Latest update: version 1.06, uploaded June 25, 2009
Latest changes to this post in red typeface
Disclaimer: The attached indicator is supplied 'as is', free of charge. No warranty or obligation of support is implied. Download and use it at your own risk. I hope that you find it useful. It's the initial v1.0 release, please feel welcome to post questions, and report any bugs or shortcomings in this thread.
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Originally designed as a companion to the Recent Candles indicator, the Recent Strength indicator plots the relative strengths of each currency against each other, on any timeframe(s) that you choose. Each colored line represents the strength of a currency averaged across (potentially) all of the related pairs offered by your MT4 broker. You can use it to (1) trade the strongest, or most rapidly strengthening currency/ies, against the weakest ones; (2) establish which currency is 'driving' a pair (e.g. if GBPUSD is rising, ascertain whether it's because GBP is strengthening, USD is weakening, or both); and (3) observe correlations between currencies (e.g. ascertain the extent to which currencies move in unison, or whether certain currencies tend to lead/lag each other). For more information, please see posts #20 and #59 below.
The indicator can potentially be used as an adjunct to any trading system, helping you decide which pair(s) to concentrate your trading on. The screenshot below (settings: NumPoints = 25, SmoothingSMA = 3) illustrates how you could have maximized profit across the D1 timeframe recently, by simply trading the NZDJPY long, without any other TA. The W1 plot shows how JPY switched dramatically from being the strongest currency to the weakest currency (falling most strongly at the right of the plot). Read 'The calculation works....' paragraph below, experiment with the settings, form your own conclusions, and use the indicator however you see fit.
To install, copy the attached Presets---Recent Strength.TXT file into the ...../experts/files folder; copy the attached Recent Strength.ex4 file into the ...../experts/indicators folder, and then restart MT4. Press Ctrl-N to open the Navigator, and drag the indicator (under the 'Custom Indicators' tree) onto your chart. Set the parameters to suit (see the 'PARAMETERS' section below), and click OK.
You can set the parameters either by using MT4's built-in dialog, when you attach the indicator; or by overriding these settings using the Presets---Recent Strength.TXT file (use a text editor like Notepad to view/edit the file). Using the file allows you to save preset values, retaining them for each future time you attach the indicator. To disable an entry in the file, start the line with two slashes (//). To re-enable it, remove the slashes. You may use any number of embedded spaces or underscores, and/or any combo of upper or lower case, to aid readability, however you wish. Every line MUST end with a semi-colon (; ). To save typing and improve accuracy, copy/paste the sample lines in the file. To disable the entire file, rename it, or delete its content; if the file doesn't exist, the Parameter Dialog entries (when you attach/edit the indicator) will be used. To have any changes take immediate effect, either (1) re-attach the indicator to your chart; (2) edit the indicator (press Ctrl-I); or (3) toggle between timeframes.
To expand/compress the plot(s) horizontally, zoom in/out using the +/– keys.
To expand/compress the plot(s) vertically, drag the window separator upward/downward.
The calculation works as follows. Each colored line represents a given currency (see legend at right of chart). Take AUD as an example. Each 'constituent' AUD-based pair that you specify (and that is offered by your broker) – e.g. AUDCAD, AUDCHF, etc – has its closing price on each candle, expressed as a ratio of the closing price of the initial candle plotted (or the BasePoint candle, if specified), and multiplied by the weight you enter (see the 'PARAMETERS' section below for more info on weights). These values are all added together, and the total divided by the total of all the weights. The pair of the parent chart (the chart to which the indicator is attached) is used to align candle times of the constituent pairs, to help work around the potential problem of missing data. If a currency is 'inverted' (e.g. GBPAUD instead of AUDJPY), then the reciprocal (1/n) is summed, so that an upward plot will always indicate a strengthening AUD, and a downward plot a weakening AUD. If the SmoothingSMA parameter (see below) is set to a value > 1, then additional prior points are used to smooth the initial values being plotted. Finally the values are then re-scaled to a value between 0 and 100 (relative to ALL values being plotted in a given timeframe). See post #7 for more information.
