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Updated version 1.1 of my experimental RiverBed Indicator.
HI, @Simplex, thanks for the indicator, to a non-coder like me, reading your code is a real pleasure.
It took me a while to understand how it works but it is now clear and greatly configurable thanks to the various options.Suggestions and recommendations:
– Tested on a 1 minute chart, the indicator actually not refresh on new candle, I don’t know if it’s a “feature” or a “bug” ….
– Fot the vertical line would be useful to uncheck (in the code) the “draw as background” property so we can see the time on the time axis when we move the line
– Switching timeframe the vertical line resets to the value in the “channel offset” variable, can you add an option to anchor the line to an exact date/time ?
– Visually I don’t like those 2 points on bars, personally solved by placing color=none, double click works
Thanks
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I’m afraid I didn’t get your point! Since coding is not one of your core skills, maybe try to explain it in your words / math / logic / whatever
I thought I already explained and I think the same thing is saying @gg53
In a previous post I think that we agreed that we could put in the code any index or similar to evaluate the strength of currencies.
Ok now imagine that USDx do not exist, if instead of putting USDX, as algorithm, put Apple, or DJ30, or US T-note , or SP500 index or Crude oil, or Copper or everything else, how do you calculate USD currency given that other currencies (eur, gbp aud, nzd cad chf, jpy), everything you put in the sAlgo section (// preparation of currency index algorithm START) are there anyway?1. USD & USDx – I already explained that I use the USDx as a common denominator. Each currency-pair movement is compared to that index. So in my case USD is not equal USDx.
Agree and ..
2. USDx as trading tool – Many (or most) financial institutions are using the USDx (as per my first post on the subject) – and almost never trade against it. I do the same.
..agree again.
The ICE USD index is the most popular and the benchmark for US dollar. The DJ FXCM index is another index like many, my intention was not to use it as a reference, but to point out that ICE USD index and DJFXCM USD index are arbitrary in their composition and do not represent the true strength of USD but an arbitrary weighted index, like the DJ30 .
@simplex,
as I said in the previous post if instead of usingsAlgo= USDXin the code if we usesAlgo = SP500the value of the USD as a single currency is not show, is missing the code to calculate it, the code that was in the Ass_Correlator(vUSD = ((- vEUR_USD - vGBP_USD - vAUD_USD + + vUSD_CHF vUSD_JPY - vNZD_USD vUSD_CAD +) / 7.0) * wtf;derived from the prices of all major pairs.Unfortunately I’m not a coder, I’m not able to intervene in the code except on very basic issues. I hope I was clear in exposing my doubts
It simply not possible that USD is the same as USDx – since USD is “pure” USD, and USDx is a “basket” containing other currencies and their relevant “weights”.
Agree… but …
I don’t calculate ‘USD’, and I don’t calculate ‘EUR’ or ‘CAD’ either: it’s USDx, EURx, CADx, all of them based on the above mentioned basket.
… maybe simplex is doing something else…. if I understood his code (and I’m not so sure…), something like an external reference, something like gg53 is trying to do in other thread.
So, for absurd, instead of US dollar index basket you can use everything else, dow, sp500, apple… or another dollar index with different weights and currencies. For example the Dow Jones FXCM Dollar Index has 4 currencies, eur gbp aud jpy, 25% each.http://www.djindexes.com/mdsidx/downloads/meth_info/Dow_Jones_FXCM_Indices_Methodology.pdf
But anyway USD must be calculated, cannot be equal to the USD index basket.
Ok, based on @gg53 ‘s ideas posted earlier in this thread, here’s my 1st currency strength indicator based on USDx and EURx index baskets.
Thanks simplex , testing right now.
The interest rates was just an example. Similiar ROC’s are NOT equal. Your indicator looks visually “right” just because almost all pairs are near ~1.000USD, but the math is wrong. 0.1% in EURUSD is not equal to 0.1% in GBPUSD – that’s comparing apples to pears. It will have the same effect as with interest rates comparison. Data needs to be “normalized” before such comparison.
