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If you could add a small ROC of DIFF (i.e. DIFF(instantly) – DIFF(close of previous)) and show the result as text on the upper RHS corner of the indicator? This could result in a small miracle.
Hi Balrog,
I just made a quick mod adding that requested DIFF(x) – DIFF(x+1) as a dotted line, not as a text. I did not have the time to provide properly cleaned code, so I will post the .ex4 only for the moment.
Please have fun testing and tell me about ANY miracle you might come across in detail!
simplex
IMPORTANT EDIT: 1st version posted here had a serious bug! Anybody who has downloaded that one please download again. I just called a wrong function from my own library. Sorry for the confusion!
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Thanks Simplex, just to let you know we are all watching – hoping at some point we can contribute
skype : pipatronic
On currency Strength and ROC (Rate of Change):
Assuming we have 3 currencies: EUR, GBP, USD
The EUR is above the GBP, both above the “0” line and pointing UP.
The USD is below the “0” line and pointing DOWN.
The indicator is showing STRENGTH as it should: EUR is the strongest, GBP is less strong than the EUR, the USD is WEAK and getting weaker.
The indicator is working correctly, as it should.
BUT, there is another variable here:
The GBP, although less strong than the EUR, is moving UP in a steeper angle.
Meaning creating an increasing distance/Gap/DIFF between the GBP & USD than the increasing gap between the EUR & USD – per unit of time.
This is the ROC (Rate of Change).
So, the line indicator should show the STRENGTH as is (EUR, GBP, USD in that order and relevant direction).
Additionally (or optionally) there should be a sorted text list showing ROC in sorted order (++GBP, +EUR, -USD – or numeric equivalent).
Seeing that picture with those eyes – my preference was to trade LONG GBPUSD instead of EURUSD, although EUR is the strongest.
Reason: potentialy faster yield/profit.
G.
On currency Strength and ROC (Rate of Change): Assuming we have 3 currencies: EUR, GBP, USD The EUR is above the GBP, both above the “0” line and pointing UP. The USD is below the “0” line and pointing DOWN. The indicator is showing STRENGTH as it should: EUR is the strongest, GBP is less strong than the EUR, the USD is WEAK and getting weaker. The indicator is working correctly, as it should. BUT, there is another variable here: The GBP, although less strong than the EUR, is moving UP in a steeper angle. Meaning creating an increasing distance/Gap/DIFF between the GBP & USD than the increasing gap between the EUR & USD – per unit of time. This is the ROC (Rate of Change). So, the line indicator should show the STRENGTH as is (EUR, GBP, USD in that order and relevant direction). Additionally (or optionally) there should be a sorted text list showing ROC in sorted order (++GBP, +EUR, -USD – or numeric equivalent). Seeing that picture with those eyes – my preference was to trade LONG GBPUSD instead of EURUSD, although EUR is the strongest. Reason: potentialy faster yield/profit. G.
That is an excellant point G and will view your existing spag with a new “vision”
skype : pipatronic
If you build a Volume indicator – please add MA based on Session avg. (London, London+NY, NY, Asian).
Current session or latest finished session?
MA of current session should start with Previous similiar closed session. i.e. Asian session MA should start with previously closed Asian session MA. G.
Nothing has ever motivated me more than this...
Simplex may I have a small request? If you could add a small ROC of DIFF (i.e. DIFF(instantly) – DIFF(close of previous)) and show the result as text on the upper RHS corner of the indicator? This could result in a small miracle. Only -somehow- I can not do it… Best regards and thanks for your efforts once again…
I already suggested exactly that in previous posts. G.
Sorry, I cannot see that…
See Post #7926 G.
This is a very unnecessary discussion. Why? Because a few months ago you were the one to tell me “better use ROC then Delta Currency Multi Power”. (I couldn’t find the post right now) So, you are the master and I’m in a sense -whether we like it or not- a student of yours. I’ve read a lot of things that you wrote -taught- and internalized your ideas. Now I’m thinking like you. You are the master and I don’t have a problem with that. However, you must acknowledge that other people can think as well. Sorry if I wasn’t polite enough. Regards.
