This document is a user manual that explains an automated weekly report on how non-commercial traders are positioned in currency futures based on the Commitment of Traders (CoT) report. The report includes an email summary highlighting key currency pairs and an Excel file with detailed data on positioning across currency pairs historically and currently. The manual defines key terms used in the report and explains the methodology for calculating implied positions in currency pairs not directly reported in the CoT data.

1. A user manual
An Automated Report:
How Non-Commercial Traders in
the Commitment of Traders
Report are Positioned on
Currency Futures.
Author:
Thomas Upfield
Powered by:
November 14, 2015

2. Contents
1 Introduction 2
1.1 What is the CoT Report . . . . . . . . . . . . . . . . . . . . . . . . 2
1.2 What this report is supposed to achieve . . . . . . . . . . . . . . . . 2
1.3 Terminology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.4 Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
2 The Report 4
2.1 The Email . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2.2 The Excel Document Explained . . . . . . . . . . . . . . . . . . . . 6
2.2.1 The Summary . . . . . . . . . . . . . . . . . . . . . . . . . . 6
2.2.2 Individual Currency Pair Tabs . . . . . . . . . . . . . . . . . 7
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3. 1 Introduction
The purpose of this manual is to explain the automated weekly report to which
it was attached. First this section explains the Commitment of Traders (CoT)
report, and lays out the purpose and objectives of the analysis attached to it.
1.1 What is the CoT Report
The CoT report contains the aggregated amount of futures contracts held by five
categories of agent active in the U.S. Futures markets[1]:
1. Dealers
These are sell side participants in the futures markets that are covered by
the CoT report. Typically they are those participants who make their money
from commissions or bid ask spreads.
2. Asset Managers/Institutional
These are institutional investors such as pension funds and mutual funds.
These fall into the ‘non-commercial’ category.
3. Leveraged Funds
These are hedge funds and other types of money managers such as commodity
trading advisors and commodity pool operators. These are also within the
‘non-commercial’ category.
4. Other Reported
These are mostly large companies looking to hedge their exposure to com-
modity prices on the futures markets e.g. airlines buying oil futures. These
fall into the ’commercial category’.
5. Non Reported
These are the aggregated positions of all traders who are too small to make
their positions reportable under U.S. futures regulation.
1.2 What this report is supposed to achieve
The analysis covered in this report tracks the positions of the ‘non-commercial’
participants on the buy side of the market (asset managers and leveraged funds).
In this way it hopes to elucidate the speculative sentiment specific to each currency
pair featured, as well as signs of potential vigour or fatigue surrounding the build
up of these positions.
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4. What this report is not concerned with is the extent to which these positions have
an effect on the price of the currency pairs that they pertain to, or with making
predictions on future price movements.
1.3 Terminology
This report uses standard market terminology as well as standard terminology in a
very specific way. To avoid misreading of the report and because explicit is always
better than implicit[2] this subsection explains some of the terminology used in
the report.
• Percentile: For the purposes of this report percentile is taken to mean ‘the
figure referred to is greater than this percent of previous figures’
– for example, ‘NZDJPY, percentile short: 92%’ means that this pair is
shorter than in 92% of weeks prior to the most recent report.
• Net: positions long minus positions short.
• Overbought: long positions are above the 90th
percentile.
• Underbought: long positions are under the 10th
percentile
• Oversold: short positions are are above the 90th
percentile, OR net long
positions are below the 10th
percentile.
• Undersold: short positions are below their 10th
percentile.
1.4 Theory
The CoT report, reports positions for currencies as the base currency against the
US Dollar. This report adds value by calculating the implied commitment of
traders to each currency pair within the currency majors category. This creates
three types of currency pair positioning for the report to calculate:
1. Currency pairs where the USD is the quoted currency:
These are not subject to any extra calculation as the positions held on these
are explicitly stated in the source data by the CFTC.
2. Currency pairs where USD is the base currency:
These are calculated by calling short positions long and long positions short.
For example in the original report ‘JPYUSD, Short: 200,000 contracts; Long:
100,000 contracts’ would be presented in this report as ‘USDJPY, Long:
200,000 contracts; Short: 100,000 contracts’.
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5. 3. Currency pairs that are not USD crosses:
If a market participant is long EURUSD and long USDJPY then they are
long EURJPY. Using this logic we could work out the implied positioning
on the EURJPY by:
(a) taking the figures for the JPYUSD from the source material
(b) converting to USDJPY as described above
(c) taking the EURUSD figures from the source material and adding them
to the USDJPY figures, and then dividing by 2.
2 The Report
The report comes in two sections. The email section provides a summary of high-
lights present in that week’s report; the excel document then provides detailed and
specific information for the current, and historical CoT report.