Note that the accuracy of the plots is restricted to the pairs, and the data (on each pair/timeframe), provided by your broker. More pairs will result in a more comprehensive plot. Missing data will result in an inaccurate curve being plotted. Use MT4's history center (press F2) and/or temporarily view charts of constituent pairs/timeframes (use the PageUp key to add more data to the left of the chart) to gather more data for plotting. Amongst MT4 brokers, www.migfx.com is one candidate whose MT4 provides ALL possible 28 pair combos involving the major currencies (AUD, CAD, CHF, EUR, GBP, JPY, NZD, USD) from which to gather data (this is not necessarily an endorsement to trade with them, though).
PARAMETERS
ParameterFile - if left blank, the parameter file Presets---Recent Strength.TXT will be used. Settings in this file will override those entered in the dialog window when the indicator is attached/edited. If you enter a value (e.g. XXX), then the parameter file Presets---Recent Strength.XXX will be used instead. This makes it easy to switch between a number of different settings. All parameter files must reside in the ....../experts/files folder
TimeFrames - select the timeframes you wish to see, separated by commas. If displaying only one timeframe, a trailing comma is not required. Leaving this parameter blank defaults to the timeframe of the chart to which the indicator is attached. The spaces are optional, and are included merely for clarity. Upper/lowercase may be used interchangeably (e.g. H1 or h1). Time frames will display in the left-to-right order in which you type them. See note below on computer performance
NumPoints – how many points (candles) back from the currently forming one, that you want to see. For example, to see the currently forming data point, and also the last 3 points, type 3. Typing a single value will display that number of candles for all timeframes. Typing multiple values, separated by commas, allows a different number of candles for each timeframe (by matching the NumPoints entry with the corresponding TimeFrames entry)
BasePoint – the 'anchor' point used as a reference, from which all ratios are calculated, counting back from the rightmost candle. A negative value means that BasePoint will be set equal to NumPoints, i.e. the leftmost point is also the base point. A zero value means that the rightmost point is the base point. Typing a single value will display that BasePoint for all timeframes. Typing multiple values, separated by commas, allows a different BasePoint for each timeframe (by matching the BasePoint entry with the corresponding TimeFrames entry). See the illustrative example screenshots below
HistoricalShift – enter 0 to display the current plot. Enter a positive number to display the plot as it would have looked X points (candles) ago. Typing a single value will display that HistoricalShift for all timeframes. Typing multiple values, separated by commas, allows a different HistoricalShift for each timeframe (by matching the HistoricalShift entry with the corresponding TimeFrames entry). This will likely be necessary, e.g. to see the plots as they were 4 hours ago, you'd need to type 1,4,8,16,48 for the H4,H1,M30,M15,M5 timeframes, respectively
SmoothingSMA – applies a simple moving average (SMA) to smooth the data being plotted. Default value of 1 effectively means no smoothing. The larger the value, the greater the smoothness (and the clearer the view), but the greater the lag. Applies to all selected currencies and timeframes. The sum of NumPoints + SmoothingSMA must NOT exceed 500
SetBaseCurrency – leave blank for a 'normal' plot. Otherwise, type in the symbol of one of the currencies plotted, to have that currency's plot appear as a horizontal line (zero point), and all of the other currencies' plots re-scaled relative to that currency. In typing the symbol, upper/lowercase may be used interchangeably (e.g. USD or usd). Permissible abbreviations are: A=AUD; C=CAD; E=EUR; F=CHF; G=GBP; J=JPY; N=NZD; U=USD; H=HKD; S=SGD; Z=ZAR. So you could type G or g instead of GBP, for example. If the currency name typed is not exactly 1 character, the abbreviation will not be recognized
UseTickvolForWgt – if set to FALSE, this will cause the weights in the Cn_Pairs_Wgts to be used, to weight the plot according to each constituent pair. If set to TRUE, the tick volume for each constituent pair will be summed across the points that are being plotted, and this value will override the Cn_Pairs_Wgts value
ShowPointCount – if set to TRUE, displays a counter above the plot, showing the number of candles from the BasePoint. If set to FALSE, the date/time of each data point will be displayed instead
Text Color/Font/Size – should be self-explanatory. Font name must be spelled correctly for Windows to recognize it. Color must be spelled correctly, but may contain embedded spaces, and upper/lower case may be used interchangeably
