Study1: multi-currency analysis for scalping and beyond - page 8

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storm:

Exactly because of the carry trade USDJPY should not be considered in combination with other currencies against the quid.

Whether you can or not is debatable. It's not the issue. Similar misalignments occur in other currencies as well.
 
denis_orlov:

You need signals that predict the subsequent movement, with a high probability. And a significant movement, not shocks of noisy nature, of 3-10 pips(there are much simpler methods for pipsing).

Frankly speaking - I did not find any of those in the correlation.

I cannot understand, what is the difference between making 3-10pp or 30-100pp profit steadily (hundreds of trades)!

For pipsing, as well as for other types of trading, there are indeed plenty of simple methods. But they do not work.

The feeling is that people are reasoning like this: "it's too complicated, so it's not worth doing it". This is despite the fact that technical implementation of multicurrency analysis is slightly more complicated than that of monocurrency analysis.

 
denis_orlov:

You need signals that predict the subsequent movement, with a high probability. And a meaningful movement, not shocks, noisy nature, in 3-10 pips (for the pips there are much simpler methods)

Predictive? If you're still looking for that, give it up.

i use indices only for the purpose of compiling a basket for multicurrency trading - partly hedge, partly t101, with regards to predictions - everything is banal: we consider the most probable current movement, i.e. we estimate the currency index on the forming bar against the previous one - if the trend changes - it's time to use a trawl - if you "break out" of the trawl, then you roll over

So far, I see the only advantage of indexes vs. MACs is the possibility to evaluate the average value of a synthetic currency against another one, i.e. EUR index is growing (against the previous value), and USD index is falling, it means we buy EUR, we sell USD. It is much more difficult with indices that can go in one direction, because of the difference in profit/per_item one can make a profit, but it is more difficult to come up with an algorithm for automatic trading

 
IgorM:

So far I see indexes as an advantage against MAs, only in that there is a possibility to evaluate the average value of a synthetic currency against another one, i.e. euro index is growing (against the previous value), while dollar index is falling, so euro is bought, dollar is sold. It is much harder with indices that can go in one direction, because of the profit/per-point difference it is possible to make a profit, but it is harder to come up with an algorithm for automatic trading

Nothing personal, but you exaggerate the complexity.

From the formulas written above it follows that the indices will start to go in different directions much later than the spots themselves.

For example, if the EURindex goes up and the USDindex goes down, by this point you will see that the EURUSD started moving up much earlier. And of course, as it classically happens, the signal is no longer relevant.

And there is no advantage over the MAs. The same lag.

Indices are nice sounding. But out of their trading volumes only the distribution of the central banks' multicurrency baskets is used. Which is updated very rarely.

A currency index must at least take into account the turnover. On Currenex, EBS and CME the information is partially available. Otherwise you get unreasonable indexes with almost invariable weight coefficients. Sounds nice, in fact it is no better than MA.

 

And also about indices:

once upon a time someone invented them as one of the indicators. Like the MA, for example.

And in both cases, and almost as with all indicators, there was no justification. Look, here you are. But someone decided to name his indicator not as an affectionate Masha, but as the currency index. And so it went...

There's no mathematical model, no research, nothing on the indices, as well as on other indicators. All there is is the popularity of the currency index indicator with an army of fans.

But fuck these indices, the multicurrency analysis has nothing to do with them. Because there is no analysis, they just added and multiplied. The behavior of rates is not analyzed.

Something was said about pipsing based on analysis of tick rate at different pairs. What is the idea?

 
hrenfx:

Something was said about pipsing based on analysis of tick rate on different pairs. What is the idea?

on one pair - just analyse tick acceleration, but prediction = spread, if in trend, entry without drawdown

I disagree with the indices, if you trade a basket of currencies included in the index, taking into account the order volume from the parameters of profit / on_pp currency, the profit is higher than when trading one pair. i.e. if the dollar index is down, and the euro is up - sell: USDEUR, USDJPY, USDGBP, USDCAD, USDCHF and buy: EURUSD, EURGBP, EURJPY, EURCHF.

about the lag - any indicator shows an already formed movement, and based on the data of this indicator it is possible to make an assumption that the movement in this direction will continue

 
IgorM:

i.e. if the dollar index is down, and the euro is up - sell: USDEUR, USDJPY, USDGBP, USDCAD, USDCHF and buy: EURUSD, EURGBP, EURJPY, EURCHF.

about the lag - any indicator shows an already formed movement, and based on the data of this indicator it is possible to make an assumption that the movement in this direction will continue

Have any investigations been carried out to make assumptions? For example, everybody who is not squeamish has done it... And one can already draw at least a more or less statistical conclusion that she is only affectionate.