Balrog, It’s me who should ask your forgiveness. I meant to emphasis your request from simplex, but it came out awkward (especialy when reading without the proper intonation). I’m no Guru, Teacher or Mentor and I didn’t want to sound “above” you. Sorry, Balrog. G.
Wow. That’s great humility of yours @GG53.
I see that and thank you for everything again. You are a very wise person. No hard feelings on my part. Sorry if I offended you because I respect experience at a very high level. And your contributions to the wanna-be-FX-traders are enormous. You are the one who taught us the importance of volume indicators and their predictive nature. Also currency strength etc. You and Kiads are very nice people.
Sorry guys for going off topic again… I hope I’ll come up with some contributions of my own to this thread as well…
Thanks G., thanks Simplex…
Nothing has ever motivated me more than this...
Seeing that picture with those eyes – my preference was to trade LONG GBPUSD instead of EURUSD, although EUR is the strongest. Reason: potentialy faster yield/profit.
Makes perfect sense to me – thanks for emphasizing that point!
That kind of sorted currency / symbol list you mentioned is certainly also a B priority for the moment – I’d like to focus on the basic algorithms for the moment, leaving potential enhancements of visualizations for the future.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
On the subject of VOLUME:
Currently working on a new indie.
It’s based on a similiar idea as Gadi_OBV with a twist: Converting it into an oscilator.
Assuming that most market activity is between 70%-80%, it will “easilly” show Overbought/OverSold area, giving an even earlier signal of market turning and pullbacks.
Early testings on “R” platform and “real” volume markets, like DAX, US500, Oil – it looks amazing.
Currently testing on Forex. Let’s see…
G.
Additionally (or optionally)
That’s perfectly Ok. that’s why I said “Additionally (or optionally) “…
G.
On the subject of VOLUME: Currently working on a new indie. It’s based on a similiar idea as Gadi_OBV with a twist: Converting it into an oscilator. Assuming that most market activity is between 70%-80%, it will “easilly” show Overbought/OverSold area, giving an even earlier signal of market turning and pullbacks. Early testings on “R” platform and “real” volume markets, like DAX, US500, Oil – it looks amazing. Currently testing on Forex. Let’s see… G.
Morn G do you mind me asking what an “R” platform is
An OBV oscillator sounds interesting, might deserve its own thread, I will have brush up on how both are calculated, to use on real volume also is an interesting point vs forex volume.
Be intereswting to see where you go with this (am sitting on the edge of my seat)
Pip
skype : pipatronic
Morn G do you mind me asking what an “R” platform is
Hey Pip,
Let me join in here: I’m pretty sure G. is talking about ‘R is a programming language and software environment for statistical computing and graphics.’ see https://en.wikipedia.org/wiki/R_%28programming_language%29
Best, simplex
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Ah ha, thank you Simplex, you learn something every day though that one is above my puny brain capacity, I can cope with a bit of mql4
Thanks
Regards
Pip
skype : pipatronic
As suggested by gg53, my first step was to replace NVP’s original arithmetics by a simple Rate of Change. Then I worked the whole code over in order to make it more flexible when it comes to switching to completely different arithmetics. I finished that barebone by implementing a final SuperSmoother averaging according to John Ehlers.
Hi Simplex!
I just wanted to congratulate and thank you for providing the community with this thread and indicator!! thank you!
I havent been around here for a while and saw this thread and I am very impressed with what you guys are working on. I havent played with MT4 in a while but I will delve into the code when I get a chance and try to help out if possible (you are one hundred times the coder than I am).
Hope you well and you are making successful progress with your Forex endeavors.
Also big thanks to gg53 for throwing so many ideas to the community (the latest oscillator sounds fascinating).
Best regards.
What's it all about? It's all about money.
Hope you well and you are making successful progress with your Forex endeavors.