Then these same doubts I had written in previous posts are not totally wrong …
Here is another analysis I did myself at the beginning of the year.
Maybe it’s better if you link the source of your analysis so everyone can learn something…
If you “Flatten” the USD you’re going to loose the “swing” points.
Sorry but I can not visualize in my mind this concept, can you help me with a sketch?
Anyway maybe I can see something else more important, I don’t know, I need to see it and see how it works. For example, perhaps , looking at your picture we could consider the rising angle between USD zero line and other currencies, bigger angle, more strength … maybe.‘Reality’ is the keyword here. Absolute pips haven’t got anything to do with ‘reality’, IMO. Pure pips counting is one of the worst things to do when analyzing moves. Just look at my 1st pic (the spreadsheet): 48 pips in both cases, yet 0.42% total change in one case, 0.70% in the other one. So the average rate of change of that move has to be considerably larger for NZD, as compared to EUR. Any error in that calculation? Did I hit your example correctly? That’s what I meant by ‘works as designed’: at the moment, it’s PURE ROC, nothing more.
Absolutely correct.
Thanks to the further clarification that allowed me to see with other eyes your indicators for a deeper understanding. I lost for a moment the big picture. So if I look at the percentages, the strongest should be EUR and it seems correct if I look at EURNZD chart. Also noted that the magenta diff is ( obviously but not so evident at a first look ) ROC (2) of EURNZD.Hmmm: maybe we should arbitrarily flatten that resulting USD line and let the other 7 dance around … and maybe I’m just kidding …
I wanted to tell you to do the same thing :) As was done in fxcorrelator with the 20 moving average, that’s the zero line.
USD is THE common denominator. It exist in each and every major currency-pair. If you want a TRUE, effective, and most importantly LOGICAL “reset” or “anchor” – that’s the one.
Forex is actually dollar centric (at least for now … then when we get the yuan will see …). So the idea of seeing other currencies dance around is not entirely wrong.
I would say: works as designed We had a similar discussion before – see: http://penguintraders.com/forums/topic/a-flexible-and-compact-currency-strength-indicator/page/2/#post-8179
Thank you for the link at previosu post.
Well … I don’t know, I investigate some points and do more tests but look at this chart. EURUSD on the left, NZDUSD on the right, same short entry at 09:30 point, same exit at 13:00 same gain, about 48 pips. Same volatility same movement but looking at your 2 indicators seems that NZD to have had a big fall, EUR not so big , indeed almost sideways if you look at session correlator ( reset at 00:00). So I don’t say that is mathematically or theoretically wrong but visually it gives another impression of what’s going on in reality. I will look into in the wek end.
And I confirm that new version refresh correctly, ty. :)
Initially I used Interest rate, but that’s hardly change, and meant nothing in the end result.
Noted only now this quoted.
You can use the Eurodollar future, it’s based on US Libor, it’s a big and liquid future, basically if rates go up then ED futures go down.
http://www.cmegroup.com/trading/interest-rates/stir/eurodollar.html, look at dec mar jun sept.-please add automatic refresh, this version needs manual refresh to update, if continuous update is CPU-consuming please force refresh only on new bar
You’re absolutely right: there was a bug relating to refresh buffers on new bars – thanks again for pointing this out! Bugfixed versions here, the buggy versions in the above post will be deleted. s.
Thanks simplex, will test new versions but ….
Houston, we’ve got a problem (maybe ..)
I noticed that AUD and NZD tend to show strange peaks, as if they were overweight than other curencies. Since the basic algorithm is the ROC likely this behavior is related to the current value of each pair compared to USD, ( about 0.7 now, other currencies are more than 1.00 ). I think it is necessary an overall normalization (or something else) to standardize the movement of any currency, otherwise the results would be distorted. What do you think?
Ok, thanks. Bonds are good idea. Now I have to scan which one to use, because I have only one variable left… Thanks again. G.
