT indicator, the COT data for the British pound will be read in and displayed after a brief processing time. With the COTReportEscort, you have complete flexibility when it comes to assigning the COT data. You can map the COT data for the corresponding Forex pairs; you can also assign the COT data to CFD values.

1.1.2. THE COT WORKSPACE

Figure 1 - the COT workspace

The following content is predefined in the COT workspace:

2.1 Instrument lists DAX30 & NASDAQ100 including indicators of interest for the stocks. You can pull up these preset indicators to carry out analyses for all asset classes and markets.

The following components are available in the COTStocks-template:

• Weekly chart (main chart):

  • COTStockDummy (yellow)

  • LargeTraderActivity (green)

  • Conditions COTStockDummyLong (StoDL) & COTStockDummyLong (StoDS) are activated in the chart and are displayed with yellow (Long) and blue (Short) arrows.

• Actionbar of the weekly chart

  • EntryEscort „COTSwingWeekly“ Buy/Sell

  • EntryEscort „COTSwingDaily“ Buy/Sell

  • StoDu = COTStockDummy

  • LaTra = LargeTraderActivity

  • MaVal = MarketValue (Gold)

  • StoDL = COTStockDummyLong

  • StoDS = COTStockDummyLong

  • Trenline green

  • Trendline red

  • Rectangle green

  • Rectangle red

• Daily chart (upper right chart)

  • MarketValue

• Monthly chart (lower right chart)

2.2 Instrument list with the most important financial futures: 2.2.1 “FinancialsLegacy” including presets for the COT Legacy indicators.

The following components are available in the COTFinancialsLegacy-template:

• Weekly chart (main chart)

  • COTReportLegacy (absolute values, display: net-positions of the Commercials green, NonCommercials cyan, NonReportables red)

  • COTReportLegacy (absolute values, display of the long-positions cyan & short-positions dark blue of the Commercials

  • COTOpenInterestLegacy (stochastic values, display: total OpenInterest, StochasticPeriod=26)

• Actionbar of the weekly chart

  • EntryEscort „COTSwingWeekly“ Buy/Sell

  • EntryEscort „COTSwingDaily“ Buy/Sell

  • Report = COTReportLegacy

  • OiLeg = OpenInterestLegacy

  • CoInd = CommercialIndex

  • MaVal = MarketValue (DollarIndex)

  • AgLeg = COTAggregatedIndexPositionLegacy

  • CBSM = CommercialsBuySilentMarket

  • CSEM = CommercialsSellExitedMarket

  • CIL = CommercialIndexLong

  • CIS = CommercialIndexShort

  • Trenline green

  • Trendline red

  • Rectangle green

  • Rectangle red

• Daily chart (upper right chart)

  • MarketValue (DollarIndex)

• Monthly chart (lower right chart)

  • COTAggregatedIndexPositionLegacy (Display of the Commercial netpositions in the DowJones, Nasdaq, Russell2000 und SP500)

2.2.2 “FinancialsDisaggregated” including presets for the COTDisaggregated indicators

The following components are available in the COTFinancialsDisaggregated-template:

• Weekly chart (main chart)

  • COTReportDisaggregated (absolute values, display: net-positions of the Dealer green, LeveragedFunds cyan, NonReportables yellow, Others grey, AssetManager red)

  • COTReportDisaggregated (absolute values, display: long-positions light green & Short-Positionen dark green of the Dealer

  • COTOpenInterestLegacy (stochastic values, display: total OpenInterest, StochasticPeriod=26)

  • Conditions DealerTakeTheChanceLong (DTCL) & DealerTakeTheChanceShort (DTCS) are activated in the chart and are displayed with green (long) and red (short) arrows.

• Actionbar of the weekly chart

  • EntryEscort „COTSwingWeekly“ Buy/Sell

  • EntryEscort „COTSwingDaily“ Buy/Sell

  • Report = COTReportDisaggregated

  • OiDis = OpenInterestDisaggregated

  • AgDis = COTAggregatedIndexPositionDisaggregated

  • MaVal = MarketValue (Gold)

  • DTCL = DealerTakeTheChanceLong

  • DTCS = DealerTakeTheChanceShort

  • Trenline green

  • Trendline red

  • Rectangle green

  • Rectangle red

• Daily chart (upper right chart)

  • MarketValue (Gold)

• Monthly chart (lower right chart)

  • COTAggregatedIndexPositionLegacy (display:Commercial net-positionsin the DowJones, Nasdaq, Russell2000 und SP500)

2.3 Instrumenten liste list with the most important commodity futures: 2.3.1 “CommodityLegacy” including presets for the COT Legacy indicators.

• The COTCommoditiesLegacy-template contains the same components as theCOTFinancialLegacy-template, see point 1.3.1).

• The only difference is that the MarketValue is set to: „CompareTo=Gold“

2.3.2 “CommodityDisaggregated” including presets for the COTDisaggregated indicators.

• The COTCommoditiesDisaggregated-template contains the same components as the COTFinancialDisaggregated-template, see point 1.3.2).

• The only difference is that the MarketValue is set to: „CompareTo=Gold“ Furthermore instead of the conditions „DTCL & „DTCS“ the conditions „ProducerGoldenOpportunityLong“ (PGOL) & „ProducerGoldenOpportunityShort“ (PGOS) are activated in the chart and available in the actionbar.

2.4 TabChartgruppen for keeping an overview of the market: 2.4.1 MarketOverviewIndices

• In this section the most important indices are displayed in the 1-minute timeframe as a mountain-chart. With the small “+” button you can add the instruments you want to have in this list. With those charts you will always keep informed about the latest market moves of the major markets.

2.4.2 MarketOverviewCommodities

• In this section the most important commodities are displayed in the 1-minute timeframe as a line-chart. With the small “+” button you can add the instruments you want to have in this list. With those charts you will always keep informed about the latest market moves of the major markets.

2.5 Scanner-Templates with useful info for each asset class

• Following templates are available: COTStocks, COTCurrencies, COT Legacy, COTFinancialsDisaggregated, COTCommoditiesDisaggregated

1.1.3. COT LEGACY INDICATORS

3.1 COTReportLegacy (ReportL)

This indicator is the core element of the COT analysis, with which one can directly display the pure data that the indicator reads from the reports published weekly by the CFTC (www.cftc.gov/CommitmentsofTraders). The published reports can be viewed by every market participant. The legacy data is published in the so called short reports you can find on the CFTC-website. The following parameters are available in the COTReportLegacy:

• Comparative Period: with this setting, you can enter a comparative period with which the stochastic display is calculated (=StochasticPeriod). The system only triggers this parameter when “IndexType = Stochastic” is set.