Hi @Innate!
Long time no see – nice to meet you here again! Hope you’re well, too, and proceeding with your projects. Yep:
soon.This thread: there’s more to come – see pic. This might become nice – thanks to @gg53 ‘s suggestions. I’m too tired right now to post in detail, just an appetizer for anybody around. Have to do some code cleanup before posting.
Time to go to bed over here, while you’re probably enjoying your lunch!
CU, simplex
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
One thing that has always stumped me with ROC style indicators, is at what point in time do you start the calculation from?
Traditionally this is the beginning of the daily candle (or when LIBOR is set 11am London time), but this is really just an arbitrary point. In saying that, choosing another point is also just as likely to just be arbitrary too.
Is there a discernible logic in choosing the “right” point in time to start the ROC calcs?
Forgive my ignorance here, Im just trying to brainstorm (I hope this is not counter-productive)…
Is there a better way to show ROC by not zeroing?? How about a rolling period i.e. calcs are always made from a start point of N bars earlier.
Ultimately its the slope of the lines that is more important than the value. (So I suppose that means zeroing doesnt matter…
)What's it all about? It's all about money.
simplex went to sleep and I just woke up because of a “Math” itch…
The main thing about CS is the DELTA – the difference between current and previous currency-pair.
[close=currency-pair close price, t=current bar, t-1=previous bar]
FXCorrelator way: close(t) – close(t-1) – simple subtrct
simplex way: ((close(t) – close(t-1))/close(t-1) – making it proportional move
But there are other ways…
close(t)-SMA, close(t)-EMA, close(t)-LWMA, ….
OR even: EMA-SMA, …
…and there are more ways… just check which one gives you better and earlier entry signals.
Oh, there is another thing: have you noticed that going LONG have a different signal than going SHORT?
If you use the same Algo for both Long and SHORT signals – the SHORT one will be delayed signal.
That’s because SHORT moves are much faster (panic, fear, etc…).
Returning to bed…
G.
One thing that has always stumped me with ROC style indicators, is at what point in time do you start the calculation from? Traditionally this is the beginning of the daily candle (or when LIBOR is set 11am London time), but this is really just an arbitrary point. In saying that, choosing another point is also just as likely to just be arbitrary too. Is there a discernible logic in choosing the “right” point in time to start the ROC calcs? Forgive my ignorance here, Im just trying to brainstorm (I hope this is not counter-productive)… Is there a better way to show ROC by not zeroing?? How about a rolling period i.e. calcs are always made from a start point of N bars earlier. Ultimately its the slope of the lines that is more important than the value. (So I suppose that means zeroing doesnt matter…
)ROC doesn’t have to have a ZERO reference.
It’s the simple DELTA over time or bars since previous one – measured in pips, percent or whatever.
ROC is NOT the most important – Strength is more important, ROC comes second.
As you can see from the pic on post #8333, if the GBP was below or near ZERO with same ROC and direction – I wouldn’t trade it.
Also, if a CS indicator will present the GBP, in this case, as the strongest of the three currency-pairs – it will be a misleading indicator !! (and there is at least one popular on the net)
G.
One thing that has always stumped me with ROC style indicators, is at what point in time do you start the calculation from? Traditionally this is the beginning of the daily candle (or when LIBOR is set 11am London time), but this is really just an arbitrary point. In saying that, choosing another point is also just as likely to just be arbitrary too.
Good point! Let me extend that question of yours a bit: what’s the point about ‘traditional’ daily candles anyway? In a 24/5 market, wouldn’t session candles be more useful? Look at my latest pic: one candle for London/New York, and another one for Sydney/Tokyo, both of them watched through an M5 microscope.
To be honest: until two or three days ago, when I followed G’s and Balrog’s suggestions to reset CS values per session, I completely underestimated the quality of this kind of view. It clarifies what’s happening inside a trading session, which until now is a ‘natural’ rhythm of the markets. Doesn’t mean that daily rhythm will last forever, though.
