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There is a forex indicator for Metatrader called 'FXCorrelator' from a popular member on T2W called NVP. Just wondered if anybody knows whether somebody has managed to code this in Ninja Trader? I am interested in the indicator, but I use IB for my data feed and Metatrader don't work with IB. Further info about the indicator can be got from the links below:
The indicator is relatively easy to code. It just looks at a slow linear weighted moving average of the major currency pairs now and 1 period ago. Then the results are added up for each currency pair to calculate an index representing the strength of that currency.
The indicator has two conceptual weaknesses:
(1) When evaluating the strength of the USD, its relative position against the NZ dollar is considered as important as its relative position against the EUR. I do not believe that this makes sense, but that the different currency pairs need to weighted according to their liquidity.
(2) The different positions are weighted by using an arithmetical mean. An arithmetical mean is quite sensitive to outliers, a geometrical mean would have been the better choice.
An example, how to define a currency index is the US dollar index. It does not take into account the NZD, but takes the EUR, JPY, GBP, CAD, SEK and CHF. The Euro accounts for over 50%.
A more complex example is the Broad Index, which is published by the FED. It has a higher weighting of the Japanese Yen, as the Chinese currency is not yet freely convertible.
It is relatively easy to convert the indicator to NinjaTrader and improve it at the same time.
Hi Danjuma, I am not a coding wizard like some of on the site, but it looked like an interesting project, so I coded my own version. I used an SMA instead of a Weighted average, and I found it to be more useful if you change the smoothing out to say, a 50 period SMA, but you can change it to whatever you want.
Something to note, my coding is not clean, in the sense that it is ugly from a programmer's perspective, but it seems to do what your model does, and I didn't want to use his code, since obviously, if this violates someones proprietary code, it has to come down. Also, I didn't compile and export, so if you want to use it, you'll have to copy and paste it into your own ninjascript. (It looks better on a dark chart)
After playing with it for a few minutes on a daily chart from the last 3000 days or so, the most interesting aspect seems to be the tendency for these relatively stable currencies to return to parity after they diverge. A contrarian approach might suit it well.
Of course, there is the distinct possibility that I missed the point of the indicator, followed by the equally distinct possibility that I misswrote it when i coded it!
...And then there is what FatTails wrote above. It seems to have some fundamental flaws in it's currency valuations. (again, could be my version, but in my experience, FT is usually pretty good at spotting these things) On the brights side, it makes very pretty multicolored squiggly lines, and that is probably the most important hallmark of a good indicator (again)