• CotType: under All/Other/Old, select which contracts should be used for the display; more details are available HERE.

• IndexType: choose between Absolute/Stochastic as to how the values should be outputted.

  • Absolute = the values are outputted in whole numbers, just as they are read out from the reports.

  • Stochastic = the values are outputted and calculated as an oscillator with values between 0-100. With the ComparativePeriod, you can set with which period the Stochastic should be calculated.

• ReportType: under this parameter, you select whether the data from the reports should be read out only for futures, or for futures + options.

• ReturnType:

  • Net: outputs the net position (=LongContracts – ShortContracts) of the selected market participants

  • Long/Short: outputs the long i.e. short contracts of the selected market participants

  • OI: outputs the total OpenInterest of this instrument; for a more precise and advanced display of the OpenInterest, please use the indicator OpenInterestLegacy

• ShowCommercials: select True if you would like to have the data for the Commercials displayed. For detailed information on the definition of which market participants are classified as Commercials, please have a look HERE.

• ShowNonCommercials: select True if you would like to have the data for the NonCommercials displayed. For detailed information on the definition of which market participants are classified as NonCommercials please have a look at the link provided above.

• ShowNonReportables: select True if you would like to have the data for the NonReportables displayed. For detailed information on the definition of which market participants are classified as NonCommercials please have a look at the link provided above.

Figure 2 - COTReportLegacy, IndexType=Absolute, ReturnType=Net

Figure 3 – COTReportLegacy, IndexType=Stochastic, ReturnType=Long

3.1.2 How does one read COT Legacy data?

• The commercials:

The commercials are regarded as the largest (most financially sound) and most informed group of market participants; first and foremost, this means large companies. Among the market participants that are viewed as commercials, in turn, there are 2 groups: i. The producers: these are the market participants that produce a commodity themselves. ii. The processors: this designates the market participants that commercially process a commodity. These two groups have different reasons as to why they take up positions on the financial markets.

To better illustrate this, we will take the gold future as an example; here the producers are gold mine owners, and the processers may be jewelry retailers, for example. We will now assume that the price for a standard gold future contract currently lies at 1,000 USD. Within the next month, the price of the gold contract rises to 1,200 USD. Which position do the commercials assume – and why? Let us first take a look at the producers. The producers themselves possess the commodity that serves as an underlying for the future. The gold mine owner therefore has gold in his possession that he would like to sell; manufacturing costs. By means of the futures market, via the sale of gold contracts, the gold mine owner can secure a price at which he can sell his gold.

The producer sells a gold contract not to speculate on falling prices, but instead in order to secure the price at which he can sell his commodity!

In this concrete example, therefore, the gold price rises by 200 USD; the gold mine owner will sell an increased number of gold contracts, which means that when prices are rising he places himself on the short side. The more the price rises, the more short contracts a producer will take up, since this means that ever better deals will vcome about for the producer.

The producers tend to primarily hold short positions in futures. The procedure taken by the processors is different. When the gold price rises, for the processing jeweler this means that he must buy his required gold at an ever more expensive price. This is why in times of rising commodity prices, processors have only a very low activity level in the futures markets. Now if, for example, the price of the gold future sinks back down to 1,000 USD, then the processors will become active. In order to ensure this now lower gold price for themselves, the processors buy gold contracts; in turn, when the markets are falling, the producers will take almost no action on the financial market. The processors buy gold contracts to secure a current low price of the underlying for themselves; speculative arguments play no role for processors. The processors hold, above all, long positions in futures.

You can see, therefore, that the commercials do not enter into any speculative positions, but instead use the financial markets principally for securing their transactions – i.e. for hedging.

PRINCIPLE When the prices fall, the commercials (processors) buy; when the prices rise, the commercials (producers) sell.

• The non-commercials:

In order to be counted as part of the group of non-commercials, a certain number of contracts must be held, e.g. 250 contracts for ZC (corn); as soon as one holds more than this number of contracts, one is included in this group of market participants. The non-commercials, therefore, are those market participants who are not producers or processors, but who trade with very large amounts of money on the futures market. Included among the non-commercials, above all, are hedge funds, financial institutes such as pension funds and investment banks.

In order to invest such large sums of money in the financial markets, only trading in the trend direction is suitable, which is why the non-commercials are deemed trend followers. The non-commercials tend to be more strongly invested long in futures. This means that the non-commercials buy when the prices are rising and sell when they are falling. The further a trend goes, the larger the positions that the noncommercials accumulate in the trend direction become.

PRINCIPLE The non-commercials are trend followers; the longer a trend runs, the larger the noncommercials’ positions in the trend direction become.

• The non-reportables:

The non-reportables include all traders who are not part of the commercials or noncommercials, meaning especially rivate market participants i.e. smaller funds that lie below the contract limit of the non-commercials.

A statement on the behavior of the non-reportables is as good as impossible, since in this group, a huge variety of traders are going about their business. Trend traders as well as counter-cyclical investors and traders with 1 contract are considered nonreportables just as much as traders with 150 contracts. A global statement about the trading direction of the non-reportables is therefore not possible.

When you analyze the non-reportables, you pay particular attention to extreme values, i.e. long or short positions to an extent that has not been seen for a long time. From these extreme positions, you can conclude that there is an unusual situation present in the market and you can carry out analyses of the other market participants. What can be observed with the non-reportables is that non-reportables often place emotional trades. When a market collapses, the non-reportables sell heavily, which can be considered a panic sell; the same goes for extremely overheated markets, in which the small investors continue to heavily buy.

PRINCIPLE Analyze the market positioning of the non-reportables with a certain amount of skepticism!

3.2 COTOpenInterestLegacy (OiLeg)

The open interest specifies the number of all currently held contracts; a high open interest, therefore, indicates that the market participants have great interest in this value; vice versa, low open interest shows that a value has only few held contracts and therefore little activity from the market participants. There are two options for calculating the OpenInterest:

• CommercialLong + NonCommercialLong + NonCommercialSpread + NonReportableLong = OpenInterest

• CommercialShort + NonCommercialShort + NonCommercialSpread + NonReportableShort = OpenInterest

Since for every long contract, there is also a market participant on the short side, both calculation methods yield exactly the same value. Additional info: with the CFTC, the open interest is not calculated; the CFTC can simply see the open interest by counting all contracts that are open in the market. With known open interest, the NonReportable positions are then calculated, since the following equation must be valid: TotalReportable + NonReportable = OpenInterest. TotalReportable and OpenInterest are known, allowing the NonReportables to be calculated.

