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NFP System - Backtest data provided

  • #21
  • Edited Apr 11, 2007 8:22pm Mar 28, 2007 5:35am | Edited Apr 11, 2007 8:22pm
Hi Kevin,

thanks for sharing. Have you seen this Metatrader indicator which compares moving averages. Perhaps it would be possible to set the moving average to 2?

Its not my indicator, I believe the credits are still at the top of the code.
  • #22
  • Edited Apr 11, 2007 8:22pm Mar 28, 2007 6:18am | Edited Apr 11, 2007 8:22pm
  •  iya
  • | Joined Oct 2006 | Status: always protect yourself | 129 Posts
Hi,
i have another indicator, that calculates the value of a currency against a weighted average of several other currencies. It could easily be modified for the Sentinal index, but maybe it's already good enough as it is.
A currency basket is what central banks use to monitor an exchange rate, with weights based on trade volume.
The indicator can also be used to calculate exotic crosses, or simple inverses of standard pairs.

From a mathematical point of view it's impossible to calculate the "absolute strength" of a commodity, from any number of prices. (I suppose that was the aim of the Sentinal index.) Practically one further condition can often be made, like assuming that one price or the value of some basket is fixed.

One hint for the use: numerator, denominator and weights input is made by strings and the parsing is not very sophisticated: use three character symbols, four digit weights (percent) plus seperators.
  • #23
  • Mar 28, 2007 9:41am Mar 28, 2007 9:41am
I'm very impressed with people's ideas and strategies based on the indicator! I didn't know discussion would be this high in the Sentinal's reguard, but I'm really glad it is. I'm headed home today (very sad about that), and I'll be home later on tonight. Depending on how I feel after the flight, I may post all of my data when I get home on the Sentinal index thus far, but if I'm too tired or jet lagged, then I'll post it tomorrow first thing. Thanks for keeping interest fellas.

-Kev
  • #24
  • Edited Apr 11, 2007 8:22pm Mar 28, 2007 12:14pm | Edited Apr 11, 2007 8:22pm
  •  iya
  • | Joined Oct 2006 | Status: always protect yourself | 129 Posts
Here is the first version of a Sentinal index indicator. It should be a lot easier to read and modify (the code) than the currency basket indicator.
I took the liberty to include the choice of measering moves in percent, pips or dollars. Percent is the easiest to calculate and the most meaningfull, imo - but the results are pretty similar (apart from scaling), since all three are almost independent of the second currency.

If we want to come as close to a pure dollar index as possible, here is a suggestion: How about using the median of all relative moves of the last 30 minutes instead of an average. This would filter out currencies that moved a lot independently of the dollar, and I think you could actually get rid of all the weighting.

http://img238.imageshack.us/img238/528/sentinaljz7.gif
  • #25
  • Mar 28, 2007 12:50pm Mar 28, 2007 12:50pm
hello kevin,

thank you for sharing your ideas. for programming the indicator, i still have a couple of questions for clarification:

(1) when you average the currency pairs, i understand you did not weight them:

(a) but did you take into account that USDJPY moves at a different decimal and if you directly compare with other currencies, each 'pip' will count as 10 pips in other currencies? or did you calculate in pips for each currency and they all are the same? (in that case USDJPY/10 should be used for calculations).

(b) and did you take into account that some currency pairs move in different directions and the direction will have to be adjusted? (e.g. EURUSD and USDCHF are opposite).

(2) SMA(336): this is the SMA on the sentinal indicator, correct? not on price.

first we should do whatever you did, because your system made money in the backtest.

have a safe trip home, and thank you for your answers

  • #26
  • Mar 28, 2007 12:55pm Mar 28, 2007 12:55pm
Quoting bubo
hello kevin,

thank you for sharing your ideas. for programming the indicator, i still have a couple of questions for clarification:

(1) when you average the currency pairs, i understand you did not weight them:

(a) but did you take into account that USDJPY moves at a different decimal and if you directly compare with other currencies, each 'pip' will count as 10 pips in other currencies? or did you calculate in pips for each currency and they all are the same? (in that case USDJPY/10 should be used for calculations).