RefreshEveryXMins – if set to 0, this will cause the window to update itself immediately a new tick occurs. If set to 1, 5, 15, 30, 60, or 240, this will cause the window to update itself immediately a new candle appears on the 'parent' pair's chart (the chart to which the indicator is attached). See note below on computer performance
OutputFile – if left blank, no output occurs. Otherwise, typing in the name of the file here will cause CSV output of all values plotted to be exported to the file name that you specify, in folder ...../experts/files, every time the indicator refreshes. The content of this file could then be imported by an EA, or by an application like Excel, for use in further analysis
CurrencyN – the currency you want plotted in buffer# N. MT4 allows a max of 8 buffers, conveniently allowing all 8 major currencies to plot on the same chart. To disable a currency from being plotted, set this entry to blank. In typing the symbol, upper/lowercase may be used interchangeably (e.g. USD or usd). Permissible abbreviations are: A=AUD; C=CAD; E=EUR; F=CHF; G=GBP; J=JPY; N=NZD; U=USD; H=HKD; S=SGD; Z=ZAR. So you could type G or g instead of GBP, for example. If the currency name typed is not exactly 1 character, the abbreviation will not be recognized. Reducing the currencies plotted to only those that you're interested in, makes the tangled mess more easily viewable
Cn_Color, Cn_Style – the color and style for each plot. Color must be spelled correctly, but may contain embedded spaces, and upper/lower case may be used interchangeably. Valid values for style are: 10 = solid line of width 1; 11 = dashed line; 12 = dotted line; 13 = dash-dot; 14 = dash-dot-dot; 20, 30, 40, 50 = solid line of width 2, 3, 4, 5 respectively
Cn_Pairs_Wgts – a list of the constituent pairs that will be summed to form the plot of a given currency, and the weight attached to each. A maximum of 20 pairs/weights may be included. The format MUST be <pair1>,<weight1>,<pair2>,<weight2> , etc, with ALL commas correctly in place. The entry may optionally be ended with a final comma. Embedded spaces may be used to aid readability. Pair IDs that are mis-spelled, spelled 'backward' (e.g. USDGBP instead of GBPUSD), or are otherwise not provided or recognized by your broker's MT4, will be ignored. However, upper/lowercase may be used interchangeably (e.g. USDCHF or usdchf), and you may also use the following abbreviations: A=AUD; C=CAD; E=EUR; F=CHF; G=GBP; J=JPY; N=NZD; U=USD; H=HKD; S=SGD; Z=ZAR. So you could type GJ or gj instead of GBPJPY, for example. If the currency name typed is not exactly 2 characters, the abbreviation will not be recognized. A weight of 100 is 'normal'. To have a constituent pair contribute twice its own weight to the line being plotted, enter 200 after the pair name; 75% of its own weight, enter 75; and so on. To have a pair omitted from consideration, either set its weight to 0, or remove it from the list. Trimming the list of constituent pairs to only those offered by your broker, will improve computer performance (see note below)
Cn_ScaleFactor – default values are 100, which mean that the indicator works exactly as before. Use this parameter to re-scale the currency's plot, aligning it more accurately with actual pip movement, as opposed to a percent average. A value of 200 would double the width of a plot, relative to the other currencies' plots; a value of 50 would halve it; and so on
COMPUTER PERFORMANCE
This indicator has the potential to slow your MT4 down dramatically, since it must gather data from several constituent pairs, and timeframes, to create the plotted curves. If performance becomes unacceptably slow, try the following –
attach the indicator to one chart only
avoid setting RefreshEveryXMins to 0. A value of 1 or 5 will ensure that the charts are only re-checked once every 1, or 5, minutes respectively
reduce the number of timeframes being plotted, i.e. the TimeFrames parameter
trim the list of constituent pairs to only those offered by your MT4 broker
CHANGE HISTORY
v 1.00: Initial release.
v 1.01: Fixed bugs described in post #9. Added BasePoint parameter.
v 1.02: Added ShowPointCount parameter (see post #17 for screenshot). Increased max NumPoints+SmoothingSMA value from 200 to 500.
v 1.03: Added Cn_ScaleFactor parameter.
v 1.04: Added UseTickvolForWgt, SetBaseCurrency and HistoricalShift parameters. Can have a different NumPoints, BasePoint, and HistoricalShift value for each timeframe. TimeFrames now display left-to-right in the order that you type them. Abbreviated currency/pair symbols (e.g. EU, GJ) can now be entered. Indicator ShortName has been abbreviated.
v 1.05: Added ParameterFile option, allowing multiple user-selectable parameter files. Date/time now displayed above each data point if ShowPointCount = FALSE
v 1.06: Added OuputFile option (see above for details)
I'll toss it on the front porch tonight and see if any cats take a bite.