The following parameters are available for the OpenInterestLegacy:

• CotType: see 2.1) COTReportLegacy - CotType

• ReportType: see 2.1) COTReportLegacy – ReportType

• StochasticPeriod: see 2.1) COTReportLegacy – ComparativePeriod

• IsNative: outputs the OpenInterest as an absolute number, just as it is read out from the CFTC reports

• IsStochastic: the OpenInterest is outputted and calculated as an oscillator with values between 0-100. With the StochasticPeriod, you can set with which period the Stochastic should be calculated.

• IsCommercialLong/IsCommercialShort: select True if you would like to have the data for the NonCommercials displayed. The outputted values are percentages; if, for example, you set IsCommercialLong=True, the percentage of long positions of the Commercials that make up the total OpenInterest is outputted. A value of 0.5, for example, means that the OpenInterest consists of 50% long positions of the Commercials, which can be considered a very large long position of the Commercials.

• IsNonCommercialLong/IsNonCommercialShort: if you select True, the percentage of NonCommercial long positions i.e. NonCommercial short positions that make up the total OpenInterest is outputted.

• IsNonReportableLong/IsNonReportableShort: if you select True, the percentage of NonReportable long positions i.e. NonReportable short positions that make up the total OpenInterest it outputted.

• IsTotalReportableLong/IsTotalReportableShort: if you select True, the percentage of TotalReportable long positions i.e. TotalReportable short positions that make up the total OpenInterest is outputted. (TotalReportable = Commercials+NonCommercials).

Figure 4 - COTOpenInterestLegacy, above: Show=IsNative, below: Show=IsStochastic

Figure 5 – COTOpenInterestLegacy, above: IsCommercialLong=True, IsNonCommercialLong=True, IsNonReportableShort=True.

below: IsCommercialShort=True, IsNonCommercialShort=True, IsNonReportableShort=True

3.3 COTAggregatedIndexPositionLegacy (AgLeg)

This is a unique indicator with which you can get an overview of the entire American stock market. The indicator works in a very similar way to the normal COTReportLegacy, with the difference that the data is not outputted for a single market, but instead for up to 4 accumulated markets. Available to choose from are the 4 most important American indices, which have a strong influence on global trading every day: DowJones, SP500, Russell2000 and Nasdaq100. You can interpret the indicator data in exactly the same way as the normal COT data, with the difference that you now get an insight as to how the market participants are behaving in the ENTIRE American market. The following parameters are available for the COTAggregatedIndexPositionLegacy:

• Indices:

  • DowJones: select True if the positions of the DowJones should be added to the overall result.

  • Nasdaq100: select True if the positions of the Nasdaq100 should be added to the overall result.

  • Russell2000: select True if the positions of the Russell2000 should be added to the overall result.

  • SP500: select True if the positions of the SP500 should be added to the overall result.

• Positions:

  • Commercials: select True if the positions of the Commercials should be displayed.

  • NonCommercials: select True if the positions of the NonCommercials should be displayed.

  • NonReportables: select True if the positions of the NonReportables should be displayed.

• ReturnType:

  • IndexType: Absolute/Stochastic - see 2.1) COTReportLegacy – IndexType.

  • ShowLongPositions: True shows the long positions of the selected market participants.

  • ShowNetPositions: True shows the net positions of the selected market participants.

  • ShowShortPositions: True shows the short positions of the selected market participants.

Figure 6 – COTAggregatedIndexPositionLegacy, Positions: Commercials=True, ReturnType: ShowNetPositions=True, IndexType=Absolute.

3.4 COTCommercialIndex (CoInd)

The CommercialIndex is a very telling COT indicator. It puts two of the most important COT-parameters in relation to each other – the net position of the commercials to the open interest. These values are normalized and subsequently outputted. A high value of the CommercialIndex shows strong buying behavior of the commercials, whereas a low value shows strong sell pressure from the commercials. The parameters are similarly structured as with the COTReport.

The following parameters are available for the COTCommercialIndex:

• CotType: 2.1) COTReportLegacy - CotType

• ReportType: 2.1) COTReportLegacy - ReportType

• StochasticPeriod: see 2.1) COTReportLegacy – ComparativePeriod

• OpenInterestType: Here you can choose between Native/Stochastic, which determines whether absolute values or the stochastic values of the positions of the commercials should be used for the calculation. The default setting is “Native”; do not change this if you wish to keep the informative value of the indicator.

Figure 7 – COTCommercialIndex, OpenInterestType=Absolute, StochasticPeriod=26

1.1.4. COT DISAGGREGATED INDICATORS

4.1 COTReportDisaggregated (ReportD)

The COTReportDisaggregated accesses the detailed disaggregated reports of the CFTC, which have been published since 2009 and can be regarded as a further development of the legacy reports. The necessity for improvement has resulted in the drastically changing and constantly developing market environment since the introduction of the COT reports in 1986. The market participants are now divided more subtly and are organized into 5 categories. These 5 categories vary according to whether we are dealing with a commodity future or a financial future.

The commodity futures are divided into the following groups:

• Producer/Merchant/Processor/User

• SwapDealers

• ManagedMoney

• Other Reportables

• Nonreportables

• You can find more information about the classification of the commodities HERE

For the financial futures, there are the following groups:

• Dealer/Intermediary

• AssetManager/Institutional

• Leveraged Funds

• Other Reportables

• Nonreportabes

• You can find more information about the classification of the financials HERE

The following parameters are available for the COTReportDisaggregated:

• Categories Commodity/Categories Financial:

  • Select True for the groups that you would like to have displayed in the chart. If you have opened a commodity hart, only settings made under “Categories Commodity” will be taken into account, and vice versa if you have opened a financial chart.

• Database:

  • CotType: see 2.1) COTReportLegacy - CotType

  • IndexType: see 2.1) COTReportLegacy - IndexType

  • ReportType: see 2.1) COTReportLegacy - ReportType

  • StochasticPeriod: see 2.1) COTReportLegacy – ComparativePeriod

• Display:

  • LongPosition: select True to display the long positions of the desired market participants

  • ShortPosition: select True to display the short positions of the desired market participants

  • NetPosition: select True to display the net positions of the desired market participants

Figure 8 – COTReportDisaggregated, IndexType=Absolute

4.1.2 How does one read COT disaggregated data?

• Commodity futures:

For the disaggregated data of the commodity futures, the commercials are divided into the group's producers/merchants/processors/users (hereafter simply referred to as producers) and swap dealers; the swap dealers now form their own group of market participants in order to retain a more detailed division of the data.

Regarded as producers, therefore, are the market participants who produce, process, or package a commodity and who use the futures markets for hedging their activities with this commodity. Producers tend to sell in rising markets and buy in falling markets. Please see section 2.1.1. for detailed explanations of this.

