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Direct MessagesDate/Time: Thu, 25 Apr 2024 19:52:08 +0000
Post From: Offering To The Community: Forex: Currency Decorrelation (and Currency Strength)
| [2018-12-15 21:40:19] |
| Halco - Posts: 92 |
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Hey Brett, I'm back to bug you again. David Letterman used to do a bit called "Is This Anything?". So I'm wondering, is this anything: It's kind of a breadth indicator, based on the closing slope of each of the 7 currency lines in the DFP study. In a spreadsheet study I sum the number of the down-sloping currencies and then I plot that as 7 and 21 period moving avgs on the chart. So if the ma is going up the primary currency is gaining strength because more of the other 7 currencies are weak against it and if it's going down the currency is getting weaker as more currencies are strong against it. Of course some may be flat, I haven't adjusted for that yet. This is crude at this point, experimental. And bear with me, I'm learning how to create spreadsheets studies while I'm doing this. I can do simple stuff in Excel so I know just enough to squeak by here. I think I've setup everything correctly. This is a 20-min chart of the USD decorrelated index with the "breadth indicator" below it. A-B is a small trading range (within a larger range), at B the highs are equal to A in the currency while the indicator makes a lower high. At D the index springs C with a lower low but the indicator makes a higher low. At D to E there is a breakout and uptrend, confirmed by the indicator. This is just one bit of one chart, but I'm intrigued. There are all kinds of refinements you could experiment with such as different ma periods or you could make the formula for the last 2 closes down, or 3, or the last 3 out of the last 5. Or maybe also make an up-sloping version, then plot them both as a ratio. Maybe apply some kind of standard deviation of the ma's. It would certainly be better with more currencies, 10 would be nice, but this is still interesting. Anyone have any thoughts? Thanks! http://www.sierrachart.com/image.php?Image=1544909594427.png Date Time Of Last Edit: 2018-12-16 09:10:50
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