IBFX's new five digit format won't be a problem I trust.
The plots look like spaghetti rather than cat food. Or worse, a can of worms that's been opened.
I've tried it on Alpari, which uses 5 dp, and it seems to work OK. In any case, every component of each plotted point is the ratio between two prices, so the number of dp shouldn't matter. However, the accuracy of your broker's data is crucial; missing candles or inaccurate prices will affect the output accordingly.
__________________
Return is the product of knowledge, implementation, and risk
Firstly, congratulations and thanks, looks like an awesome piece of work.
Secondly, may I ask, what do the "spaghetti lines" actually represent ?
Take the M15 one, is that . . . Blue line a visual description of how price performed relative to everything in the last 15 minutes.
A blue line represents a "rolling" 15 minute period, or does it "update" every fifteen minutes ?
I think I am explaining what I mean here poorly but I hope you understand the question.
Thirdly, I have a few different computers and multiple screens set up for trading, however upon setting up the indicator on different computers. It "looks different" on the different computers. The feed is exactly the same in both cases ( SIGTrader (All 28 cross pairs available, 4dp) )
Just wondering what you think is causing this (The problem could probably is on my end, considering how poor I am at basic computer stuff, lol but I did put the indicator itself in /experts/indicators and the other word file in /experts/files . . .
I think its a problem with the weekly timeframe section, it appears to not be functioning on the second pc. . .
Screen from Computer One (Other screen to follow, let me just go log in on the other computer)
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And how can man die better / Than facing fearful odds / For the ashes of his fathers / And the temples of his Gods ?
And heres the second one which does not look like it is functioning properly.
Regards,
Jig
EDIT - The screenshots were taken within 10 seconds of each other, but it seems to be the sort of . . . "history" of the lines is a bit skewed from one to the other.
__________________
And how can man die better / Than facing fearful odds / For the ashes of his fathers / And the temples of his Gods ?
Firstly, congratulations and thanks, looks like an awesome piece of work.
Secondly, may I ask, what do the "spaghetti lines" actually represent ?
Take the M15 one, is that . . . Blue line a visual description of how price performed relative to everything in the last 15 minutes.
A blue line represents a "rolling" 15 minute period, or does it "update" every fifteen minutes ?
I think I am explaining what I mean here poorly but I hope you understand the question.
Thirdly, I have a few different computers...
What do the spaghetti lines represent?
The best way is to understand the underlying calculation.
Let's take the AUD line on the H1 timeframe, for example, and (hypothetically) assume that your broker allows you to trade just 3 AUD-based pairs, AUDUSD, AUDJPY and AUDNZD. Let's also assume that you've set NumPoints = 5, and that the 16:00 candle is currently forming on your H1 chart. First, the indicator looks at AUDUSD, and goes back 5 completed candles, i.e. to the 11:00 candle. It then calculates the closing price of each of the 11:00, 12:00, 13:00, 14:00, 15:00 and 16:00 (currently forming) candles as a ratio of the first (11:00) candle. It then repeats this exercise for the AUDJPY and AUDNZD. Then it adds the ratios for each candle, so for the 13:00 candle for example, the result is [AUDUSD(13:00) / AUDUSD(11:00)] + [AUDJPY(13:00) / AUDJPY(11:00)] + [AUDNZD(13:00) / AUDNZD(11:00)]. The same applies for each of the other candles.
Note that this assumes that you've set the weights for each pair the same, i.e. 100. But if you've set the weight of AUDUSD to 200, then the calculation becomes [200 x AUDUSD(13:00) / AUDUSD(11:00)] + [100 x AUDUSD(13:00) / AUDJPY(11:00)] + [100 x AUDNZD(13:00) / AUDNZD(11:00)]
The weights are then summed, i.e. 200+100+100 = 400, and the total of the ratio for the 13:00 candle divided by the total of the weights,for the 13:00 candle. Same for all of the other candles. So, to explain all of this simply, you have a weighted average of the percent price increase/decrease of all AUD-based pairs, since 11:00, at each point 11:00, 12:00, 13:00, 14:00, 15:00 and the currently forming 16:00 candle. It's like you took the closing prices of each one of these candles across all 3 pairs, averaged them, and then plotted this average result.