Swap dealers include those market participants who predominantly trade swaps on commodities and who use the futures markets for this as a hedge against the risk of the swap transactions.

Money managers are, amongst others, registered asset managers or also unregistered funds. This group of market participants trades on the futures market in order to invest the managed client money in a profitable manner. The money managers can be found as non-commercials in the legacy data. Money managers are mainly trend followers.

Other reportables are all those traders who exceed the limit of contracts at which one must report to the CFTC, but who cannot, however, be assigned to any of the above-mentioned groups.

Non-reportables have the same interpretation as for the legacy data (see section 2.1.1).

• Financial futures:

Dealer/intermediary: these are the market participants who sell financial products to customers; this includes banks as well as financial institutes that sell securities, swaps and other derivatives. The dealers/intermediaries should, therefore, be interpreted in a similar manner as the producers in the commodities, since these market participants want to sell a product, and can therefore mainly be found on the short side of the market, since they can thereby hedge their risk and can secure the price at which they can sell a financial product in the future. Generally, the dealers/intermediaries can be analyzed along the same lines as the producers i.e. the commercials.

The following categories represent the buy side of the financial futures, i.e. the market participants who buy from the dealers/intermediaries.

Asset manager/institutional: these include institutional investors (pension funds, insurances, portfolio managers of institutional customers). In the legacy data, this group is part of the non-commercials, meaning that we are mainly talking about trend followers.

Leveraged funds: similarly to the money managers in the commodity futures, here we are referring to registered asset managers or also unregistered funds. This group of market participants trades on the futures markets in order to invest the managed client money (of non-institutional clients) in a profitable way. The leveraged funds can be found as non-commercials in the legacy data and similarly are mainly trend followers.

Other reportables are all those traders who exceed the limit of contracts at which one must report to the CFTC, but who cannot, however, be assigned to any of the above-mentioned groups.

Non-reportables have the same interpretation as for the legacy data (see section 2.1.1).

4.2 COTOpenInterestDisaggregated (OiDis)

This indicator corresponds to the mode of operation of the COTOpenInterestLegacy, instead using, however, the more finely broken down data of the disaggregated reports. For the functionality and interpretation of the open interest, please read more under 2.2) COTOpenInterestLegacy. The calculation also occurs analogously to the legacy reports, and since for each long contract, there must also be a market participant on the short side, two calculation methods are possible (here for commodity futures):

• ProducerLong + SwapDealerLong + SwapDealerSpread + ManagedMoneyLong+ManagedMoneySpread + OtherReportablesLong + OtherReportablesSpread + NonReportableLong = OpenInterest

• ProducerShort + SwapDealerShort + SwapDealerSpread + ManagedMoneyShort + ManagedMoneySpread + OtherReportablesShort + OtherReportablesSpread + NonReportableShort = OpenInterest

The following parameters are available for the COTOpenInterestDisaggregated:

• Categories: Commodity

  • OpenInterest_Comm: (=total OpenInterest for Commodities)

    • Absolute: outputs the OpenInterest as an absolute number

    • Stochastic: OpenInterest as an oscillator with values between 0-100

    • None: no output for the OpenInterest

  • %ofOIProd Long/Short/Spread: (=Percent of OpenInterest for Producer Long/Short/Spread – Position) – select True if this value should be displayed. This here is the percentage that the positions of the producers have of the overall OpenInterest. A value of 0.5, for example, means that the producers have built up long positions in the size of 50% of the entire OpenInterest.

  • %ofOISwapDealer Long/Short/Spread: (=Percent of OpenInterest for SwapDealers Long/Short/Spread – Position) – select True if this value should be displayed.

  • %ofOIManagedMoney Long/Short/Spread: (=Percent of OpenInterest for ManagedMoney Long/Short/Spread – Position) – select True if this value should be displayed.

  • %ofOIComOther Long/Short/Spread: (=Percent of OpenInterest for Other Traders in Commodities Long/Short/Spread – Position) – select True if this value should be displayed.

  • %ofOIComNonreportables Long/Short/Spread: (=Percent of OpenInterest for NonReportables in Commodites Long/Short/Spread – Position) – select True if this value should be displayed.

• Categories: Financial

  • All parameters work analogously to the settings under “Categories: Commodity”; the only difference lies in the division into various groups of market participants

• Data base:

  • CotType: see 2.1) COTReportLegacy - CotType

  • ReportType: see 2.1) COTReportLegacy - ReportType

  • StochasticPeriod: see 2.1) COTReportLegacy – ComparativePeriod

Figure 9 – COTOpenInterestDisaggregated, %ofOIAssetManagerLong=True, %ofOIDealerIntermediaryLong=True, %ofOIFinNonreportablesLong=True, %ofOIFinOtherLong, %ofOILeveragedFundsLong

4.3 COTAggregatedIndexPositionDisaggregated (AgDis)

This indicator also works in the same way as the COTAggregatedIndexPositionLegacy; for interpretation and more detailed information, please read more under 2.3) COTAggregatedIndexPositionLegacy. The difference here, in turn, consists in the usage of the detailed disaggregated data for calculating the indicator.

For the COTAggregatedIndexPositionDisaggregated, the following parameters are available:

• AddIndices:

  • DowJones: select True if the positions of the DowJones should be added to the overall result.

  • Nasdaq100: select True if the positions of the Nasdaq100 should be added to the overall result.

  • Russell2000: select True if the positions of the Russell2000 should be added to the overall result.

  • SP500: select True if the positions of the SP500 should be added to the overall result.

• Categories: Financial

  • Here you can only select the categories of the Financials, since this indicator addresses 4 financial markets. However, you can load the indicator in Financials AND Commodities.

  • Select True for the categories for which the positions for the selected markets should be added up and displayed.

• Data base:

  • ReportType: see 2.1) COTReportLegacy - CotType

• Display:

  • LongPosition: select True to display the long positions of the desired market participants

  • ShortPosition: select True to display the short positions of the desired market participants

  • NetPosition: select True to display the net positions of the desired market participants

Figure 10 – COTAggregatedIndexPositionDisaggregated, Display: NetPosition=True

1.1.5. ADDITIONAL COT INDICATORS

5.1 COTStockDummy (StoD)

This indicator attempts to simulate the behavior of the commercials in stock markets using a special algorithm. The values are outputted as Stochastic, meaning that they oscillate between values of 0-100. The interpretation of this indicator is analogous to the interpretation of the commercial data in the standard COT indicators. The output of this indicator should be confirmed with other indicators; you must be aware that we are not talking about real COT data from market participants, but about calculations from the price data. As for the COT data, an analysis in the weekly chart is also recommended for the COTStockDummy.

