Currency strength (like Hanover)

Place your new trading idea here to see if someone can automate it.

Re: Currency strength (like Hanover)

Postby aacd_1 » Thu Jun 14, 2012 10:48 pm

hi,gary,
Thanks for you indicator. I have a question about it.

From 2012.6.8 15:19 AUDJPY went up slowly,but from the indicator , tha AUD is decreasing and JPY is increasing, AUDJPY should go down.

How to explain this Phenomenon?
You do not have the required permissions to view the files attached to this post.
aacd_1
 
Posts: 21
Joined: Sat Dec 10, 2011 8:34 am

Re: Currency strength (like Hanover)

Postby aacd_1 » Fri Jun 15, 2012 12:31 am

garyfritz wrote:It's a little tough to say since I can't tell if you have them on the same timeframe. But likely it's a result of the inputs. Unfortunately this indicator is a bit sensitive to its inputs. What did you use?

FYI I've basically abandoned development on this indicator. Baluda's Currency Slope Strength seems to fill the need nicely.


I use a 33/33/22, BarsBack = 500, in H4 timeframe as you described somewhere. 50/50/10 seems also.

thanks for your advice, Baluda's looks more sensitive to price action and yours looks more smooth.
aacd_1
 
Posts: 21
Joined: Sat Dec 10, 2011 8:34 am

Re: Currency strength (like Hanover)

Postby frankie » Sat Jun 16, 2012 8:17 pm

aacd_1 wrote:hi,gary,
Thanks for you indicator. I have a question about it.

From 2012.6.8 15:19 AUDJPY went up slowly,but from the indicator , tha AUD is decreasing and JPY is increasing, AUDJPY should go down.

How to explain this Phenomenon?


Ok i will jump in here with my thought on this.. Sorry but i havent read the whole thread, but I guess that this indicator, as the others out there ccpf.. are based on moving averages. This gives this kind of indicator a downside, as the indicator is calculated on the MAs and what happens when a price stalls after bigger moves? the MAs flatlines and the indicator will then travel towards the zero line. Simple explained, when pricemovement becomes lesser over time the indicator will show less movement, even though there still is movement, but the waves is smaller in sizes, therefor.. as an average of all pairs involved, the same trend will happen and, lets take AUDJPY.. both currencies decrease in volatility and both currencies will gravitate towards the zeroline.. giving you a wrong image.. or right as they both become weak and non moving.. But the indicator, as you read it, indicates that AUD should get weaker (sell) and JPY stronger (buy). But it's only flatlining..

Thats why i am looking for an indicator like this, but based on something other than MAs. But what should it be based on? I don't know, but when i get an good idea i will get back here..

The only way you can use this kind of indicator as they are build right now is, use currencies that moves away from the zeroline! Why? becasue volatility is growing and if AUD is going down away from zero and JPY going up away from zero you have a indication that shorting AUDJPY would be a better choice at that moment... until the indicator indicates weaknes (turning or slowdown).
frankie
 
Posts: 14
Joined: Mon Dec 05, 2011 5:30 pm

Re: Currency strength

Postby gg53 » Wed Jul 04, 2012 6:11 pm

Wouldn't it be more accurate if we multiply each cxurrency by its relative weight according to its market share?
Total currencies weights should equal 1.
The USD market share is about 0.4 (~40%), EUR 0.2 (~20%), etc.

Gadi
gg53
 
Posts: 35
Joined: Wed Jul 04, 2012 5:22 pm

Re: Currency strength (like Hanover)

Postby gg53 » Wed Jul 04, 2012 7:14 pm

The strength indicator (any strength i8ndicator) - will look a bit different if it will take into account each currency "weight" in the market.
USD up by 1% doesn't have the same effect as NZD up by 1%...
gg53
 
Posts: 35
Joined: Wed Jul 04, 2012 5:22 pm

Re: Currency strength (like Hanover)

Postby SteveHopwood » Wed Jul 04, 2012 9:04 pm

gg53 wrote:The strength indicator (any strength i8ndicator) - will look a bit different if it will take into account each currency "weight" in the market.
USD up by 1% doesn't have the same effect as NZD up by 1%...