All of that was for the AUD currency, producing the green line, showing the ratio at 11:00, 12:00, 13:00, 14:00, 15:00 and 16:00 as the line moves from left to right. The process is repeated for each other currency, producing the diffrerent colored lines.
A couple of other points. Constituent pairs for the USD currency include GBPUSD and also USDJPY. In the case of GBPUSD, each ratio is inverted, beacuse an increasing ratio means that USD is weakening. So the 13:00 candle would be comprised of [GBPUSD(11:00) / GBPUSD(13:00)] + [USDJPY(13:00) / USDJPY(11:00)] + ......
In this way, a strengthening USD (relative to other currencies) will always show as a rising line, and a weakening USD as a falling line.
There is also a SmoothingSMA parameter. This takes all of the ratios, and uses a simple moving average to smooth the result. So if you set the SmoothingSMA = 3, then the plot at 13:00 (for example) is actually the average of the 11:00, 12:00 and 13:00 weighted averages that were calculated as described above. If you set SmoothingSMA = 1, then a 1 period SMA means that no smoothing is performed.
The final step in the process takes all of the points for each currency plot (AUD, CAD, CHF, EUR, GBP, JPY, NZD, USD) each timeframe, and simply re-scales them so that they fit within a 0 to 100 grid. That gives the end result.
So what does all of this mean? Let's suppose that AUD is getting stronger against every other pair, between 11:00 and 16:00. Then it will show as a rising line in the H1 plot. If it is getting weaker, it will plot as a falling line.
In writing this indicator, it drove home the fact to me that is that there is no such thing as 'absolute' price in forex. A pair's 'price' is actually nothing more than a constantly changing ratio of the values between the constituent currencies, e.g. EURUSD's 'price' is really the ratio of EUR's value changing, measured against USD (and/or vice versa).
A blue line represents a "rolling" 15 minute period, or does it "update" every fifteen minutes ?
It depends on your RefreshEveryXMins setting. If this is 0, the plots update with every tick on the parent chart (the chart to which the indicator is attached). Actually, it's only the final point (on the currently forming candle) whose weighted-average ratio is changing, but the act of re-scaling the values to fit the 0 to 100 grid can cause the whole plot (for a given timeframe) to move around. But, apart from the rightmost (currently forming) point, the shape of the plotted points relative to each other should remain exactly the same.
If your RefreshEveryXMins setting is 1, 5, 15 etc, then an update will only occur immediately a new 1, 5 or 15 minute candle starts to form on the parent pair's chart.
Why are you getting different results on your different computers?
The indicator is performing the same calculation in each case. If the results are different, then the data has to be different - it is the only possible explanation. Because of the way in which the ratios are calculated, and the way in which results are scaled, this indicator is VERY data-sensitive. Slight vagaries in the data can potentially cause very different plots. If you set the NumPoints to a low (e.g. < 20) value, then these plots can swing wildly, especially on lower timeframes, as each new tick arrives. If you feel that you must use the indicator on the M1 and M5 timeframes, then you need to keep this in mind.
I believe that the calculation is working 100%. I spent a long time exporting values of all of the constituent currencies to Excel, having the latter perform the same calculations, and comparing the result.
I will try to find ways of making the indicator more robust, in terms of dealing with spikes caused by 'fast-moving' incoming data, and also with missing data. Currently, the best way to obtain meaningful plots is to use several (>30) data points, and apply some smoothing (e.g. SmoothingSMA = 3). However, supposing you have 30 points and smoothing = 3, then there needs to be at least 30+3=33 immediately prior candles, with none missing - depending on your broker, this might be a problem on higher (e.g. monthly) timeframes. Inusfficient data on ANY constiutuent pair will cause one of the colored plots to run along the zero line, destroying the whole plot. Also, if you're going to set NumPoints to a high number, remember that the currency's most recent strength/weakness is reflected in the direction/slope of the line near the RH edge of the plot. The position on the plot (high or low) is simply the averaged price ratio relative to the price ratio of the leftmost point.