2.1 The Email
The email reports highlights by currency pair. It outlines what the highlight(s) is
(e.g. ‘NZDUSD is overbought’; then it provides a chart for the reader to observe
and then provides the reader with a written summary of the highlights and their
brief context.
The chart shows the CoT report data since January 2011, this is important for the
reader, as they can view the historical context in which the current data resides.
However there is also a downside to this, which is that subtle moves are invisible
to the reader, for example the email report for the 13/10/2015 shows:
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6. Fig. 1: Bullish crossover cannot be seen due to lack of granularity
For this reason below the chart there will always be an explanation with exact and
specific details to inform the reader. If the reader is unsure they can corroborate
using the data from the excel spreadsheet. Another important thing to note about
the chart is that for illustrative effect the short positions are displayed as negative
values when in fact they are positive values (one cannot be short a negative number
of contracts).
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7. 2.2 The Excel Document Explained
The excel document comes in three parts: the summary, the individual currency
pair data and a data dump of all the raw data (the ‘all data’ tab).
2.2.1 The Summary
The summary allows the observer to review the vital information for all the cur-
rency pairs in one place:
Fig. 2: The summary tab
It also has conditional formatting that allows the observer - at a glance - the abil-
ity to see what the highlights are (as in the email) alongside the other important
figures for those currency pairs, and other currency pairs too. In this context the
formatting does not relate to the figure being ‘bullish’ or ‘bearish’ but it does
relate, in the context of the percentile columns to the 90th
and 10th
percentiles
outlined in section 1.3; where orange denotes figures over the 90th
percentile (over-
bought or oversold), and where purple denotes the 10th
percentile (underbought or
undersold). Where the ‘Number of contracts net long’ column is concerned purple
denotes a bearish crossover and orange a bullish crossover.
An advantage of this tab is that all the figures are calculated using standard excel
formulas, so that it is fully auditable by non computer programmers. In order to
get these formulas to work please click ‘Enable Editing’ if prompted.
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8. 2.2.2 Individual Currency Pair Tabs
The currency tabs give net long, long, and short position data going back to
January 2011 for their respective currency pairs. Each also includes a chart like
the one found in the email.
Fig. 3: The chart in excel format
The default of this chart is to show 12 months of data, the reason why this was
included was to give a closer view of current events on the chart, figure 3 shows
data for the same currency pair expressed in figure 1 except here you can see
clearly that the most recent data point has crossed upwards through the zero line.
Another reason why this chart is included is to empower any user with knowledge
of excel to customise it to encompass any periods that they chose between January
2011 and the most recent report date.
Please note however that the chart may not work when viewed with an iPhone.
References
[1] CFTC. (2010). TRADERS IN FINANCIAL FUTURES Explanatory Notes.
Available: http://www.cftc.gov/idc/groups/public/@commitmentsoftraders/documents
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9. /file/tfmexplanatorynotes.pdf. Last accessed 13/11/2015.
[2] Tim Peters. (2004). PEP 20 – The Zen of Python. Available:
https://www.python.org/dev/peps/pep-0020/. Last accessed 13/11/2015.
Disclaimer
This document, the email it was attached to, and the other attachments have been
forwarded to you solely for educational and demonstration purposes. They should
not be considered as an offer, recommendation or solicitation of an offer to sell,
buy or subscribe to any commodity, currency, security or any derivative instru-
ment or any other rights pertaining thereto (“financial instruments”). This report
is intended for financial service professional only. This report and its contents may
be reproduced providing the original author (Thomas Upfield) is credited for the
facts and figures used (when they are value added - ie. More than just what was
stated in the original source data) as well as for any methods used to generate
data expressed in the report.
The information and opinions expressed in this report have been compiled from
sources believed to be reliable, but, the author does not accept liability from any
loss arising from the use hereof or make any representations as to its accuracy and
completeness. Any opinions, forecasts or estimates herein constitute a judgement
as at the date of this report. There can be no assurance that future results or
events will be consistent with any such opinions, forecasts or estimates. Past per-
formance should not be taken as an indication or guarantee of future performance,
and no representation or warranty, express or implied is made regarding future
performance. This information is subject to change without notice, its accuracy is
not guaranteed, it may be incomplete or condensed and it may not contain all ma-
terial information concerning the company and its subsidiaries. Thomas Upfield
is not agreeing to nor is it required to update the opinions, forecasts or estimates
contained herein.
The author may, to the extent permitted by law, own or have a position in the
commodities, currencies, securities or financial instruments (including derivative
instruments or any other rights pertaining thereto) of any or all of the commodities,
currencies, securities or financial instruments (including derivative instruments or
any other rights pertaining thereto) referred to herein, and may add to or dispose
of any such position or may make a market or act as a principal in any transaction
in such securities or financial instruments.
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