@9047
An MTF Correlation indicator, that looks great...
I was going to add a correlation widget in my app as all data is streamed from MT4, but i never got around to it. I think it's better to have a tabular form like your second pic, but have shades of green and red to easily identify tight correlations.
Does your indy ever hang MT4?
Which mql4 function do you use to send historical data to your DLL?
I created a tick momentum widget that updates every second and splits all the symbols into their base/quote currencies. If the white line (EUR) is above the orange line (AUD) then you look to buy EURAUD for example. If this was used with your correlation indy, it may glean more info. From the pic below, you can see how tightly correlated the ticks are on the GBP, EUR, CAD & CHF. The green (NZD) and orange (AUD) tend to move together but not as tightly.
I think your tool is similar to what high frequency algos do, they look for correlations and then if there's a delta divergence they trade the arbitrage with the expectation the instruments will marry up again. So you could do a fractal analysis and compare the correlation at each wave hilo and if they diverge from an historical median, then the indy would alert you of the disparity; a lot of data crunching though. You'd need to do this across dozens of charts on all timeframes to spot the moves, but then the spread & slippage becomes a factor for retail accounts.
I prefer to simplify matters by using the SPX which seems to have a negative correlation with the commodity pairs. I also use other widgets to identify and track certain barometer pairs so i can identify market sentiment.
But with FED interventions, it's probably easier to just buy EURxxx and sell AUD, CAD & NZD going into december; trying to second guess the SP500 for selling is an account killer.
I look forward to your thoughts Michael, thanks in advance.
An MTF Correlation indicator, that looks great...
I was going to add a correlation widget in my app as all data is streamed from MT4, but i never got around to it. I think it's better to have a tabular form like your second pic, but have shades of green and red to easily identify tight correlations.
Does your indy ever hang MT4?
Which mql4 function do you use to send historical data to your DLL?
I created a tick momentum widget that updates every second and splits all the symbols into their base/quote currencies. If the white line (EUR) is above the orange line (AUD) then you look to buy EURAUD for example. If this was used with your correlation indy, it may glean more info. From the pic below, you can see how tightly correlated the ticks are on the GBP, EUR, CAD & CHF. The green (NZD) and orange (AUD) tend to move together but not as tightly.
Attached Image
I think your tool is similar to what high frequency algos do, they look for correlations and then if there's a delta divergence they trade the arbitrage with the expectation the instruments will marry up again. So you could do a fractal analysis and compare the correlation at each wave hilo and if they diverge from an historical median, then the indy would alert you of the disparity; a lot of data crunching though. You'd need to do this across dozens of charts on all timeframes to spot the moves, but then the spread & slippage becomes a factor for retail accounts.
I prefer to simplify matters by using the SPX which seems to have a negative correlation with the commodity pairs. I also use other widgets to identify and track certain barometer pairs so i can identify market sentiment.
But with FED interventions, it's probably easier to just buy EURxxx and sell AUD, CAD & NZD going into december; trying to second guess the SP500 for selling is an account killer.
I look forward to your thoughts Michael, thanks in advance.
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