The following parameters are available for the COTStockDummy:

• ComparativePeriod: input period for the stochastic calculation

• Stochastic: True outputs normalized values (values between 0-100)

• Period: this is a period that is necessary for calculating the data. If you do not have detailed information about how this indicator works, please leave this period on the default setting.

5.2 COTLargeTraderActivity (LaTra)

The COTLargeTraderActivity indicator, like the COTStockDummy, is based not on real COT data, but instead on algorithmically calculated outputs. This indicator attempts to simulate the behavior of the large traders in markets for which no COT data is available. Here, the interpretation takes place analogously to the analysis of the NonCommercials in the standard COT indicators. As with the COTStockDummy, we point out that other indicators should be consulted, since we are not dealing with real COT data.

The following parameters are available for the COTLargeTraderActivity:

• Period: this is a period that is necessary for calculating the data. If you do not have detailed information about how this indicator works, please leave this period on the default setting.

Figure 11 – above: COTStockDummy, Period=26, ComparativePeriod=52, Stochastic=True below: COTLargeTraderActivity, Period=8

5.3 MarketValue (MaVal)

This indicator compares the value of a market with the current price of gold or the dollar index. This means that markets are placed in relation to the gold price or the dollar, whereby over- and undervaluation can be determined very well in instruments. A low MarketValue means that a market is cheap relative to gold/dollar index; vice versa, a higher value means that the market is relatively expensive. In general, commodities should be compared to the gold price, and financials to the dollar index. However, depending on the market environment, it may be useful to deviate from this rule.

The following parameters are available for the MarketValue:

• CompareTo: select Gold/Dollar Index depending on which market the current symbol should be placed in relation to.

• EMA1: this is a period that is necessary for calculating the data. If you do not have detailed information about how this indicator works, please leave this period on the default settings. (Default value = 21)

• EMA2: this is an EMA period that is necessary for calculating the data. If you do not have detailed information about how this indicator works, please leave this period on the standard settings. (Default value = 3)

It is not yet possible to use the MarketValue indicator in the SignalBuilder, since a multi-instrument indicator cannot be depicted there. Since the MarketValue requires the price data from the current chart and also from gold i.e. the dollar index, this is a multi-instrument indicator, which, as mentioned, currently cannot be represented in the SignalBuilder.

Figure 12 – MarketValue, CompareTo=DollarIndex, EMA1=21, EMA2=3

1.1.6. COT LEGACY CONDITIONS

6.1 CommercialBuySilentMarket (CBSM) / CommercialSellExcitedMarket (CSEM)

This condition scans for long signals according to the highs of the Commercial net positions combined with a simultaneous low of the NonCommercial net positions. In order to refine the results, there must be low OpenInterest of all market participants. This means that it looks for a market that the commercials are buying in great measure, while the non-commercials and non-reportables show no interest in this market.

6.2 CommercialIndexLong (CIL) / CommercialIndexShort (CIS)

For this condition, the CommercialIndex and the OpenInterest are used to generate signals. For long signals, there must be an extremely high commercial index, combined with relatively low OpenInterest. The logic behind the signal is the same as for the conditions under 5.1. – we are looking for a market that is currently receiving little attention from the market participants, but is being bought massively by the commercials. The signals partially overlap with the signals from 5.1., but often, however, with the CommercialIndex, these conditions can find signals that would otherwise be overlooked.

1.1.7. COT DISAGGREGATED CONDITIONS

7.1 ProducerGoldenOpportunityLong (PGOL) / ProducerGoldenOpportunityShort (PGOS)

This condition can only be used in commodity values. What is being scanned for here is long signals after an extremely positive net position of the producers; besides that, there must be a positive net position of the swap dealers and a strongly negative net position of the managed money market participants; vice versa for short signals.

7.2 DealerTakeTheChanceLong (DTCL) / DealerTakeTheChanceShort (DTCS)

This condition can only be used in financial values. To create a long signal, there must be a very strong positive net positioning of the dealers. In addition, there should be a strongly negative net positioning of the leveraged funds.

1.1.8. ADDITIONAL CONDITIONS

8.1 COTStockDummyLong (StoDL) / COTStockDummyShort (StoDS)

In the long condition, higher values of the COTStockDummy in combination with low values of the COTLargeTraderActivity are searched for. Since the StockDummy is a synthetic depiction of the commercials, and the LargeTraderActivity can be largely equated to the non-commercial activity in the futures markets, here, again, we are talking about a very classic COT signal: large buying positions of the commercials and large selling positions of the non-commercials offer a long entry; the opposite is true for a short entry.

8.2 UnderValuedMarket / OverValuedMarket

Will be activated as soon as the market value indicator can be depicted in the SignalBuilder; for more details see “4.3. MarketValue”.

1.1.9. PREDEFINED SETUPS

9.1 CotSwingMovement: (for swing-trades with a very tight trailing-stop) InitialStop: PivotFast HardStop: PivotFast SoftStop: BarByBar Targets: NoTarget

9.2 CotSwingTrend: (for swing-trades with a more relaxed trailing-stop) InitialStop: PivotMedium, HardStop: PivotMedium, SoftStop: PivotFast, Targets: NoTarget

Volume Package

BRIEF DESCRIPTION OF VOLUME PACKAGE

WARNING! Dear customers, before you start working with the volume indicators, we request that you study these instructions in detail before you make any potential changes to settings. To be able to use all indicators of the VolumePackage, you need a datafeed which provides tick-data. The speed for tick-data of your datafeed will influence the performance of the VolumePackage-indicators. Your computer should have at least 6GB RAM installed, we recommend 8GB of RAM.

IMPORTANT! The volume indicators contain many settings and parameters where incorrect use or settings made out of “curiosity” can lead to undesired behavior. The indicators are designed so that you can carry out all changes in the indicator settings; however, we strongly recommend that you only touch the parameters of which you are aware of the implications. Wishing you much success in trading with the Volume AddOn.

Your AgenaTrader support team

INSTRUCTIONS FOR PACKAGE IMPORT

1. Enter our license for the package in AgenaTrader. For this, click on the symbol with the question mark in the main menu bar, select About  ‘Entering Activation Key’, navigate to “COTPackageInstitutional” and enter your activation key that you have received by email. Click on “Activate”. Once you receive the notice that your license has been successfully activated, close this window. 2. Next select Tools->Packages->Import package. 3. Navigate to the storage location of the .atpack file of the volume package, which you received by email after the purchase. 4. Click on “Open”. 5. Confirm the prompt to restart AgenaTrader. 6. After restarting, select Main->Workspace->VolumePackage in order to switch to the predefined volume workspace.

