Money flows: Trading the strongest / weakest major currency cross

Quoting unknown4x

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There is a problem with such momentum approaches. It does not honor the past in a correct way. It does not know if you are going against resistance, trading in air, headfake whatever. Also it dos not value time and such the most critical technical S/R tools like pivots, fibs, MAs etc.

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Quoting FiatFap

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Try telling that to the algo's; momentum is momentum and if you have a valid start point, you can see money flow and where the gravy train is traveling.

I understand your point, it's best to use a plethora of methods as mentioned in the great video you posted.

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usdSyn =  
34.5589075060726 
*Math.Pow(Closes[15][0] ,-0.342)  //EurUsd 
*Math.Pow(Closes[28][0] ,0.183)   //UsdJpy
*Math.Pow(Closes[21][0] ,-0.227)  //GbpUsd
*Math.Pow(Closes[10][0] ,0.331)   //UsdCad
*Math.Pow(Closes[27][0] ,0.040);  //UsdChf

Quote

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GBPUSD * ( 1/ ( USDSEK^-(1) ) )

GBP/SEK = GBP/USD * USD/SEK


GBP       USD
----  * -----      - cancel out USD = 
USD       SEK


GBP        1
---- *   -----   =
 1        USD


GBP/SEK  q.e.d.

Quote

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gbpSyn[0] =
46.2807334033003
*Math.Pow(EurGbp ,-0.3134) //EurGbp
*Math.Pow(GbpUsd,0.2274)//GbpUsd
*Math.Pow(GbpJpy ,0.0479) //GbpJpy
*Math.Pow(GbpChf ,0.0439)//GbpChf
*Math.Pow( (GbpUsd * UsdSek),0.0252);//GbpSek

Quoting forrestang

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Thanks for the reply.

I use NT for my platform, and I'll check but I don't think it has the bar-skipping issue that you spoke of, but I'll double check to be sure, but I think I'm ok there.

A question about the weights......

On the updated list of weights, its gives the weights per the cross. A lot of them are there in duplicated, i.e. there is a EurGbp and a GbpEur. These inverted pairs have different weights to be used.

If you are creating an index, and are using say 5 crosses to comprise that index, you have to apply the weights...

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Quoting forrestang

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For creating a Chf Index.......

If using

1. EurChf
2. UsdChf
3. GbpChf
4. ChfJpy
5. CadChf

The CadChf is already inverted. Also there is ONLY a weight for the ChfCad of 2.07% So does that mean as a part of the formula, it would be:
*Math.Pow(CadChf ,0.0207)

The sign would become negative, since the CadChf is inverted, then another negative applied since we'll be applying the weight of the inverse cross, making the sign overall positive?

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Quote

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mathpow(cadchf,-0.027)

bar {
  timestamp;
  open;
  high;
  low;
  close;
}

eurusd = bar[5000];
gbpusd= bar[5000];

fetch_prices(eurusd,5000);
fetch_prices(gbpusd,5000);

for(int i=0;i<5000;i++) {
  if(eurusd[i].timestamp!=gbpusd[i].timestamp) {
     Print("Hole in pricefeed between EURUSD & GBPUSD @ bar index: "+i+" - timestamp: "+eurusd[i].timestamp+" - "+gbpusd[i].timestamp);
  }
}

Quoting forrestang

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Sorry for the confusion, I'm a bit confused too!!!

What I mean is, like you said, for the Chf index, it calls for one of its constituents to be the CadChf. But since the Cad is FIRST(making the Chf index), we would negate that power once.

So, that would mean we'd have:


But.... my question is, since we're making the Chf index which calls for the ChfCAD, and the weighting percentage I have is for the inverse, the CadChf(no ChfCad on the weighting list), would I negate that power again, making it overall positive?

Does...

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Quoting forrestang

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Oh boy

Ok, I'm a bit confused. If I look on the sheet with the weights, a lot of the pairs have their inverses as well. I.e. there is a usdchf and a chfusd. One has a volume/weight of 3.96%, the other has a weighting of 34.15%

And if you are constructing an index, I think the percentages should add up close to 100%? I'm creating indexes, and it seems like I am doing something wrong? For example, my JPY only has weighting that adds up to 76%.

I'm looking for some instructions on how to create these things properly, as I'm sure I'm...

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