There's not even an idea in the indices!

And portfolio trading... You can trade the Dow Jones index created by a trading floor for you, or you can calculate it yourself and trade instruments included in it.

IgorM:

on one pair - just analyse the tick acceleration, but prediction = spread, if in a trend, entry without drawdown

Something like Lucky: by catching the short tick surge and reversing with a minimum profit? Or something else?

If Lucky, then I tried it on ECN with Limit Traps in a cup. The payoff is about zero. But this is not multicurrency analysis.

 
hrenfx:

There's not even an idea in the indices!


The US Dollar Index (USDX) is the ratio of the US dollar (USD) to a basket of foreign currencies and is a weighted average of the dollar against the euro (EUR), Japanese yen (JPY), pound sterling (GBP), Canadian dollar (CAD), Swedish krona (SEK) and Swiss franc (CHF). It has been calculated since March 1973. The benchmark value for the USDX has been taken as 100.00. For instance, the level of 107.50 means that the value of the dollar rose by 7.5 percent, relative to the base value.

March 1973 was chosen as the base period because from then on the major trading nations had introduced floating exchange rates. This agreement was reached at a conference of the Smithsonian Institution in Washington. The Smithsonian agreement replaced the unsuccessful fixed rate policy established some 25 years earlier at Bretton Woods.

Since 1973, the index has traded around the high of 160.00 and a new low of 71.99 was set on 13 March 2008. The index is updated 24 hours a day, 7 days a week.

Just as the Dow Jones Index (DJI) is the main indicator for the US stock market, the USDX Index gives an overall view of the international value of the US dollar. The USDX index is traded in a similar way to the stock market.

What other idea do you need? The currency index shows the change in the value of the currency against a basket of currency pairs, the coefficients are chosen based on the turnover of the dollar in foreign currencies

I do not want to continue with tick emissions, they are not interesting/ irrelevant.

 

I re-read the first posts in this thread - all the topicstarter can "squeeze" out of his research is just revelation of a non-market quote and nothing more.

imho - for a full multi-currency trade, you have to use either anchor pairs like in T101 or rely on indices, for multi-currency trading it's necessary to form a portfolio for trading, otherwise it won't be multi-currency trading, but a search for correlation dependencies or multi-currency arbitrage, I see at least economic dependencies in the indices, so for example the trade-weighted Canadian index is more than half occupied by USDCAD: 

//____________________________________________________________________________________________
double CADX(int z){
return(123.2342003*MathPow(iClose("USDCAD",0,z),-0.815) * 
       MathPow(iClose("EURCAD",0,z),-0.0996) * MathPow(iClose("CADJPY",0,z),0.0564) * 
       MathPow(iClose("GBPCAD",0,z),-0.029));
}
//____________________________________________________________________________________________
double USDX(int z){
return(34.37857214* MathPow(iClose("EURUSD",0,z),-0.3730) *
       MathPow(iClose("USDCAD",0,z),0.3216)  * MathPow(iClose("USDJPY",0,z),0.1840) *
       MathPow(iClose("GBPUSD",0,z),-0.0913) * MathPow(iClose("USDCHF",0,z),0.03));
}
//____________________________________________________________________________________________

these are the functions to calculate the trade-weighted dollar and Canadian indices

- i understand that this is due to economic and geographical links to the usa

 
IgorM:

what other idea do you need? the currency index shows the change in value of a currency against a basket of currency pairs, the coefficients are selected based on dollar turnover in foreign currencies

What kind of picking are we talking about?! You were told, you believed? There is no accounting for turnover. The coefficients do not change for a long time and when they do, they do not change much at all. Said index is supposed to account for current trade turnover. Where does it take into account short-term interventions of the Central Bank and other manifestations of the popularity of any currency? What can an indicator, which deals with addition and subtraction, the rules of which do not even change, take into account?

It's just as bullshit as the Dow Jones index and the rest of the indices. Whoever came up with them didn't know anything about analysis, research, etc. Someone just liked to look at the value of the portfolio as a graph and do technical analysis on it. That's nonsense!

There is information on the volumes and their directions on each traded pair. On the basis of this information we may analyze the fluctuations of each currency pair separately. And make an analysis based on this information. This information is not present in the prices (the prices take it into consideration ex post facto) in general, from which (the prices) are built the so-called currency indices.

On the basis of the turnover it is possible to analyse the massive inflows of money and vice versa, the withdrawal of any currency from the turnover. Even if it is done anonymously through third parties by the same Central Bank.

That's fucking currency-by-currency analysis, not what currency indices do.

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