The benchmark is the 10 year US T-note.
The yield index trades only few hours:
http://www.cboe.com/DelayedQuote/advchart.aspx?ticker=TNX
The future tracks price 23 hours:
http://www.cmegroup.com/trading/interest-rates/us-treasury/10-year-us-treasury-note.htmlOne is the inverse of the other, so if yields rise treasury prices fall. Institutionals looks primarily at yields and moves accordingly.
After a loooong silence here: the skeleton (or Alpha ver.) of an NN is ready. It’s based on ENCOG NN framework (thanks SaverO…) and .Net C#. Currently testing daily prediction of EURUSD, GBPUSD, AUDUSD. Results looks good. BUT: I think I need at least one more daily data, related to Forex, but outside from that market. I thought about the DOW. Any other suggestions? Thanks. G.
SP500 is better or Russell2000, Treasury US 10 YR T-Note. Dollar Index too but it’s very similar to eurusd.
How is S&p or Russel correlated to Forex? USDx sure is. I’ll try it. Dow is ~inverse correlated to EURUSD. Thanks. G.
Talking about forex indeed everything is correlated: currencies, equities, commodities, treasury. For every move in last 3 specific markets you can find a reaction in forex pairs.In the specific all equities index are correlated, (sp dow russell nasdaq dax footsie topix ans so on …), so it’s my opinion that’s better to use an index based on 500 large companies than an index based only on 30 big companies (that are too big to fail…). And yes, now equities are generally inverse correlated with EURUSD but years ago the exact opposite happens so … correlation changes over time. I don’t understand exactly why you needs an external index, maybe to anchor something, take care if you don’t know already that DXY have 57 % of is weight based on EUR so EURUSD and DXY are very very similar for that reason, but inverted.
I planned to use it as an extra Factor/Weight that correlate or influence the market. It’s true that S&P include 500 companies, but that’s where the problem is. There are different industries that many times offset each other. Initially I used Interest rate, but that’s hardly change, and meant nothing in the end result. G.
Ok, got it. Well try Dow and then SP but I think you get very similar results.
As said each market influence the forex market and in turn it affects the others, is the so-called intermarket analysis and is not easy to model. In a hypothetical model you should put into gold, oil, equities and treasury. The most important, in my opinion, is the bond market. Money flows from the equities (risk on) to bonds (risk off) and vice versa, and the mountain of money is managed by the bond desk. In such a model you absolutely must take account of them because they are the ones that move the world.
After a loooong silence here: the skeleton (or Alpha ver.) of an NN is ready. It’s based on ENCOG NN framework (thanks SaverO…) and .Net C#. Currently testing daily prediction of EURUSD, GBPUSD, AUDUSD. Results looks good. BUT: I think I need at least one more daily data, related to Forex, but outside from that market. I thought about the DOW. Any other suggestions? Thanks. G.
SP500 is better or Russell2000, Treasury US 10 YR T-Note. Dollar Index too but it’s very similar to eurusd.
How is S&p or Russel correlated to Forex? USDx sure is. I’ll try it. Dow is ~inverse correlated to EURUSD. Thanks. G.
Talking about forex indeed everything is correlated: currencies, equities, commodities, treasury. For every move in last 3 specific markets you can find a reaction in forex pairs.In the specific all equities index are correlated, (sp dow russell nasdaq dax footsie topix ans so on …), so it’s my opinion that’s better to use an index based on 500 large companies than an index based only on 30 big companies (that are too big to fail…). And yes, now equities are generally inverse correlated with EURUSD but years ago the exact opposite happens so … correlation changes over time. I don’t understand exactly why you needs an external index, maybe to anchor something, take care if you don’t know already that DXY have 57 % of is weight based on EUR so EURUSD and DXY are very very similar for that reason, but inverted.
Meanwhile, thanks for your time, simplex.
In the coming days I will make some screenshots (now I’m at work …) but something I can begin to say: we are looking for something, so more options we have more roads we can go.