(b) and did you take into account that some currency pairs move in different directions and the direction will have to be adjusted? (e.g. EURUSD and USDCHF are opposite).

(2) SMA(336): this is the SMA on the sentinal indicator, correct? not on price.

first we should do whatever you did, because your system made money in the backtest.

have a safe trip home, and thank you for your answers

This has been covered in previous posts

http://www.forexfactory.com/showpost...1&postcount=15

http://www.forexfactory.com/showpost...7&postcount=17
  • #27
  • Mar 28, 2007 12:57pm Mar 28, 2007 12:57pm
Quoting iya
Here is the first version of a Sentinal index indicator. It should be a lot easier to read and modify (the code) than the currency basket indicator.
I took the liberty to include the choice of measering moves in percent, pips or dollars. Percent is the easiest to calculate and the most meaningfull, imo - but the results are pretty similar (apart from scaling), since all three are almost independent of the second currency.

If we want to come as close to a pure dollar index as possible, here is a suggestion: How about using the median of all relative moves of the last 30 minutes instead of an average. This would filter out currencies that moved a lot independently of the dollar, and I think you could actually get rid of all the weighting.

http://img238.imageshack.us/img238/528/sentinaljz7.gif
Thanks for writing this index for MT4.. It looks like it is just the ticket...
  • #28
  • Mar 28, 2007 1:46pm Mar 28, 2007 1:46pm
Just FYI,

You may have issues getting this to run IF your currency pairs aren't standard...for example...interbank FX names their MINI currency pairs EURUSDm (with the "m" at the end)...this causes a non-calculation of the index. BUT you can change it in the script...which is very very clean...LOVE IT!

Quoting iya
Here is the first version of a Sentinal index indicator. It should be a lot easier to read and modify (the code) than the currency basket indicator.
I took the liberty to include the choice of measering moves in percent, pips or dollars. Percent is the easiest to calculate and the most meaningfull, imo - but the results are pretty similar (apart from scaling), since all three are almost independent of the second currency.

If we want to come as close to a pure dollar index as possible, here is a suggestion: How about using the median of all relative moves of the last 30 minutes instead of an average. This would filter out currencies that moved a lot independently of the dollar, and I think you could actually get rid of all the weighting.

http://img238.imageshack.us/img238/528/sentinaljz7.gif
  • #29
  • Edited Apr 11, 2007 8:22pm Mar 28, 2007 1:48pm | Edited Apr 11, 2007 8:22pm
excellent work, iya !!

this answered my questions, and i took the liberty to do 2 modifications:

(1) SMA added
(2) direction reversed, so it reflects the direction of GBPUSD on which Kevin worked
  • #30
  • Mar 28, 2007 2:30pm Mar 28, 2007 2:30pm
need to know what time to use for this box on the 30min chart

thanks for the good work
  • #31
  • Mar 28, 2007 3:35pm Mar 28, 2007 3:35pm
Hi Kevin,

Thanks for sharing this interesting trading system.

Regarding to the rule, "Draw box (horizontal line on high and low) between 8:30 on NFP Friday and midnight the following Monday."

Do you mean the box is drew from 08:30 Friday to 00:00 Monday? or 00:00 Tuesday?

Is the time based on EST?

Please kindly clarify. Once again, thanks for sharing!

Best Regards,

hksweeper
  • #32
  • Edited Apr 11, 2007 8:22pm Mar 28, 2007 4:40pm | Edited Apr 11, 2007 8:22pm
Hi all,

Verry intresting System

Just got one problem with the Sentinal Index_SMA indicator.

It only draws till jan 25 ( see pic )

Anny sugestions ?

Thanks
  • #33
  • Mar 28, 2007 5:35pm Mar 28, 2007 5:35pm
Quoting hksweeper
Hi Kevin,


Is the time based on EST?


hksweeper
Yes, i would say that its EST time (8:30 est, the time when NPF its released)

Please Kevin correct me if i am wrong, and Thank u very much for your work

Matty
  • #34
  • Mar 28, 2007 5:52pm Mar 28, 2007 5:52pm
Quoting climax
Hi all,

Verry intresting System

Just got one problem with the Sentinal Index_SMA indicator.