1.1.3. THE WORKSPACE

In order to be able to work with the volume indicators as effectively as possible, we have set up a volume workspace for you. The workspace is set up in the standard settings for intraday trading in 5 minutes or 15 minutes, but the volume signals can be used in all timeframes. The workspace aims above all to offer you an idea as to how you can configure your work environment with the volume indicators. The templates for the charts/chart groups/scanner are also delivered with the package; you can then load these in all timeframes that you desire.

The workspace contains the following instrument lists: 3.1. DAX30 15min, Nasdaq100 15min, MajorFutures 15min

• Trading level: 5 minutes

• Signal level: 15 minutes

• Big picture. 1 hour

3.2. DAX30 1hour, Nasdaq100 1hour, MajorFutures 1hour

• Trading level: 15 minutes

• Signal level: 1 hour

• Big picture. 1 day

An action bar containing all volume indicators has been set up so that you can access these with just a click of the mouse. The action bar also contains all eight conditions that come as part ofthe package; by default, these are not activated in the chart in order to protect your PC’s resources. To have a signal displayed, simply click on the desired condition in the action bar. Depending on how wellequipped your PC is, you can also have the conditions loaded in the chart, which would, however, lead to delays and loading times when switching charts or timeframes in less wellequipped PCs. Each ListChartGroup consists of a large main chart (signal level) in which the following indicators/conditions are loaded:

• VolumeSentimentsLong

• VolumeSentimentsShort

• VolumeUpDownRatio (VolumeUDR)

• VolumeKeltnerChannels

The right upper chart in the ListChartGroup contains the trading level; a colume signal occurring in the signal level should be excellently traded in the subordinate trading level. In the trading level, the entry into the market can be sought for and defined using the following loaded indicators:

• VolumeSessionPro

• WyckoffWave

Before you enter into a trade, you should also check the superior timeframe, which is located in the bottom right of the ListChartGroup. For additional orientation, the VolumeZoneOscillator is loaded here, with which extreme points in the chart are meant to be determined in order to support your analysis and check that the superior timeframe is not generating any countersignals. Each of the charts discussed has the prefabricated action bar loaded; in the signal and trading levels, in addition, there are also the two EntryEscort buttons “B” and “S”, with which you can enter the entire order construct including stop and targets for trading the volume signals with just one click. For this, you need the Andromeda version of AgenaTrader to be able to use the AT++ functions.

The settings of this setup look like this:

• InitialStop: BarByBar (3BarsBack)

• HardStop: BarByBar (2BarsBack)

• SoftStop: BarByBar (1BarBack)

• Target: Pivot2Levels

Here, again, we are talking about a suggestion that is supposed to give you an idea of how you could trade the volume signals. Obviously, you can modify and change this setup entirely according to your preferences.

Each ListChartGroup also includes a list containing an AnalyzerColumn column that screens according to the eight volume conditions. For the 15-minute lists, it screens for signals every 15 minutes; in the 1-hour lists, the AnalyzerColumns are set to 1 hour – this means that you no longer miss a single signal and can hand over all the screening work to AgenaTrader. In the volume column in the list, the currently traded volume is displayed, so that you can keep an eye on the instruments with the highest activity at all times.

The futures list also contains a column with the expiry dates of the futures, in which you can always check whether the correct contract date is set for every contract. Below the ListChartGroup, there are also two TickCharts including the TickSpeed indicator, which shows when the market exhibits particularly high activity, which can point to changes in the prevailing market direction. The left of the two tick charts is loaded with the DowJones30 values; the most important futures have been deposited into the right-hand tick chart – you can switch between these very simply by clicking on the descriptions beneath the chart. With this, you always have an overview of the most important markets. To finish off, the last component is the DepthOfMarket window including the Times&Sales list, loaded in the very bottom right of the workspace. Here you can enter any symbol, thereby additionally giving you a precise overview of the processes and the volume on the bid & ask side.

1.1.4. DESCRIPTION OF THE INDICATORS

1.1.4.1. VolumeSessionPro

This indicator is equivalent to the well-known VolumeProfile indicator with a display for a specific time span (session). You can determine the start time and the length of a session however you wish. For each session, the VolumeProfile is then shown. Use this indicator only in timeframes smaller than 1 day; the smaller the timeframe selected, the more detailed the display of the VolumeProfile. The price at which the most volume was traded in the respective session is shown as a red bar. The price area in which, for example, 70% of the trading activity for the respective session tookplace, is colored light blue. You can determine this percentage yourself as you wish under the parameter “ValueArea”.

Furthermore, you have four different options for displaying the volume information:

4.1.1. VOC (Volume on close): Loads the entire volume of a bar at the closing price of this bar – e.g. if a 5-minute bar has a volume of 280 and a range of 1.5 points with a closing price at 1534.25, all 280 volume units are counted at the closing price of 1534.24.

4.1.2. TPO (Time price opportunity): This method does not take the actual traded volume into account, but instead counts an individual volume unit for each price in the traded range of the bar – e.g. if a 5-minute bar has its high at 1534 and its low at 1532.5, then one volume unit is counted for each of the following prices: 1532.50, 1532.75, 1533.0, 1533.25, 1533.50, 1533.75, and 1534.

Figure 1-VolumeSessionPro

4.1.3. VWTPO (Volume weighted time price opportunity): This version distributes the traded volume of a bar across its price range – e.g. if a 5-minute bar exhibits a volume of 280 with a range of 1.5 points, with its high at 1534 and low at 1532.5, then 40 volume units (=280/7) are added to each of the seven prices in this range: 1532.50, 1532.75, 1533.0, 1533.25, 1533.50, 1533.75, and 1534.

4.1.4. VTPO (Volume time price opportunity): Here, the traded volume is added to each price of the range – e.g. if a 5-minute bar has 280 volume units, a range of 1.5 points with a high at 1534 and low at 1532.5, then 280 volume units are added to each of the seven prices of the range:: 1532.50, 1532.75, 1533.0, 1533.25, 1533.50, 1533.75, and 1534.

1.1.4.2. VolumeArea

Similarly, with this indicator you can also have your own volume profiles displayed. Here you can now determine the start and end time completely freely by clicking on your desired position. There are no restrictions as to where the calculation should start and end. In the upper right corner you have the setting options with which you can switch between the profile types (for a description of these, read more under VolumeSessionPro). With a click on the little red “+” under the profile settings, you can add a further volume profile to your chart; you do so by once again determining the start and end time by left-clicking. The settings and the display of the indicator are exactly equivalent to the VolumeSessionPro: via ProfileType you select which calculation method should be used; via ValueArea you determine the percentage for what portion of the volume area should be colored with the highest activity.

