Demonstrating the cluster approach to market... - page 12
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This is the difference of the two MACDs, from the Euro index and the Dollar index. There is even more overlap here with the classic MACD difference indicator:)
Sort of like the invention of the perpetual motion machine.
The trend on the higher timeframe kind of dominates the trend of the lower timeframe.
On the other hand, the change in the direction of the older trend is certainly starting to show
In a move of the lower trend against the higher trend.
What is a poor peasant to do?
What to lean on and who to trust?
Where should the poor peasant go?
What can he rely on and who can he trust?
Don't worry, all market participants are in the same position.)
even a big deposit is not an advantage but a liability burden.
Don't worry, all market participants are in the same position )
even a big deposit is not an advantage, it's a liability burden.
I think that's the way it is...
I think the reason for all our troubles lies in the one-size-fits-all approach to market analysis
On the part of the participants. Everywhere you look, there are Mashkas everywhere. Mashka one, Mashka the other,
The third one smoothes out the combination of the first two, etc.
Indeed, from any tick history we can use the combination of Cups to get a trend in any direction, or a flat.
Let's get rid of the dice!
After all, Semen Semenych himself traded using a tick history specially supported for him !
Indicators were created later - for the convenience of the general public.
use the filters http://fx.qrz.ru/
I can explain what's unclear.
set averaging parameters based on spectral density analysis of market cycles
or better on the fly.
use the filters http://fx.qrz.ru/
I can explain what's unclear.
set averaging parameters based on spectral density analysis of market cycles
or better on the fly.
Thanks, I will take a look at it.
Have a look, need to look into it.
To speed up the process, if you have experience with this program and if it's not too much trouble for you,
Generate an MT4 indicator for me that you think will give a "good" price line.
I'll try to use this indicator instead of Mashka then.
I understand that there will be as many indicators as there are instruments to be analysed, i.e. each instrument will have its own algorithm.
use the filters http://fx.qrz.ru/
I can explain if you don't understand it.
set averaging parameters based on spectral density analysis of market cycles
or better on the fly.
And how to analyze the spectral density of the markets?
And how do you analyse the spectral density of markets?
Not markets but market cycles http://fx.qrz.ru/images/screen4.gif
This is the difference of the two MACDs, from the Euro index and the Dollar index. There's even more overlap here with the classic MACD difference indicator:)
There's a little more thought...
It turns out that I actually have as a measure of the increase/decrease in the price of the cluster currency
The difference between the zero bar and the first bar of the Machka of the instrument in which this currency occurs. I have a Machka period of 14 for the given picture.
Practically, the picture coincided with MASD(4,5,9) that perfectly showed profitable entries.
The very fact of obtaining such a result can be interpreted in favor of the cluster approach.
One only problem to solve is to find a measure and a way to calculate the increase/decrease of the cluster value of a currency,
which is independent of the obtuse blind averaging of all instruments by one MA.
This MAF for one instrument can completely distort the results for another instrument.
Actually, different MAFs may be needed for one symbol in different time periods.
If we add here, besides the averaging period, also the timeframe, it will look rather complicated.
That's probably what Sabluk is talking about.
==============================================================================================
The problem statement will look as follows:
1. we have a cluster of 8(eight) currencies 1. "EUR",2. "GBP",3. "AUD", 4. "NZD", 5. "CAD", 6. "CHF", 7. "JPY", 8. "USD".
2. we have 7(seven) instruments, necessary and sufficient to account for the influence on the value of any cluster currency by the other 7(seven) currencies
1. "EURUSD",2. "GBPUSD",
3. "AUDUSD",
4. "NZDUSD",
5. "USDCAD",
6. "USDCHF",
7. "USDJPY".