It only draws till jan 25 ( see pic )

Anny sugestions ?

Thanks
Me too... when i added it to the chart was looking good and then i tried to check the indicator properties and now it only draws to jan 25, and i cant fix it... maybe a bug??

Thanks fellas
matty
  • #35
  • Mar 28, 2007 6:42pm Mar 28, 2007 6:42pm
i don't have that problem with drawing only to jan 25.

have you tried to scroll back? i don't know if all 7 currencies need to be opened at M30 or whatever you use and need to be scrolled back to ensure your computer has the actual data downloaded on your hard drive.

also, it is possible that your memory is limited in MT4. go into 'Tools', then 'Options', then open 'Charts', and fill the 'Max bars in history' and 'Max bars in chart' with as many 9999999 as will fit in. the program will then reset to the max allowable number of data stored.

climax - i also don't see your SMA line on the chart. no idea why not - it is showing on my computer without a problem.
  • #36
  • Mar 28, 2007 7:29pm Mar 28, 2007 7:29pm
Quoting Matiasfx
Yes, i would say that its EST time (8:30 est, the time when NPF its released)

Please Kevin correct me if i am wrong, and Thank u very much for your work

Matty
Hi Matty,

Thanks for clarifying. Do you know if we draw the box from 08:30 Friday to 00:00 Monday? or 00:00 Tuesday?

Regards,

hksweeper
  • #37
  • Mar 28, 2007 8:19pm Mar 28, 2007 8:19pm
Quoting hksweeper
Hi Matty,

Thanks for clarifying. Do you know if we draw the box from 08:30 Friday to 00:00 Monday? or 00:00 Tuesday?

Regards,

hksweeper
Actually im not sure, i guess its sunday nigth/monday 00.00Est and that would be like all friday and sunday data that in some plataforms its one day, but just guessing here mate... i would like Kevin to clarify that to be sure..

Bubo thanks for the suggestion.. will try and see

Matty
  • #38
  • Mar 29, 2007 8:12am Mar 29, 2007 8:12am
Quoting bubo
excellent work, iya !!

this answered my questions, and i took the liberty to do 2 modifications:

(1) SMA added
(2) direction reversed, so it reflects the direction of GBPUSD on which Kevin worked
Hi:
This is excellent!
First, I missed the reverse part and got confused. Duh.. LOL
Is it possible to add Boll Band, 5EMA and 13EMA to this?
If you can't redo, could you post the code, so I can add it?
I am just start to learn how to code, so it's not easy for me to modify the stuff yet.
Thanks,
  • #39
  • Edited 11:39am Mar 29, 2007 11:20am | Edited 11:39am
fx4_ever:

thank you, and yes - great idea and it is certainly possible to add other indicators on the Sentinal Index. i was thinking along the same lines, particularly for exit strategies.

however, i would suggest that we consolidate our progress, or we will race into outer space and have a lot of ideas but nothing solid.

Kevin's results are solid and he won a prize for them. i suggest that we

(1) verify whether our Sentinal Index is correct and measures the same as Kevin's Sentinal Index;

(2) backtest whether Kevin's positive results can be repeated with our Sentinal Index and an EA;

(3) try to increase the efficiency of the system by whatever means we can think of.

i suggest we follow some discipline in supporting Kevin and rely on his help to achieve these goals. i have seen many threads start with great ideas and then go into a thousand directions and all remain largely untested possibilities.

p.s. you can see and modify the code anytime, right-click the name of the indicator on the left hand panel and choose 'Modify'.
  • #40
  • Mar 29, 2007 12:19pm Mar 29, 2007 12:19pm
Hello to everybody I just got back from vacation from Canada, my legs are killing me, long flights and all. I'm just touching base, I'll be back a little bit later on today to answer all of your questions, and start putting up Sentinal data for you to compare your own calculations with. Thank you all for your support

-Kev
Savage Pip Fiend
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