Retire gracefully here feller. Gary knows what he is talking about.

:D
Read the effing manual, ok?

Global Prime is the official SHF broker. Click here to sign up for a live account with Global Prime and join the 600+ Steve Hopwood members who choose GP as their broker of choice.

I still suffer from OCCD. Good thing, really.

Anyone here feeling generous? My paypal account is always in the market for a tiny donation. [email protected] is the account.

To see The Weekly Roundup of stuff you guys might have missed Click here

My special thanks to Tommaso (milanese) for all the incredible work he does here.
User avatar
SteveHopwood
 
Posts: 8968
Joined: Tue Nov 15, 2011 8:43 am
Location: Misterton - an insignificant village in England. Very pleasant to live in.

Re: Currency strength (like Hanover)

Postby Fx93 » Wed Oct 03, 2012 6:53 pm

Hi Gary,

I found this rather cool top indicator which plots all the major USD pairs on the chart so that one may see the difference of moves. If you plot it on EURUSD and make it a line chart it is the same for every chart. The data is dependent on both the look back period and timeframe though. I was looking at it with your currency meter indicator.

I was thinking you might like to give it a look. What I had in mind was to plot the differences between the lines and then to short the top line and buy the bottom line until they converge. Thus perhaps you could make a new bottom indicator from this one showing the exact differences.

All_usd_pair.mq4


Here is a pic of what I am talking about on the 1M chart. Assuming the two pairs met our degree of difference standards, we could buy the blue line (USDCHF) and sell the green line (AUDUSD), then close the trades when they converge. The red lines show the entry and exit in the example.

Edit: I just noticed the indicator doesn't plot the pairs exactly, using an 800 or 1200 works better, but it does kind of dampen the potential I saw in it.

Update: This indicator does not accurately mimic the prices of all the currencies. A better way I can do this is in thinkorswim, where I can plot a pair chart of for example EUR/USD-USD/CHF and use various indicators to denote extremes, and will try that.

Screen shot 2012-10-03 at 2.47.04 PM (2).png
You do not have the required permissions to view the files attached to this post.
Fx93
 
Posts: 86
Joined: Mon Apr 09, 2012 6:32 pm

Re: Currency strength (like Hanover)

Postby jlcgarcia » Sun Apr 21, 2013 9:43 am

garyfritz wrote:Steve asked me to open a new thread on this...

This morning I posted a "currency strength" indicator that displays the relative strength of each currency, similar to the Hanover indicator we all know. But it sounds like mine is much simpler.

I was experimenting with it a bit, and I came up with something that looks very promising. I don't have the expertise to build it into an EA -- nor do I have the time, I was supposed to be working today, not playing with Empty4 :lol: -- so I'll toss it into the ring here and let Steve &etc look at it.

The initial indicator I wrote seemed to work well, but it was pretty noisy:

CurrStrength.gif


So I added a smoothing pass that runs the index values through an EMA:

CurrStrengthSmoo.gif


That made it a lot easier to read, and it would be a lot easier to use it for signals in an EA.

I started looking at the direction of the currency indices. In the chart below I have the CAD (orange) and JPY (purple) indices on the indicator, and CADJPY on the chart above it.

The vertical lines are a very rough attempt to mark signals generated by this logic:
* If the lines move in opposite directions, go long (green line) if CAD line is increasing, short (red line) if CAD line is decreasing.
* If the lines move in the same direction, go flat. (white line)

CurrStrengthSigs.gif


In a quick hand check, it appeared to do a very nice job catching the moves. But that relies on me reading the chart, and of course I'm not as particular as an EA. :)

Look interesting?

