Does anyone have a spreadsheet of the COT numbers history along with the associated S&P 500 price for the same date? Larry has this info for current but not history. I'm looking for data before 2001. I've entered info manually back to this date.

Thanks,

Dave

Thanks for the reply. It appears that the data does not include the S&P 500 price. That's the key field I'm looking for.

Dave

Dear Dave,

You can get S&P data from http://table.finance.yahoo.com/k?s=^gspc&g=d.( I'm sure other sites will do the same). You choose the time frame you need and then download the data and finally import everything in excel using the "tools" bar then "External data" then "import".
Anyway you'll still need to handle everything manually since COT reports were only bi-weekly until 9/92 and then weekly.
You get open-high-low-close so you make nice graphs.

If you have any questions please feel free to ask.

Cheers

Denis

Yes, I was aware of the Yahoo site (very nice). I'm trying to eliminate the manual entry of the S&P 500 prices into my spreadsheet so I can concentrate on analysis. (Yes, I can capture the daily history from Yahoo but how do I match it up with the weekly/bi-weekly COT numbers?)

I'm looking for a spreadsheet (or table) that has

- COT date
- Commerical long
- Commercial short
- S&P 500 price

Larry has this on the current COT listing but the S&P 500 price is missing on his historical list.

Dave

Dave,

Just download the weekly prices from Yahoo Finance onto a spreadsheet. I believe it gives you Monday prices. And then delete all the columns except for the Monday opening price. Beginning in October of 1992, it will line up perfectly with the weekly COT data. Before that date you will have to delete the rows that you don't need. It doesn't take very long at all.

Larry

Hi Larry - Thanks. I did not realize that there was a weekly option on the listing. That helped alot.

Dave

Are you guys getting negative volume numbers when you download the table?
Any idea what to do with that?
Howard

Howard,

I haven't noticed the volume numbers because I delete everything except the Monday opening price. But I can't imagine why it would be giving you negative volume.

Larry