garyfritz wrote:wingate, this is brilliant! We are trading the *basket* -- the sum of profits of all pairs. To date we've only had Baluda's iExposure, Tickets "what is the P/L for each pair now" indi. But this approach lets us see the equity curve of the entire basket!!
I would modify the indi to take "long pairs" and "short pairs," and to calculate & sum up the #pips open profit in all pairs. That would be an exact analogue for what the NB basket systems use. In fact, now that I think of it, we might not even have to mess with offline charts! I'm not certain but it might be possible to write an indi that does the above -- sum up the open profits for each of the basket pairs -- and plots that in history. I think that would be a fabulous tool for understanding the basket behavior!
Of course, if you calculate only the open trade profit, you couldn't use it as an entry signal like you are. Hm. Maybe just summing up the prices is the right idea. That would definitely be do-able in an indi, without offline charts. By summing them together you hide the behavior of individual pairs, so you reduce your ability to cherry-pick the best pairs to enter -- but really, with this basket approach, the assumption is that they're all going to run together anyway. Seeing a total-basket equity like that would make it really easy to see when the basket as a whole has its pullback and resumes the trend. I like it!!
EDIT: I bet you could even adapt Baluda's SlopeValues code to select out the pairs >X and <-X and have the indi automatically plot the "equity curve" for all the right pairs.......
I wasn't able to follow the forums in the last 2 weeks, and reading through the 500+ replies in this thread, and reached this post. Earlier int Sehlley's EA thread I mentioned the indicator Squalou made for a correlation strategy. It can be used to monitor a 2 pair basket's profit (in the correlation strategy you buy one pair and sell a highly correlated other one). It puts a vertical line on the chart and it can be used to mark the entry point of the basket, and shows the profit on a line graph in an indicator window.
Maybe it can be modified to use more pairs 
I attach a screenshot off the indi, and the mq4 file. |
Maybe tomorrow morning I will look into the code, but I'm really novice in coding these kind of programs (I have coding experience in sql and that's really a different language).