The time with the minutes is for having greater flexibility in our research but also for example to start the reset after an relevant top/bottom that may occur at any time, or after relevant macro data. Reset every H1 may be important to catch trade on short-term chart , 1 or 5 minutes.
Screenshots in next few days .. maybe tomorrow, for sure in the weekend but something you can already guess from the image of my previous post, lines with reset at 00:00 are on top and after the reset at 16:00 are lower, something is changed in the meantime, but on the long calculation you miss itAfter a loooong silence here: the skeleton (or Alpha ver.) of an NN is ready. It’s based on ENCOG NN framework (thanks SaverO…) and .Net C#. Currently testing daily prediction of EURUSD, GBPUSD, AUDUSD. Results looks good. BUT: I think I need at least one more daily data, related to Forex, but outside from that market. I thought about the DOW. Any other suggestions? Thanks. G.
SP500 is better or Russell2000, Treasury US 10 YR T-Note. Dollar Index too but it’s very similar to eurusd.
Great works simplex,
I’m playing with the Session Correlator indicator, stacked three instances so i can study how currencies moves on more daily sections. Server time 00:00 corresponds to 17:00 East (New York), reset are at 00:00, 08:00 and 16:00 so I have classical 3 sections that roughly corresponds at NY close, London open, NY open. But I’ like to see H4 divisions or H1 but, obviously, takes too much space on chart.
So, if possible I suggest 3 things for next release:
– time format will be with minutes too, like 09:28
– instead of two time fields, use a more flexible field where we can insert the time corresponding to divisions we needs separated by commas i.e. : a regular 4hour step like 0,4,8,12 or an irregular one like 0,01:30,5:25,14:18 and so on. In this manner we can visually compare forces on more short sessions and take advantage of temporary strength/weakness that can be hidden on longer term flux (24 hours or continuous period). Look at the blu rectangle, they are now on 8 hours step, imagine that one after the other on one field with 4 hours step (or H1 or less ..).
-please add automatic refresh, this version needs manual refresh to update, if continuous update is CPU-consuming please force refresh only on new bar
I hope you can help me doing that.
Thank you.
Hi Brother GG53, I already answered your PM, in case there’s trouble with the file download from PM, (since I experienced that previously) I also post the mq4 file here.. also the screenshot example GBPUSD H1, Using daily (1440)/default with GMT 0 server GBPUSD H1, Using Daily/default with GMT 0 server, and London Open Price (8 am). Hope it help and best regards MTH
Hi MTH
I think this is the simplest and powerful indicator I’ve ever seen, thanks.I want to report a couple of bugs that I found:
1) levels are drawn only after 1 hour from the server reset time (00:00), so it starts to plot levels at 01:00 time , before 01:00, for 1 hour, there is nothing on the chart
2) the gmt offset only works for integer (no half hour or i.e. 09:44) time and more important, only positive values. If I put -1 nothing happens and I need this to align levels calculation to NewYork close time (17 EST)… (stupid broker with Sunday candle).I tried to change it but I’m not a good coder, I realized that the point 1) is related to Hour() function and using Minute() it works .. but not completely ..
So .. , when possible, can you make the changes ?
And possibly post again the indicator in mq4 format so I can learn a few tricks …Thank you
Hi,i tried to apply “anchoring” to indicator. Please see the picture, any body know, if is this right ? Thanks in advance. Edit: sorry the text at image is wrong. “NewYork closed” must be “London Closed”. NewYork + London means it is at NewYork opened.
Hi smallcat
I think that this is not the correct “anchoring” , it seems to me that the position and values of the curves are identical and overlapping, so calculation start is the same and only visualization start point is different. Try to check if it is so.Great content in this forum.
Love this thread, I also use a spaghetti indicators based on moving averages, sometimes it works and sometimes not, any development of this point has my attention
In every post I’ve read so far there is something that I have thought about and something that I had NOT thought instead, thank you all for sharing your knowledge.