(This makes a total of 28 instruments:
"EURUSD", // EURUSD 0 0."GBPUSD", // GBPUSD 1 1
"AUDUSD", // AUDUSD 2 2
"NZDUSD", // NZDUSD 3 3
"USDCAD", // USDCAD 4 4
"USDCHF", // USDCHF 5 5
"USDJPY", // USDJPY 6 6
"EURGBP", // EURUSD/GBPUSD 7 0/1
"EURAUD", // EURUSD/AUDUSD 8 0/2
"EURNZD", // EURUSD/NZDUSD 9 0/3
"EURCAD", // EURUSD*USDCAD 10 0*4
"EURCHF", // EURUSD*USDCHF 11 0*5
"EURJPY", // EURUSD*USDJPY 12 0*6
"GBPAUD", // GBPUSD/AUDUSD 13 1/2
"GBPNZD", // GBPUSD/NZDUSD 14 1/3
"GBPCAD", // GBPUSD*USDCAD 15 1*4
"GBPCHF", // GBPUSD*USDCHF 16 1*5
"GBPJPY", // GBPUSD*USDJPY 17 1*6
"AUDNZD", // AUDUSD/NZDUSD 18 2/3
"AUDCAD", // AUDUSD*USDCAD 19 2*4
"AUDCHF", // AUDUSD*USDCHF 20 2*5
"AUDJPY", // AUDUSD*USDJPY 21 2*6
"NZDCAD", // NZDUSD*USDCAD 22 3*4
"NZDCHF", // NZDUSD*USDCHF 23 3*5
"NZDJPY", // NZDUSD*USDJPY 24 3*6
"CADCHF", // USDCHF/USDCAD 25 5/4
"CADJPY", // USDJPY/USDCAD 26 6/4
"CHFJPY" // USDJPY/USDCHF 27 6/5
The rightmost column shows how this instrument is calculated through the first 7(seven) instruments.
)
3. we have real time incoming quotes for each of these 7(seven) instruments.
We have historical data on each of these 7(seven) instruments M1, M5, M30, H1, H4, D1
------------------------------------------------------------------------------------------------
In order to build a pobar cluster indicator it is necessary to propose the pobar algorithm
price lines of each of the 28 instruments, so that at any time, at any timeframe
the difference between the zero bar and the first bar of this price line was a measure of the increase/decrease of the base currency/quoted currency cluster value.
Obviously, the usual equal-period, instrument-independent MA in this case is unacceptable.
We can roughly speak about some criteria of selection of an averaging period for each symbol.
However, anyone here will tell you that it would be better to have an instrument-dependent "non-linear" MA, with a variable averaging period.
Of course, it is possible to program a MAH with a variable period. But on what parameters of the symbol chart
will this averaging period depend on ?
-------------------------------------------------------------------------------------------------
Currently, the CL1i cluster indicator line for the same instrument depends on the timeframe.
Obviously, this is a manifestation of a rough straightforward approach to averaging.
Proof of a correct "non-linear" averaging will be the same shape of the line of the CL1i cluster indicator
On different timeframes for the same symbol - exactly the shape and time of the points where the indicator crosses the zero line.
Now it turns out that on one timeframe of the instrument the cluster currency values are equal and on the other they are not.
This is obvious nonsense.
The same nonsense is in Semen Semenych's indicators. For one instrument on all timeframes, of course, there should be the same line form (absolute values).
The same line shape (the absolute values may be different) and the points of intersection with the zero line should coincide in time.
After all, when I run my program to calculate cluster currency values (shown in the first post),
which does not use any averaging MAKS, but reads ticks from MarketInfo(), the numbers come out almost equal, INDEPENDENT of
OF THE INSTRUMENT AND THE TIMEFRAME IN WHICH IT OPERATES. THERE IS A SMALL ERROR DUE TO DIFFERENT FREQUENCY OF
TICKS FOR DIFFERENT INSTRUMENTS.
the mcd is a parody of a bandpass filter and the mashka is a parody of an LF filter
>>mcd is a parody of bandpass filter, and mashka is a parody of low pass filter.
I'm still waiting to see the original in your version. With knowledge in this field, it would be logical to interest people with a practical (textbook) example.