World currencies index (clearly visible as the bubble burst) - page 5
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The coefficients are based on point value. The disadvantage is that current point values are used, i.e. coefficients are not calculated automatically.
the downside is that any index calculations imply a finite number of volumes of currencies involved in the market, I have already raised the issue of pricing https://www.mql5.com/ru/forum/123519/page475
and I think that indexes make sense only for seasonal trends i.e. in 3-4 month periods, while for short and medium term strategies these calculations do not give anything, and a 3-4 month forecast makes no sense, because often in 3-4 months the currency returns to its starting point, here are quite good index ratios http://indices.markit.com/ and http://indices.markit.com/download/products/guides/Markit_iBoxxFX_Index_Guide.pdf
finite number of volumes of currencies involved in the market
Explain.
An index is the BP of the sum of two or more financial instruments. Typical examples are DJ, DAX.
You could easily create your own indices. They are of little use, but they exhibit more market inefficiencies than individual symbols.
Indices can be traded, but they need a more global approach.
1. It is necessary to use as many financial instruments as possible (obtaining quotations for analysis, preferably with the possibility of performing operations) for index synthesis. The more currency pairs, CFD, shares, metals, the better - more indexes you can synthesize.
2. Software for indexes creation and verification of a certain set of trading systems on them. Consistent search of all possible combinations of financial instruments that are available. Check of preliminarily prepared TS on each index, of course with optimization of parameters. 3.
Analysis of saved optimization results. Determination of parameters of TS settings which correspond to the success criteria (pre-formalized) for each synthesized index. 4.
4. Using of a group of TSs with the most successful settings. It can be performed, for instance, as follows: https://www.mql5.com/ru/articles/1578
I have written my thoughts, but not completely - you may guess a lot.
meta-trader2007:
Поясните.
I mean currency liquidity - if the demand for a currency is low, then there are few participants who will trade that currency in the market, and hence the index of that currency will dependmore on other crosses than on its major, here is a good topic https://www.mql5.com/ru/forum/129108/page6#378608, imho there is nothing useful in currency indices
In some indicators of Leonid's spread trading the coefficient for each pair is automatically calculated as N1=MarketInfo(s1, MODE_TICKVALUE)/MarketInfo(s1, MODE_TICKSIZE);
It is like in physics - inertia. The greater the volume - the less will be unreasonable oscillations of the chart.
Currency index?
It does not matter what depends on what. The main thing is the presence of patterns of changes in the index, which can be used to make a profit.
Currency pairs (not all of course) have a high liquidity, which is often higher than the liquidity of stocks, commodities and other things - this may be useful.
I suggest that you don't get hung up on indices of only one currency. An index can be built on the basis of any financial instrument.
This is true:
Many companies have large analytical departments in which they look for so-called logical connections between financial instruments.
I don't have such a department, and I don't need it for fuck's sake. If there are logical connections between financial instruments, they will be found using mathematical methods. Moreover, the number of connections found with mathematical methods will exceed the number of connections found by all analytical departments put together.
Analytical departments searching for relationships exist only in economic applications. In other fields, connections between non-economic indicators are searched only by mathematical methods. In economics, however, conservative methods are mostly used - analytics.
It is necessary to investigate all available financial tools. And make preferences on the basis of research, not on the basis of popularity or a pretty name.
For example, many people use GBPJPY for breaching the channels, because this pair is popular for this kind of trading. But the reasons of this type of trading lies not in its popularity, but in its high volatility. If we investigated the volatility of available instruments. It would be found out that SILVER is much more volatile than any other FOREX instruments. GBPJPY itself is not the most volatile of FOREX. Consequently, the results of trading channel breakout strategies on SILVER would be much better.
When they talk about the AUDUSD and GOLD rate correlations as logical (not mathematical) - Australia is one of the largest gold producers, this logic is all at the FA level. This logical relationship is interpreted subjectively in trading. You can simply either agree with it or not. That is why it is subjective. When they talk about mathematical correlations, it is objective. Relationships can be different. And correlation is one of the tools (not ideal) to find such relations.