There is also one bug that I know of - the vertical lines separating the timeframes lose their alignment, as new candles get added to the parent chart. This will be fixed in the next release. In the meantime, toggle between timeframes to tidy/replot the indicator.
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Return is the product of knowledge, implementation, and risk
Thankyou very much for expounding on that, I think I have solved the earlier problem by simply adding them again a the same time. I understanding more clearly now.
Best regards,
Jig
__________________
And how can man die better / Than facing fearful odds / For the ashes of his fathers / And the temples of his Gods ?
This version adds the BasePoint parameter, and also fixes a bug where occasionally (especially on the M1 plot) a single zero value, caused when one of the currencies hadn't yet received a tick in any of its constituent pairs, corrupted the plot. The result was the affected currency would plot as a value of 0, with all others plotting as 100. Hopefully this is now fixed. See screenshot below.
The alignment problem, when the parent pair starts a new candle (displacing the plots one candle leftward) has also been fixed.
See post #1 for more info (including two new explanatory screenshots), and also to download v 1.01.
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Return is the product of knowledge, implementation, and risk
Last edited by hanover, Apr 13, 2009 6:48pm
Reason: added screenshot
Your approach to multiple-pairs charting has opened my eyes in daytrading. I've a suggestion and a nuisance.
A different NumPoints value and scale value for each microchart would help resolve several issues. You noted the microchart changes severely with a different time the indicator's put on the chart; it also changes depending on NumPoints's value, that is, on how much time is included in all of the indicator's microcharts; and, there's the potential work time on charts for eight currencies, since one often gets a completely different group of currencies to study for the same scale and different NumPoints.
Also, x scales gives x-1 microcharts, the last missing (as in R. Candles.)
Even if these suggestions don't work for you, thanks for the great new indicator.
Your approach to multiple-pairs charting has opened my eyes in daytrading. I've a suggestion and a nuisance.
A different NumPoints value and scale value for each microchart would help resolve several issues....
I could easily modify the indicator to allow a different NumPoints (and also BasePoint and SmoothingSMA, if required) values for each timeframe. My only reservation would be that it makes a conceptually complex indicator even more so.
I'm not sure what you mean about the scaling. Do you mean horizontally or vertically? If vertically, then the final results (weight-averaged ratios) are scaled to fit into a 0 to 100 enclosure. Even if this scaling were altered, the curve shapes, slopes, intersection points, etc would not change.
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Return is the product of knowledge, implementation, and risk
EDIT: An addition. My last seven (demo) trades, all to the good, have been based on the NumPoints picture above, that is, reading their 5' timeframes to trade the 1', a great, even relaxing way to get a majority view on which pair has a high-probability situatoin to trade in bringing the highest and lowest currencies (except aud, nzd) into a pair, before the usual PA study. Maybe this'll break the demo habit...
Thanks for the indicator. This is going to be very useful.
Currently I have a separate piece of software that does essentially the same thing and I have been on the look out for one in MT. It will be interesting to see how closely the two resemble each other.
I have found it helpful in gauging the strength of a move in a Pair.
It is also useful in gauging the likelihood of the pair moving through a point of Support or Resistance.
I would often watch the strongest currency vs. the weakest one and wait for a retracement to a point of S or R and enter. These turned out to be very high probability trades.
Anybody else having trouble getting this to work? The indicator shows up but does not plot any lines. I have MT4 with IBFX.
I just created a demo account with IBFX - see the result below.
Two possible causes:
1. Lack of data. Solution: you need to go to each pair (and then to each timeframe), and press the PageUp key a few times, to load data for every pair/timeframe, from IBFX's server(s). The indicator can only plot whatever data is available. Incomplete or inaccurate data is reflected in the plots. I can not stress this highly enough. You can press F2 to load MT4's history center, and check what data is available for each pair/timeframe.
2. If you type a single timeframe (e.g. H1) into the TimeFrames parameter, no data will plot - you need to include a comma, i.e. H1,. I have fixed this oversight in the latest release, which I'll post soon.
If neither of these appears to be the problem, please list the parameters you're entering, and I'll investigate further.
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Return is the product of knowledge, implementation, and risk
Recent Strength indicator
Recent Strength indicator
