Study1: multi-currency analysis for scalping and beyond - page 5
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Why not the other way around?
Because it seemed more logical. From a cursory glance at dozens of situations that the script has accumulated and from viewing the screenshots I have drawn some unfounded conclusions so far:
- USDJPY is the one that "mows" most often;
-open, strangely enough, it must be skewed. I.e. the skewness increases. Moreover, it is necessary to open on the cross (synthetic or real - it doesn't matter). That is, if the bias is in USDJPY, it makes sense to open on EURJPY.
But all this is nothing more than an allegation. Statistical verification is required. For this, by the way, there is no need in a multi tool tester. A tester and MT4 is enough. Just open only on the skewed pair that is selected in the tester.
And one more thing, if everything is unambiguous with the opening position, then the closing is a complete ass. So far only using take and pull stops. But it is a horrible logic with a lot of flaws.
So I have to dig, and I will do it.
Thus, almost no one has shared anything on multicurrency analysis. There are two variants: either they are stingy or there is nothing. It's a pity.
Because it seemed more logical. From a cursory glance at dozens of situations that the script has accumulated and from viewing the screenshots I have drawn some unfounded conclusions so far:
- The USDJPY is the most likely to be tilted;
-open, strangely enough, to the skewed side. That is, the skewness is increasing. Moreover, it is necessary to open on the cross (synthetic or real - it doesn't matter). That is, if the bias is in USDJPY, it makes sense to open on EURJPY.
But all this is nothing more than an allegation. Statistical verification is required. For this, by the way, there is no need in a multi tool tester. A tester and MT4 is enough. Just open only on the skewed pair which is selected in the tester.
And one more thing, if everything is unambiguous with the opening position, then the closing is a complete ass. So far only using take and pull stops. But it is a horrible logic with a lot of flaws.
So I have to dig, and I will do it.
Thus, almost no one has shared anything on multicurrency analysis. There are two variants: either they are stingy or there is nothing. It is a pity.
I was dealing with multicurrency for a long time, then I gave up, I don't remember why :)
If you look at the opening, it's very questionable, take a long TF, at least a weekly one, use your system and you'll see the skewness!!! Don't be lazy, post the table with skewnesses of say a weekly candlestick of May 2 (Monday), I didn't count it, but I think the yen will be so skewed that it will not do any good ... Why did it happen? Was it formed in a couple of hours? i.e. it actually goes against the trend if you open with a small TF, my thumbnail says if the skew has begun, it will probably continue, but we have the same probability as in the trend indication, it may continue or not :)
And about the opening, it's very questionable, take a large TF, at least a weekly one, calculate using your system and you'll see the skewness!!! Don't be lazy, put the table with skewness of say a weekly candle of May 2 (Monday), I haven't calculated it, but I think the yen will be so skewed that it won't be enough ... And why did it happen? i.e. it actually goes against the trend if you open with a small TF, my MICHAEL if the skew has begun, it will probably continue, but we have the same probability as in the trend indication, it may continue or not :)
The script doesn't care whether to run it on large timeframes without looking deep or on small ones, but looking deep (input parameter Depth).
Of course, I have, and the results have been obtained. But they are self-defeating, because if I use correlation, then it is short-term (the probability is higher that only USD affects the movement of all majors) - I may be wrong. Not for hundreds of minutes.
About the rise in skewness:
I catch a skew when the other majors correlate very strongly. After catching a skew, as a rule, the majors stop correlating. I.e. it is impossible to say that the skewness of the caught skewness increases or decreases, because the correlation between other majors also disappears.
I.e. it is very important to understand that I propose to use short-term correlation. Without short-term correlation it would be a cluster approach. And there, indeed, you can see as many biases as you like.
So no one on multi-currency analysis has shared much of anything. There are two possibilities: either they are stingy or there is simply nothing. It's a pity.
Stingy, of course, and always have been. I could have come up with something myself. I'd have had an advisor make it up and test it a long time ago. Or commissioned one.
I can guarantee you he'll leak it. But if you make something sensible out of it, it might work.
So far, you're far from "not being stingy" with this "idea".
Stingy, of course, and always have been. You should have thought of something yourself. I'd have had an advisor make and test it a long time ago. Or commissioned one.
I can guarantee you he'll leak it. But if you make something sensible out of it, it might work.
So far you're far from being "not stingy" with this "idea".
Vasiliy, you can rivet advisors even every day. Reshetov even made it automatic. All this crap based on indicators and neural networks will fail 99.9% of the time. So there is no need to guarantee anything. If you want to write something reasonable, without the basic idea of "just in case", you must conduct research. And only then write an advisor based on them.
I've written my own ideas for multicurrency analysis in the first post and laid out the code. I've implemented the idea of using short-term multicurrency correlations as much as I could.
The cluster approach of multicurrency analysis has been described for several years. The Expert Advisor based on it is a rubbish (you can easily check it on MT5, or on your tester), because they are optimizing EAs, not the idea itself.
As for the currency indexes based on dynamically calculated coefficients, I haven't seen them. That's why I cannot say anything about them.
And only the subject of multicurrency arbitrage is completely covered and implemented in this Expert Advisor.
I am open to constructive discussion of multicurrency analysis ideas.
The script doesn't care whether to run on large timeframes without looking deep or on small ones, but looking deep (input parameter Depth).
Of course, I did it, and got results. But they are self-defeating, because if I use correlation, then it is short-term (the probability is higher that only USD affects the movement of all majors) - I may be wrong. Not for hundreds of minutes.
About the rise in skewness:
I catch a skew when the other majors correlate very strongly. After catching the skewness, as a rule, the majors stop correlating. I.e. it is impossible to say that the skewness of the caught skewness increases or decreases, because the correlation between the other majors also disappears.
I.e. it is very important to understand that I propose to use short-term correlation. Without short-term correlation it would be a cluster approach. And there, indeed, you can see as much bias as you like.
Vasily, you can rivet EAs at least every day. Reshetov has even made it automatic. All this crap based on indicators and neural networks will fail 99.9% of the time. So there is no need to guarantee anything. If you want to write something reasonable, without the basic idea of "just in case", you must conduct research. And only then write an advisor based on them.
I've written my own ideas for multicurrency analysis in the first post and laid out the code. I've implemented the idea of using short-term multicurrency correlations as much as I could.
The cluster approach of multicurrency analysis has been described for several years. The Expert Advisor based on it is a rubbish (you can easily check it on MT5, or on your tester), because they are optimizing EAs, not the idea itself.
As for the currency indexes based on dynamically calculated coefficients, I haven't seen them. That's why I cannot say anything about them.
And only the subject of multicurrency arbitrage is completely covered and implemented in this Expert Advisor.
I am open to constructive discussion of multicurrency analysis ideas.
So no one on multi-currency analysis has shared much of anything. There are two possibilities: either they are stingy or there is simply nothing. It's a pity.
If currency pairs behaved like random variables with a normal distribution, everyone would make bucks on them.
There are people like you waiting in casinos... Cut the crap!
I wrote everything about short-term correlation in the thread, with clear examples.
There is a lot of material on this subject in the forum. I do not want to repeat them. I want to make the same pictures again and write the same words again...
If you remember that such topics were, please direct me to them. I can't find them myself.
There are plenty of threads on this topic, just as there are plenty of threads on the application of DSP. There is almost nothing on the subject either.
If you use floating coefficients when calculating currency indices, point me to the Internet, where it is described in a more or less meaningful way, at least at the level of ideas.
And of course, if you know of other methods of multicurrency analysis, please also tell me.