COTAnalysis

COTAnalysis

The COTAnalysis class computes metrics on fetched COT data.

from cftc_cot import COTAnalysis

# df comes from client.execute()
analysis = COTAnalysis(df, classification="legacy") 

# Compute
df = analysis.net_positions()
df = analysis.z_scores()

Methods

• .net_positions(): Adds net position columns for all categories.
• .z_scores(window=52): Rolling Z-scores of net positions.
• .long_short_ratios(): Long/Short ratios per category.
• .percentile_rank(column): Current value as percentile.
• .extremes(threshold=0.9): Detect extreme positioning.