Is there a better way to show ROC by not zeroing?? How about a rolling period i.e. calcs are always made from a start point of N bars earlier.
A combination of both might be the best solution. I’m trying to explore this …
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
ROC is NOT the most important – Strength is more important, ROC comes second.
Only judging from a quick first analysis: I would say that this is true for a rolling time window, but not for a reset per session.
And most of all it’s a question of the underlying algorithm measuring strength. In my indicator that algo is ROC, proportional to the 1st derivative of price over time. So ROC of strength would result in something proportional to the 2nd derivative of price over time, the acceleration.
When you’re driving your car and there’s a narrow turn ahead, what’s more important to estimate whether you’ll make it safely or end in a crash: velocity or acceleration? I think you’ll need both to estimate with a good hit rate.
Simple mechanical analogons can be dangerous when used to understand FX, but I think it’s useful this time. So I believe it’s not important which one is more important: using velocity and acceleration in conjunction should provide the best value.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
ROC is NOT the most important – Strength is more important, ROC comes second.
Only judging from a quick first analysis: I would say that this is true for a rolling time window, but not for a reset per session. And most of all it’s a question of the underlying algorithm measuring strength. In my indicator that algo is ROC, proportional to the 1st derivative of price over time. So ROC of strength would result in something proportional to the 2nd derivative of price over time, the acceleration. When you’re driving your car and there’s a narrow turn ahead, what’s more important to estimate whether you’ll make it safely or end in a crash: velocity or acceleration? I think you’ll need both to estimate with a good hit rate. Simple mechanical analogons can be dangerous when used to understand FX, but I think it’s useful this time. So I believe it’s not important which one is more important: using velocity and acceleration in conjunction should provide the best value. s.
A “turn” on the road is equivalent to direction change in Forex, and not to my example in that post (post #8333).
In that example/post there are 3 cars, with their relevant “position” (location, relevant to the “road”), each with its own “speed”.
The indicator should show a current and accurate “snapshot” of those cars position on that “road”.
The ROC, in this case (and in addition to their relevant position on the road), is analog to also viewing each car “speedometer”.
G.
One thing that has always stumped me with ROC style indicators, is at what point in time do you start the calculation from? Traditionally this is the beginning of the daily candle (or when LIBOR is set 11am London time), but this is really just an arbitrary point. In saying that, choosing another point is also just as likely to just be arbitrary too.
Good point! Let me extend that question of yours a bit: what’s the point about ‘traditional’ daily candles anyway? In a 24/5 market, wouldn’t session candles be more useful? Look at my latest pic: one candle for London/New York, and another one for Sydney/Tokyo, both of them watched through an M5 microscope. To be honest: until two or three days ago, when I followed G’s and Balrog’s suggestions to reset CS values per session, I completely underestimated the quality of this kind of view. It clarifies what’s happening inside a trading session, which until now is a ‘natural’ rhythm of the markets. Doesn’t mean that daily rhythm will last forever, though.
Is there a better way to show ROC by not zeroing?? How about a rolling period i.e. calcs are always made from a start point of N bars earlier.
A combination of both might be the best solution. I’m trying to explore this … s.
BIG YES and TRUE.
Bars or candles are just a “time-lapse” representation of market action and there is no other meaning to their “patterns” and “rules”…
I know that this seems and sounds a very un-orthodox statement, but that’s the fact.
For every bar/candle “pattern rule” I can show you two that the “rule” is not valid.
Those candle/bar pattern are “borrowed” from the Stock and Commodities markets, and not relevant to the very different Forex auction market.
simplex: The MA per session request is related to the Volume indicator and not the CS – if there is some misunderstanding here.
G.
gg53 wrote: ROC is NOT the most important – Strength is more important, ROC comes second.
Only judging from a quick first analysis: I would say that this is true for a rolling time window, but not for a reset per session.Ok, let me explain what I mean by a simple example: GBPCAD in the attached pic.