Figure 2-VolumeArea

The most effective way of working with the VolumeArea is to place this indicator in the action bar and assign it a hot key. In this way, if necessary, the indicator can be quickly called up and you can specify the desired volume area.

1.1.4.3. KlingerVolumeOscillator

The KlingerVolumeOscillator is a technical indicator that was developed by Stephen Klinger in order to determine long-term trends of the money flow. At the same time, the indicator is sensitive enough to also identify short-term fluctuations, thereby giving the trader the possibility to detect even short-term reversals in the market. The indicator compares the influent and effluent volume of an instrument with its price movements, and is outputted as an oscillator. A signal line (13-period moving average) is used for generating signals. Divergences in the KlingerVolumeOscillator in comparison to the price movement can also be used for entry and exit decisions. A bullish signal is formed when the KlingerVolumeOscillator start to rise while the price continues to fall; the opposite goes for a bearish signal.

Figure 3-KlingerVolumeOscillator

1.1.4.4. VolumeKeltnerChannels

The VolumeKeltnerChannels are a great tool to determine very high or very low volume in comparison to past periods. Beginning with an upper Keltner channel line calculated with volume data, this line is shifted ever further upwards or downwards using special multipliers. Volume that is higher than the highest Keltner channel line can be interpreted as extremely high volume that shows that huge numbers of trades have been carried out in the current price period and that an unusually large number of traders are buying or selling positions at the current price level.

Figure 4-VolumeKeltnerChannels

On the other hand, a volume smaller than the lowest Keltner channel line is an indication of particularly low activity during the current price period, and only unusually few traders are interested in buying or selling positions at the predominant price.

1.1.4.5. VolumeUDR

The VolumeUpDownRatio is the relationship between UpVolume and DownVolume, displayed as an oscillator. Volume is classified as UpVolume when the current close of the price candle is located above the close of the prior candle; the opposite applies for DownVolume. Values above 80 are to be graded as a bearish signal; values under 20 as a bullish signal. Besides this, a moving average can be shown, which can serve as an additional signal generator.

• Using “DrawCandleOutline”, you can have the border of your candles colored accordingly when bullish/bearish extreme values occur.

• PriceWeightChange regulates whether you would like to have the weighted change of the market price flow into the calculation of the indicator

Figure 5-VolumeUDR

1.1.4.6. VolumeTickSpeed

ATTENTION! You can only use this indicator in the tick chart! The indicator measures the number of ticks that are traded during a number of seconds defined by the user. You can set the number of seconds under the parameter “Period”. A high tick speed can, therefore, be equated with high trading intensity, which can in turn often be observed at turning points in the market. With the parameter “LimitValue”, you can specify from which number of ticks during the selected period the background should be colored in order to display extreme values.

Figure 6-VolumeTickSpeed

1.1.4.7. VolumeZoneOscillator

The VolumeZoneOscillator divides the volume activity into UpVolume and DownVolume, similarly to the VolumeUDR. Volume is ranked as UpVolume when the current closing price is located above the prior closing price; vice versa for DownVolume. The oscillator calculated hereby outputs relative percentage values. An instrument is in a positive trend when the VolumeZoneOscillator rises above a level of 5% and vice versa in a negative trend, when it falls below -5%. Values above 40% show overbought situations, while values above 60% are an indication for an extreme exaggeration in the market. On the other hand, values smaller than -40% are deemed oversold and values smaller than -60% to be classified as enormously oversold and exaggerated.

Figure 7-Volume Zone Oscillator

1.1.4.8. VolumeRiseFall

The VolumeRiseFall indicator is a normal volume display as volume bars, with, however, a different coloring than normal. A volume bar is drawn in green when the volume of this bar is higher than the volume of the previous bar, meaning that rising volume is present.

A volume bar is drawn in gray when the volume of this bar is lower than the volume of the previous bar, thereby showing falling volume.

Figure 8-VolumeRiseFall

1.1.4.9. WyckoffWave

The WyckoffWave indicator adds the volume for each following bar until a price wave is over / finished. You can set the sensitivity of the price waves. When the volume of a wave rises to particularly high values, is it very often because a turning point in the chart has been reached. When the volume bars are colored red, we are dealing with a short wave; green volume bars indicate a long wave. Using the parameter “MedianPeriod” you can select how sensitively the indicator should determine the individual price waves. The smaller the value, the larger the price waves that the indicator calculates. The parameter Poles serves to fine-tune the display of the volume waves; you can select a parameter between 1-4. Changing this value usually causes only imperceptible changes.

Figure 9-WaveVolume

1.1.4.10. VolumeGraph

This indicator contains a normal volume histogram, but here, the coloring takes place based on price trends. The VolumeGraph determines short- or long-term price trends; you can set the sensitivity for this using the parameter “SlopeLength”. A high value delivers long-term trends; low values represent short-term price trends. Using the setting “Exponential”, you can select whether the calculation for trend determination should be based on an exponential (=True) or linear (=False) algorithm. This is about the fine-tuning, and no large changes should be expected with this parameter. In addition, the volume histogram also contains a moving average, for which you can enter the period using the parameter “AvgLength”.

Figure 10-VolumeGraph

1.1.4.11. VolumeSentimentLong

This indicator detects bullish volume activity based on the analysis of the volume of a period, the price span of a bar and the close of the bar (=VolumeSpreadAnalysis). It screens for 3 signals (listed are the sub-criteria that must be met for the respective signal):

• SellingClimax (dark green)

6.11..1. Lowest low since 50 periods 6.11..2. Bar with large range 6.11..3. Extremely high volume

• DemandComingIn (lime green)

6.11..1. UpBar (current close larger than previous close) 6.11..2. Previous Bar: DownBar (close smaller than previous close) 6.11..3. Previous Bar: Bar with large range 6.11..4. Previous Bar: Above-average high volume

• BagHolding (light green)

6.11..1. Lowest low since 50 periods 6.11..2. DownBar 6.11..3. Bar with small range 6.11..4. Above-average high volume 6.11..5. Close larger than or equal to the middle of the bar

The VolumeSentiments provide the foundation for the calculation of the volume condition; see point 5. When a bullish VolumeSentiment occurs, the bar is colored in the respective color of the signal; you can change this color in the parameter settings.

