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Any ideas on how to program this?


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Any ideas on how to program this?

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  #1 (permalink)
c12345
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Posts: 81 since Sep 2009
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Any idea on how to program this to track the different currency pairs?

Any input is appreciated.

Thanks

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  #3 (permalink)
c12345
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The CCYX:
Currency Strength Index “CCYX” disassembles every pair and isolates the individual currencies.

Im trying to figure out what it measures the different pairs against...?

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  #4 (permalink)
 sam028 
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I think it's one currency vs a basket of all major curencies, so you can have USDX, EURX, etc.
Found from another website:
Quoting 
Current USDX volume is calculating as weighed average geometrical volume of six word’s currencies rate changing (Japan yen, Euro, British pound, Canadian dollar, Swiss frank and Swedish crone) to the US dollar.

USDXt=50,14348112 x (EURt)–0,567 x (JPYt)0,136 x (GBPt)–0,019 x (CADt)0,091 x (SEKt)0,042 x (CHFt)0,036

The base of the index is the basket of six currencies which form the main volume of US foreign trade turnover. Most part of the international trade volume goes with Eurozone (57,6 %), then Japan - 13,6 %, Great Britain - 11,9 %, Canada - 9,1 %, Sweden - 4,2 % and Switzerland - 3,6 %

The ratios are not good anymore, it was an old post.

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  #5 (permalink)
c12345
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Posts: 81 since Sep 2009
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If you watch the video:
YouTube - FOREX CURRENCY STRENGTH CHART - TradingFX.com Range Bar Charts

It discusses that its looking the individual pairs, and then plotting them vs the net-change, I believe.. I have to listen to it a few more times, and catch that part again.. But you can sign up for a demo of it.. I do find it very helpful.. BUT the 297/00 month price tag is getting expensive....

There is another post over at forexfactory talking about a similar indicator for MT4:
Spaghetti Indicator !!! (28 Pair Relative Strength ) @ Forex Factory

I posted a few screen shots of this running in MT4.

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  #6 (permalink)
c12345
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I've posted below some examples of the indicator vs the one developed in NT 7.0

As you can see it looks similar, but NOT exactly similar... Not sure if anyone had any input or suggestion on the math formula..

The formula used is summarized:

EURUSD is up .001 on the day(USD is base, so we give negative multiplier)
USDJPY is up .001 on the day (USD is quote, so we give positive multiplier)
USDCAD is down .002 on the day (USD is quote, so we give positive multiplier)

I then divide the net change for the day by the ticksize for the pair.

EURUSD = 10
USDJPY = 10
USDCAD = -20

So our formula would be:

EURUSD*-1 + USDJPY*1 + USDCAD*1
USD = (10*-1) + (10*1) + (-20*1) = -20


If the colors are hard to read, here is the output in comparison from mine to theirs (My Results are on the LEFT)
My 15 MIN WHITE IS: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
USD AUD
CAD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

MY 1 MIN ORDER: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
CAD AUD
USD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

MY 5 MIN ORDER: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
CAD AUD
USD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

Any suggestions for getting it JUST right, would be very helpful.....

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  #7 (permalink)
c12345
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Posts: 81 since Sep 2009
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Here are shots of the one that I am trying to get working....

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The following user says Thank You to c12345 for this post:
 
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  #8 (permalink)
 Trader.Jon 
Near the BEuTiFULL Horse Shoe
 
Experience: Beginner
Platform: NinjaTrader
Broker: MBTrading Dukascopy ZenFire
Trading: $EURUSD when it is trending
 
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Posts: 500 since Jul 2009
Thanks: 401 given, 183 received


c12345 View Post
I've posted below some examples of the indicator vs the one developed in NT 7.0If the colors are hard to read, here is the output in comparison from mine to theirs (My Results are on the LEFT)
My 15 MIN WHITE IS: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
USD AUD
CAD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

MY 1 MIN ORDER: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
CAD AUD
USD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

MY 5 MIN ORDER: THEIR ORDER:
GBP GBP --> Correct
EUR EUR --> Correct
NZD CAD
CAD AUD
USD USD
AUD NZD
CHF CHF --> Correct
JPY JPY --> Correct

Any suggestions for getting it JUST right, would be very helpful.....

Do you have to have it 'just right' ?? Maybe I am misunderstanding: is the plan to trade the pair that has the max difference at a point in time? Since I dont see timestamps anywhere it is difficult to look at history ... for the dat in question it looks like Pound gained strength and Yen weaken, so the GBPJPY would be developing the best potential for momentum in a trade?? From the looks of your results you have a workable solution already.

Otherwise, I personally would consider a ROC(LinReg(Ratio2Instruments)) type of experiment to see what type of output you get, but yours looks very doable.

As said, I must be missing something ... ?

Keep up the great work !!

Jon
Jon

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  #9 (permalink)
c12345
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Posts: 81 since Sep 2009
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UPDATE:

I corrected the main formula used to determine the overall strength/weakness of the different currencies, and so far so good, it needs a few minor tweaks done, more cosmetic than anything, but its doing what we want it to do. Will post some screen shots when I have some time..

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  #10 (permalink)
 Trader.Jon 
Near the BEuTiFULL Horse Shoe
 
Experience: Beginner
Platform: NinjaTrader
Broker: MBTrading Dukascopy ZenFire
Trading: $EURUSD when it is trending
 
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Posts: 500 since Jul 2009
Thanks: 401 given, 183 received


Are you making any adjustment for time of day or volatility at time of day? Ratios are interesting, and potentially could be redundatnt if a pair is at the time of day where that market is too thin but still modifing the calculations affecting other pairs.

Jon

Writing to you from the wonderful province of Ontario, Canada. Home to the world's biggest natural negative ion generator, the Niagara Falls, and to those that dare to know how to go over it in a barrel. SALUTE!
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