5 vertical lines from left to right:
- London open: GBP starting a little stronger than CAD, pair slightly up.
- 11:00: GBP weakening fast, while CAD remains stable around zero: fast down move, then slowing down
- 16:30: CAD strengthening fast, while GBP remains stable in its position: fast down move
- 18:00: CAD has reached a high strength, GBP a very low one. But now CAD is becoming weaker (trendline downwards) and GBP stronger (trendline upwards). In spite of the strength levels achieved earlier that day, the combined slope of those trendlines perfectly reflects the rising price of the pair.
- 22:00: New York close. Hardly any movement for the rest of the day.
Looking at the upper indicator window (rolling window here, without resets), the position rather than slope of the white DIFF line represents the current move.
I’ll post the indicators in a few minutes so you can check it out for yourselves, everybody.
s.
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
gg53 wrote: ROC is NOT the most important – Strength is more important, ROC comes second. Only judging from a quick first analysis: I would say that this is true for a rolling time window, but not for a reset per session.
Ok, let me explain what I mean by a simple example: GBPCAD in the attached pic. 5 vertical lines from left to right:
- London open: GBP starting a little stronger than CAD, pair slightly up.
- 11:00: GBP weakening fast, while CAD remains stable around zero: fast down move, then slowing down
- 16:30: CAD strengthening fast, while GBP remains stable in its position: fast down move
- 18:00: CAD has reached a high strength, GBP a very low one. But now CAD is becoming weaker (trendline downwards) and GBP stronger (trendline upwards). In spite of the strength levels achieved earlier that day, the combined slope of those trendlines perfectly reflects the rising price of the pair.
- 22:00: New York close. Hardly any movement for the rest of the day.
Looking at the upper indicator window (rolling window here, without resets), the position rather than slope of the white DIFF line represents the current move. I’ll post the indicators in a few minutes so you can check it out for yourselves, everybody. s.
I think that we have some misunderstanding here…
Never mind the previous positions and slopes: in terms of absolute values – @18:00 does the CAD the Strongest and the GBP is the weakest of all 8 currencies?
If YES – everything is Ok. If NOT, the indicator is misleading (in my point of view, at least).
G.
Never mind the previous positions and slopes: in terms of absolute values – @18:00 does the CAD the Strongest and the GBP is the weakest of all 8 currencies? If YES – everything is Ok. If NOT, the indicator is misleading (in my point of view, at least).
Relative to the cumulated move starting at London Open: yes (represented best by that session reset view).
Relative to some rolling time window: not necessarily (represented by ASS_Correlator_v2 in the last pic).
Let’s look at a new pic to find a final answer: at 18:00 CAD takes the strongest position out of 8 currencies, GBP the weakest. So the answer at 18:00 would be a clear YES. Yet this is the end of the swing, so a short entry would lead to nothing or a small loss, depends on when the trade is closed.
BAck around 16:30 it would have been more probable to go CAD long against EUR or JPY short (blue vertical line in 2nd pic).
A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)
Never mind the previous positions and slopes: in terms of absolute values – @18:00 does the CAD the Strongest and the GBP is the weakest of all 8 currencies? If YES – everything is Ok. If NOT, the indicator is misleading (in my point of view, at least).
Relative to the cumulated move starting at London Open: yes (represented best by that session reset view). Relative to some rolling time window: not necessarily (represented by ASS_Correlator_v2 in the last pic). Let’s look at a new pic to find a final answer: at 18:00 CAD takes the strongest position out of 8 currencies, GBP the weakest. So the answer at 18:00 would be a clear YES. Yet this is the end of the swing, so a short entry would lead to nothing or a small loss, depends on when the trade is closed. BAck around 16:30 it would have been more probable to go CAD long against EUR or JPY short (blue vertical line in 2nd pic).
I stated the @18:00 as Currencies relative position, not as trading recommendation.
What is your broker’s GMT time offset ? (I want to check the same on my charts)
G.
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