In some indicators of Leonid's spread trading the coefficient for each pair is automatically calculated as N1=MarketInfo(s1, MODE_TICKVALUE)/MarketInfo(s1, MODE_TICKSIZE);
It is like in physics - inertia. The larger the volume - the less unreasonable data variation on the chart.
I will take note of it.
I have made indicator version 1.4 before. it seems to be similar to cluster multicurrency indicator, it looks ugly and overpriced but in idea it should not be overpriced.
In the forex market the volumes data cannot be trusted - this is not the stock exchange, there is no accumuu lation of traded volumes.
Inertia is present, but it is not in physics, but in psychology (mental inertia, the crowd effect, etc.) and mathematical analysis (the effectiveness of high-pass filters in MTS).
X = Minimum Instrument Price Change Size in Deposit Currency / Minimum Instrument Price Change Step in Quote Currency.
It is worth thinking about the maths and logic, but at first glance the calculation is correct.
Pavel, in terms of calculating Leonid's odds, check out the "Spread Trading... https://www.mql5.com/ru/forum/122468, but there are a lot of pages. Start with the last pages of the thread, there are both comments on real trading and indicator codes.
I will take it to heart.
Even earlier I have made indicator version 1.4. It is distantly reminiscent of the cluster multicurrency indicator, looks ugly and seems to overripple, although in theory there should be no overrippling
In the forex market the volumes data cannot be trusted - this is not the stock exchange, there is no accumuu lation of traded volumes.
Inertia is present, but it is not in physics, but in psychology (mental inertia, the crowd effect, etc.) and mathematical analysis (the effectiveness of high-pass filters in MTS).
Guys, to the question of the world currency index... It turns out the following picture. I collected information on the following instruments from CFTC reports:
COT - EURO FX CONCATENATE.csv
COT - BRITISH POUND STERLING CONCENATE.csv
COT - JAPANESE YEN CONCATENATE.csv
COT - AUSTRALIAN DOLLAR CONCATENATE.csv
COT - CANADIAN DOLLAR CONCENATE.csv
COT - NEW ZEALAND DOLLARS - CHICAGO MERCANTILE EXCHANGE .csv
COT - NEW ZEALAND DOLLARS - INTERNATIONAL MONETARY MARKET .csv
COT - PLATINUM - NEW YORK MERCANTILE EXCHANGE .csv
COT - SILVER - COMMODITY EXCHANGE INC. .csv
COT - GOLD 100 TROY OZ - CHICAGO BOARD OF TRADE .csv
COT - GOLD - COMMODITY EXCHANGE INC. .csv
COT - U.S. DOLLAR CONCATENATE.csv
COT - U.S. DOLLARS-JAPANESE YEN - NEW YORK FUTURES EXCHANGE .csv
(No Swiss - missed it...)
After that all these reports are in a separate index: and have placed it as an index on the eurobucks chart from the operators side - obtains an interesting picture - when the movement index (the difference between the current value and its value 6 periods ago) is less than -35 - selim, if more than 35 - bayim, the indicator periods: the index and its movement 156 weeks - three years - to catch the serious moves ... :-))) All movements are worked out from start to finish - we act together with the market operators - red lines - sell, blue - buy.
And on another note, an excerpt from the article - "The list of report files, which can be summarized, is limited only by your imagination. With this powerful tool, you can literally create new reports, a new kind of information! The main convenience, however, is that all actions are performed automatically and you do not have to summarise values manually."
P.S. You can see that there is no "bubble", but there is clear and systematic work.
Pavel, in terms of calculating Leonid's odds, check out the "Spread Trading... https://www.mql5.com/ru/forum/122468, but there are a lot of pages. Start with the last pages of the thread.There are both comments on real trading and indicator codes.
I have been studying this thread for a couple of days, I do not understand it very well.
Guys, on the subject of the world currency index...
After that all these reports are in a separate index and put it in the form of index on eurobucks chart from the operators side - an interesting picture is obtained - when the index movement (difference between the current value and its value 6 periods ago) is less than -35 - we cut, if more than 35 - we miss.