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Applying indicators to multiple currency pairs #480436
06/06/20 18:14
06/06/20 18:14
Joined: Mar 2020
Posts: 23
Coppell, TX
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SteveG Offline OP
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SteveG  Offline OP
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Joined: Mar 2020
Posts: 23
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I am not sure if this is the place to discuss this and if not, please let me know

I was reading the manual and came across the Currency Strength function under the Analysis section.

I can see by the sample code that you can store the strongest / weakest names in a string.

First, is this function being performed on all the currencies you have access to where you can determine the best pairing of strong versus weak currencies?

Is this a process that could be used as a pre-cursor to filter out just the best relative strength pairs before moving on to the next part of the strategy where your algorithm determines entries, stop losses, trade management, etc. ... basically as part of an entire trading system? I guess the data of Best and Worst would need to be saved to a text file that would then be read into the trading strategy file that would get the series price data? It looks like the code in the example are just using OldBest & OldWorst (Best & Worst) as string variables.

// store previous strongest and weakest asset names
strcpy(OldBest,Best);
strcpy(OldWorst,Worst);


I am still reading and learning, so I know enough to be dangerous. However, right now I am thinking conceptually about how I can use (and if I can use) all these various functions in an overall strategy. I know the basic flow is linear, with looping and decision making along the way to determine the next course of action. But can these systems be constructed in a modular fashion? Is there anything I can read that would help me to better understand how to take all these various functions as modules and work them into the trading strategy process?

Thanks

Re: Applying indicators to multiple currency pairs [Re: SteveG] #480437
06/06/20 18:29
06/06/20 18:29
Joined: Mar 2019
Posts: 182
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danatrader Offline
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I suggest you the Robowealth Blog, Finbacial Hacker and of course the Black Book 3rd edition.

Then there is the question about what you want to achieve.
Actually I did create a somewhat nice Currency strength strategy.

Just I moved on for now, cause I need sometzhing faster (higher trading frequency) the trades where hold on to pretty long.
But I plan on going back to it.

So of course, you can save the returned value of that function, and use it in your trading decisions.
Not only the weakest / strongest.

But, reading the code, it says all basis currencies / other, that means, e.g. I have also USD/MXN but e.g. no EUR/MXN so that would mess up the calculation.
The sample code works, also the returns are / depending on the chosen comparison indicator, threshold etc. not the greatest.

Did not die deeper into that.

I would also encourage you to check the demo script and article of Petra on the financial hacker about CCY.

Last edited by danatrader; 06/06/20 18:29.
Re: Applying indicators to multiple currency pairs [Re: SteveG] #480442
06/06/20 21:32
06/06/20 21:32
Joined: Mar 2020
Posts: 23
Coppell, TX
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SteveG Offline OP
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SteveG  Offline OP
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I will take a look again at the Robowealth & Financial Hacker Blogs.

I am intrigued by the CCY and read about it on Financial Hacker & code that was published in the recent edition of Stocks & Commodities.

When I first started looking into determining the strength and weakness of currencies in order to narrow down and select the best pairs to trade, there was (and is) plenty out there being published about which pairs were the strongest/weakest, but only as of today (i.e. last 24 hours). A currency doesn't just become the strongest/weakest over night and I have seen many times where picking this combination ends up selecting the pair that fizzles out fairly soon. So I got to thinking if there were a way to determine if the strengthening and weakening had their own trend or momentum, then I could maybe identify the best pairs earlier. I came across an EA for MT4 called the CCfp Cluster Indicator that was being discussed extensively and they are using it to trade baskets of currencies. I wouldn't be looking to develop something in Zorro to trade currency baskets, but help to make the strategy more rigorous since you can have the right entry signals, but if it just sits there because the big money is not behind it, it becomes a wasted trade. This is why I was interested in the Currency Strength function with Zorro and if it did something similar and if so, how could it be used as a filter for all currencies in my drop down list, either before or after the entry decision which is only dealing with the price series for a single currency pair. I probably need to better understand the syntax and yes I will continue to read through the Black Book.

Thanks

Re: Applying indicators to multiple currency pairs [Re: SteveG] #480447
06/07/20 04:46
06/07/20 04:46
Joined: May 2015
Posts: 267
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Grat Offline
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Also is good Baluda SuperSlope indicator.

Re: Applying indicators to multiple currency pairs [Re: SteveG] #480448
06/07/20 05:25
06/07/20 05:25
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danatrader Offline
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Well the CCY strength is interesting.

Actually I did like it too once I did read about it.
My thought was to actually extend it, not only by the pairs available to me to trade, but also extend it somehow.

The basic thought was, download more pairs (e.g. from Stooq) to extend the calculation (amount and pairs must match, e.g. download USD/HKD, also of course would require EUR/HKD, NZD/HKD, etc.).

The second is, the basic idea, if e.g. EUR/GBP is stronger / weaker than GBP/USD, not trade the strongest / weakest, but trade their Cross pair.
I actually already had something glued together, and it is valid.

Cause, although you have strongest/weakest, the direct cross pair still behaves different.
There is people saying, there is no arbitrage, that might be true for Broker Arbitrage, but triangular Arbitrage exists, often by a lag of 1 to 3 days.


That is of course understadable, cause if somewhere, someone sells a big cung of GBP/USD, someone else holding EUR/GBP, is totally in a different situation.
Moneyflow does not change direction one day to the other, of yourse you will always see, that the pairs seem to move with the big moves in the market too, just their beta is different.

Buyers in EUR may need GBP, so what we see in the e.g. 1 min chart, does not always preveil in the 1 hour or higher chart.

Re: Applying indicators to multiple currency pairs [Re: Grat] #480469
06/08/20 14:18
06/08/20 14:18
Joined: Mar 2020
Posts: 23
Coppell, TX
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SteveG Offline OP
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SteveG  Offline OP
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Joined: Mar 2020
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Coppell, TX
Originally Posted by Grat
Also is good Baluda SuperSlope indicator.


I wasn't able to find out anything of this indicator other than a download for MT4. Others in the same discussions mentioned CSS instead.

Thanks


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