The indi with the smoothing is attached. I know how that saps your will to live, Steve :lol: but the important part is fairly straightforward. Just copy AUDUSD, USDCAD, USDCHF, EURUSD, GBPUSD, USDJPY, USDNZD into arrays, then calculate the index values:
Code: [Select all]
 Please Login or Register to see this content
<

Then calculate an EMA of each of the XXXval arrays, and the relative (noisy) index value for XXX is (XXXval[i] - XXXEMA[i]) / XXXEMA[i]. Smooth that again with another EMA and you have the smoothed results above. (Smooth it *again* and you could use it for a signal line -- the index is going up if it's above its signal line & vice versa. That's not in the attached indicator.) The core logic starts at line 176 and it's fairly straightforward -- it just looks bad because I'm doing everything 8 times.

Warning: the indi seems to work fine on M1 - H4, but for some reason it goes wonky on D1 and above. I don't know why but I suspect it has to do with nefarious mysteriousness in the way Empty4 loads up the data history.

Gary



Hi,

for some time ago I have been searching for a better indicator that replaces the !xMeter indicator in my Evolution program.

After reading this thread, I think that I have founded it here thanks to garyfritz.

Next week I will begin to experiment with this indicator, its values, and the way to replace the !xMeter indicator with this one.

Regards


José Luis
jlcgarcia
 

Re: Currency strength (like Hanover)

Postby simplex » Fri Apr 01, 2016 4:12 pm

garyfritz » 21 Apr 2013, 15:15 wrote:No, José Luis, I abandoned this indicator long ago. The approach I used would have worked very cleanly with every other trading platform I've ever used, but I could never get it to behave with Empty4's "unique" implementation.


Empty4's "unique" implementation ? :clap: A very 'polite' description of Empty4's 'features'!

I'm currently working on similar CS concepts. Usually everything works fine if you're NOT going too far back from current bar, about 300 - 500 bars are mostly fine for me on short timeframes (GP Demo). If you're proceeding backwards to go for past values, that 'good old' feature of Empty4 missing bars begins to smash your indicator.

We're used to code indicators using the bar index as the common anchor on the time dimension. For CS indicators, this does not work if bars are missing. If bars were missing equally for all pairs involved it would be ok (more or less). But what if (let's say in M5) pair X carries timestamp T on bar index I, while pair Y carries T + 85 minutes on the same coordinate? Just imagine what this means for your CS calculation!

I wrote a test script for my price history. On M5 I found discrepancies of more than 6 hours after 10000 bars. Every ordinary CS indicator will strictly follow GIGO rules in this case.

All you can do is recode your CS indicators using timestamps as anchor points for your calculations instead of usual bar index. It's a workaround that costs a little coders' sweat and a lot of CPU power at runtime if used uncautiously.

I'm still working on the CPU resource part.
If you can't explain it simply, you don't understand it well enough. (Albert Einstein)
It appears that the Weighted Moving Average was invented by a trader who did not have a firm grasp of filter theory in hopes of reducing lag. (John F. Ehlers)
User avatar
simplex
 
Posts: 128
Joined: Thu Feb 07, 2013 5:21 pm
Location: An insignificant village close to an insignificant former capital at the Rhine River.

Currency strength (like Hanover)

Postby SteveHopwood » Fri Apr 01, 2016 6:20 pm

I have locked this thread. It was abandoned a long time ago and has nothing to offer.

:xm:
Read the effing manual, ok?

Global Prime is the official SHF broker. Click here to sign up for a live account with Global Prime and join the 600+ Steve Hopwood members who choose GP as their broker of choice.

I still suffer from OCCD. Good thing, really.

Anyone here feeling generous? My paypal account is always in the market for a tiny donation. [email protected] is the account.

To see The Weekly Roundup of stuff you guys might have missed Click here

My special thanks to Tommaso (milanese) for all the incredible work he does here.
User avatar
SteveHopwood
 
Posts: 8968
Joined: Tue Nov 15, 2011 8:43 am
Location: Misterton - an insignificant village in England. Very pleasant to live in.

Previous

Return to Ideas for Possible Automation

Who is online

Users browsing this forum: No registered users and 1 guest