Modified CCFp to use Hanover Currency Strength type calcs

[mim2005]

Hi all,

First - thanks for the great forums, I came across this site a few days ago and it's got some amazing stuff, thanks to all those who contribute.

I am a fan of much of Hanover's work and notices the application of his Recent Strength indicator via CSV for use by EA's. Obviously there's a lot of work in setting up to run properly.

I have been developing my own EA's for a short while and last night I started thinking about doing a bit of hacking to put together a Hanover like indicator for use by my EA's.

I have taken the original CCFp Relative Strength indicator and done a fair bit of modification to it to calculate as I understand the way that Hanover calcs his recent strength indi.

This is a bit of a hack job and I have barely tested it - but my initial test show it is very close to the same.

I will be incorporating it into my EA soon and though I would post it here if anyone else needed something similar.

Note: The same as most people here I have a full time job and cannot vouch for any bugs in the indicator ... and I promise I am unlikely to make any significant further mods to it - as it does what I need for now (although if I do improve it I will post).

It is not polished and does not provide anywhere near the neat stuff Hanover has in his indi. Originally I developed it exactly how I thought Hanover may have done his - but it was too slow - so i have taken a few shortcuts which speed it up dramatically but produce very very similar results.

Note: Currency pairs are hardcoded (needs to be dynamic later) , I will likely prep an MTF version in a few days time.

Pic comparisons below.

Best of luck to all and happy trading.

[mim2005]

Just a quick example, using this indicator today shows that NZD is the weakest pair and JPY/USD strongest.

I think to work this out an EA needs to simple look at the currencies with the highest and lowest value as of say 4-8 days prior.


mim2005

[astral77]

Hi

Thanks very much, fantastic work. What is the CPU usage of your indi? I gather it is not as demanding as Hanover. When trading this sort of strength indicator the upward or downward angle is just as important as the value of individual currency.

Kind regards

[mim2005]

No, it's a lot less cpu intensive than the current Hanover RS Indi as it has a lot less overheads and doesn't do many of the additional things Hanover's indicator does. It doesn't need to write out to the csv file and uses an algo that need to check against a few less currency pairs for pretty much the same results for the timeframes I'm looking at (hours and up).

I coded it primarily as I need to be able to do efficient backtesting using Hanover's approach. I have just finished writing a few permutations which show gradient etc. but I am still trying to work out which is the best way to read it (it's not as simple as it sounds). I will try a few different approaches (gradients etc.) and backtest them and see what they have to say.

Cheers

[garyfritz]

Interesting. The CCFp algorithm is different than the one I'm using, but it seems reasonable. But what caused the sudden shift in JPY, CHF, and EUR!??

What confuses me is how you've managed to avoid all the problems I've hit with keeping data arrays parallel to the bar data. You have all your arrUSD/etc arrays but you didn't have to do any of the SetArrayAsSeries() &etc I had to do -- probably because you're not using iMAOnArray(). Fighting with that @%^@# is why I didn't have my indicator working weeks ago.

Just a quick example, using this indicator today shows that NZD is the weakest pair and JPY/USD strongest.

Our displays look a bit different but the results are the same. On my indicator NZD is pink (dropping the fastest) and JPY is purple (rising fastest).

CurrSpeed.gif

This display calculates an approximation of the slope of the previous chart, so the highest value (purple, JPY) is the strongest and the lowest value (pink, NZD) is the weakest.

CurrAccel.gif

You should be able to short NZDJPY and do well, especially since the strength/weakness of the two currencies is accelerating. Sure enough, NZDJPY has dropped almost 800 pips in the last few months. The question is how well this kind of measurement *predicts* future moves...

BTW I'm working on a much-simplified version of this to call from EAs. It avoids all the indicator insanity so it's much MUCH simpler. It's also extremely low-overhead. The CCFp approach does a whole bunch of MAs, with their implied internal looping. My EA function has ZERO looping in it -- it's just a straight shot through about 60 lines of simple calculations, about 8 lines per pair.