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Date/Time: Fri, 19 Apr 2024 13:06:03 +0000

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Post From: Offering To The Community: Forex: Currency Decorrelation (and Currency Strength)

[2019-03-05 14:45:10]
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bjohnson777 (Brett Johnson) - Posts: 284
ARDAN: When a custom study starts doing strange things that it didn't used to do, it usually needs to be recompiled for the new SC version. Each time you update SC, you should recompile anyways. The externals may look the same, but the internal SC interface has likely changed. On more extreme examples, previous configs may have also gotten stuck in the chart. If that's the case, copy out the human readable configs and rebuild the chart.

The open chart limit makes an attempt to stop an infinite loop that sometimes happens with SC upgrades. 100 is usually enough. I default it to 200 to handle stray cases.

SC can get a little cranky with multiple time frames open (in theory it shouldn't care). If so, make a separate chart book for daily/weekly/monthly charts. That will keep everything clean.

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ILIM KIRGIZ: You have a few things going on.

For your selected Currency To Decorrelate, only symbols with that currency should be in the Symbol List. I think the others are erroring out and are ignored. This would explain the low FLAG values.

In the Other Currencies Symbol List, the symbols should have the Currency To Decorrelate symbol and one other symbol to multiply against. Having a bunch of extra symbols may be ignored or behavior will be undefined.

Any Currency Decorrelation is going to be a heavy calculation (especially tick by tick if you're using it). It's better to run one study instance and then pick out what you need with an overlay.

If you want a little more accuracy, you could play with the weightings a little. For example, USD and EUR will have far more volume than CHF and NZD, yet they are being treated as equal by default.

If there was an easy way to handle all the extra pairs in the chart study, they probably wouldn't do much and would likely skew weightings again. I'm guessing most banks have their own internally decorrelated value for each currency. Adding extra pairs as a kind of average would be like "(2.0 + 2.0) / 2 = 2.0".