Figure 11-VolumeSentimentsLong

1.1.4.12. VolumeSentimentShort

This indicator is the counterpart to the VolumeSentimentLong and detects bearish volume activity based on the analysis of the volume of a period, the price span of a bar and the close of the bar (=VolumeSpreadAnalysis). It screens for 3 signals (listed are the sub-criteria that must be met for the respective signal):

• BuyingClimax (dark red)

6.12..1. Highest high since 50 periods 6.12..2. Bar with large range 6.12..3. Extremely high volume

• SupplyComingIn (red)

6.12..1. DownBar 6.12..2. Previous Bar: UpBar 6.12..3. Previous Bar: Bar with large range 6.12..4.Previous Bar: Above-average high volume

• EndOfRisingMarket (coral)

6.12..1. Highest high since 50 periods 6.12..2. UpBar 6.12..3. Bar with small range 6.12..4.Above-average high volume 6.12..5.Close smaller than or equal the middle of the bar

The VolumeSentiments provide the foundation for the calculation of the volume conditions; see point 5. When a bearish VolumeSentiment occurs, the bar is colored in the respective color of the signal; you can change this color in the parameter settings.

Figure 12-VolumeSentimentsShort

1.1.5. DESCRIPTION OF THE CONDITIONS

Volume signals should generally not be traded with market orders immediately, but instead one should wait for a confirmation of the signal with stop orders at the high or low of the signal candle. You should avoid trading long signals in downwards trend if at all possible; conversely, we advise you not to trade short signals in upwards trends. The basis for the long signals are the VolumeSentimentsLong; in order for a long signal to occur, a VolumeSentimentLong must have occurred during the last 50 bars; the opposite is true for short signals with the VolumeSentimentsShort.

The signals are based on the VolumeSpread analysis; the principle of this theory states that strength in the market becomes visible in DownBars (a bar that closes lower than the previous bar), and that weakness can be recognized in UpBars (a bar that closes higher than the previous bar). For this, certain conditions regarding the volume, the range of the bar and the position of the closing price must be fulfilled. The conditions can, in general, be applies in all timeframes, but application only makes sense for values for which there is sufficient volume information. For Forex values, therefore, the conditions are not applicable.

1.1.5.1. Long_NoSupply

• UpBar

• Volume larger than volume of the previous bar

• Previous Bar: DownBar

• Previous Bar: Small range

• Previous Bar: Below-average volume

• Previous Bar: Volume smaller than the two previous periods

A NoDemand bar has the largest hit probability when it is in the range of a previous long sentiment with very high volume. The market will very likely not be in a position to break through the VolumeSentiment signal in the opposite direction with the current low volume. NoDemand shows that there is currently no interest in lower prices.

1.1.5.2. Long_StoppingVolume

• UpBar

• Very low volume

• Previous Bar: DownBar

• Previous Bar: Bar with small range

• Previous Bar: Very high volume

Stopping Volume means that after a bar with high volume, the direction cannot be continued. If the high volume were to consist exclusively of sell orders, then the next period would be unable to close higher i.e. the sell direction would have to continue. There would, therefore, have to have been many buy orders included in the high volume, meaning that there is increasing interest in higher prices or at least no more interest in lower prices.

1.1.5.3. Long_TestBar

• DownBar

• Bar with small range

• Very small volume

• Volume smaller than that of the previous period

Professional traders will only open large buy positions in a market when they can be relatively sure that the market is not yet full of sellers. One way of checking this is to drive the market slightly downwards, which is supposed to cause the potential sellers to react to the small short movements. If, despite a sinking of the price, only very low volume with very low price range can be observed, this is an indication that there is no strong pressure to sell weighing on the market – according to this, the test has had a positive outcome and the professional traders are now ready to open their long positions. With this signal, too, it is very clear to see that the future strength of a market can be observed in DownBars.

1.1.5.4. Long_TwoBarReversal

• UpBar

• Range of the bar average to high

• Close of the bar near to the high

• Above-average high volume of the current or previous period

• Close above the high of the previous period

• Previous Bar: DownBar

• Previous Bar: average to high range

A TwoBarReversal optimally occurs at support zones. One of the two bars of the TwoBarReversal has to exhibit above-average high volume, which can be interpreted as high activity of the market participants at the current price level. The second bar changes the market direction, thereby clearly insinuating that the market participants currently have no interest in lower prices.

1.1.5.5. Short_UpThrust

• Highest high since 50 periods

• UpBar

• Close near to the low

• Average or large range of the bar

• Very high volume

Commonly, markets react negatively when a new high with very high volume is reached; it is precisely these situations that are searched for here.

Attention! If the market continues to climb further after an upthrust, this is a clear long signal.

1.1.5.6. Short_HiddenUpthrust

Same logic as the upthrust; however, here, the new high is achieved with a DownBar. For details, see point 5.5.

1.1.5.7. Short_NoDemand

• DownBar

• Volume larger than volume of the previous bar

• Previous Bar: UpBar

• Previous Bar: Small range

• Previous Bar: Below-average volume

• Previous Bar: Volume smaller than for the two previous periods

A NoDemand bar has the largest hit probability when it is in the range of a previous short sentiment with very high volume. The market will very likely not be in a position to break through the VolumeSentiment signal in the opposite direction with the current low volume. NoDemand shows that there is currently no interest in higher prices.

1.1.5.8. Short_TwoBarReversal

• DownBar

• Range of the bar average to high

• Close of the bar near to the low

• Above-average high volume of the current of previous period

• Close below the low of the previous period

• Previous Bar: UpBar

• Previous Bar: Average to high range

A TwoBarReversal optimally occurs at resistance zones. One of the two bars of the TwoBarReversal has to exhibit above-average high volume, which can be interpreted as high activity of the market participants at the current price level. The second bar changes the market direction, thereby clearly

Dow Theory AddOn Professional

Contents

All indicators from the Market Technique Standard AddOn

• MarketPhases Analyzer Professional

• P123 Professional

Conditions: (also available in the Setup Builder)

• BreakOut from P2

• Early P3

• Reversal Bars Professional

• Outside Bar BreakOut

• You can find more information on our YouTube video channel.

Market technique stops: (also available in the Setup Builder)

• MT Pro OutsideBar Mover (moving stop)

• MT Pro P3 Stop T0

• MT Pro P3 Stop T1

• MT Pro P3 Stop T2

• MT Pro P3 Stop T3

A market technique workspace (see PDF documentation on the Dow Theory landing page).

Scanner

Dynamic trend filter long / short (see PDF documentation on the Dow Theory landing page).

Attention! "You are trading against a trend": this notification appears if the user opens a position that, according to a setup, is going in the opposite direction of the trend. This means that the trend stop is pointless! This notification is displayed if the trend direction is short but the user is entering into a long position.

Market Technique landing page

On the Dow Theory landing page you will find numerous further explanations and details surrounding the features of our MT AddOns