Basket Trading Indicators

EDIT: For coders that may want to help .. In fact anyone reading this thread... You can skip the first page after post#1 and #2 and only read from post#16 on the second page.


This first page is mostly me talking a load of crap .. in the wrong order ... and generally making the matter much more complicated than it needed to be.... I think the ideas I am trying to convey here flow better from page2... just a thought.



I seem to be getting somewhere with validating the code though ....
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Happy New Year to all at Forex Factory….. May we all have a prosperous 2010.

I’m not quite sure if I have started this thread in the correct area of FF , maybe it should go in Trading discussions … but as its indicators and code that I am hoping to talk about then I guess this is a good a place to start.

No rules on this thread …. I would love to do the same thing as Steve …. But I don’t think I could be that brutal… I understand completely, the same newbie questions over and over again can drive you mad….



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Acknowledgements should go first … but the list could be endless, so please forgive me for any glaring omissions in this respect.

Smjones .. All this code is based on your original BasketBars code in Julius’ thread … it was from this that I started to get interested in coding MT4… many thanks to you. … the coolest guy on this site IMHO.... that latest gem from you.... the xxxjpy WITH Volume... very cool.

SteveHopwood .. I have learnt so much from your open source code, style of coding, threads and insights …. One very cool guy.

Magnumfreak.... always there with help .... another very cool guy.

As I said .. the list could go on and on but here are a few that jump to mind …. All very cool guys ( or girls ?)

ForexFlash. Trader101. Orest. zznbrm. Kan Gun. hanover… and on and on .. there are just too many cool people to list.



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Ok… now the ass kissing .. I mean acknowledgments … are out of the way I should really state what is going to become very apparent.

“Cdavid is a crap coder, he shows little understanding of basic good programming practices and extremely poor implementation of MQL code.”

Having made this point I shall consider comments or observations that confirm this as “moot”.

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Ok … fair enough. I think the fact that I am going to embarrass myself greatly by publishing my open source crap here … should be punishment enough.

But even though this is the case, I would like to make a few points in my defence.
1) I think the theory of the tools I want to develop here are sound / good ones.
2) A competent mql coder could probably put together some code that DOES work in a short amount of time.
3) I have witnessed here on FF what can happen when a group of people put their heads together… the results can be absolutely amazing.
4) I am not looking to be spoon fed, I hope it will become apparent that I have tried to learn MQL … but damn its hard.
5) I am willing to put in 100s of more hours to get where I need to be …. But some pointers from the competent coders would be much appreciated.


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Mission Statement.
To develop an Open Source suite of tools that will allow the trader to view, manipulate, compare, contrast and TRADE, Baskets of Currency Pairs. Suitable for many of the fascinating Basket Trading strategies that are growing in popularity.

How I’m going to get there.
Beg … Borrow … Bribe …. Steal … and cry a lot…. Cos I’m going to need a lot of help.

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Over the next handful of posts I am going to

a) Layout the ideas I am aiming for. Including :-
b) The “Prototype” indicators I have put together so far.
c) The key problems I am having.
d) A development plan to get the tools to where I want them to be.


So if you could all be so kind as to not post just yet … let me layout the above, see if there is any interest, then we can take it from there.


I am working on an IBfx MT4 platform ... I know ... the no hedging sucks ... but with two accounts I have not really found this to be a problem.

I am going to be posting all indies from this platform (IBfx)... dont know if they will work on other brokers mt4 platforms even if the suffix is removed... but hopefully that will not be a problem.


Many thanks to All at ForexFactory.

.

I first got interested in Basket Trading when Julius developed his thread and T101 trading style.

After smjones published his original BasketBars in that thread I was hooked....

I started with this basic Basket Candle Chart indicator ...

http://www.forexfactory.com/showthre...37#post2436637

and have since played around with many versions of this basic indicator.

I include a version of this code in this post so that hopefully people can see where I am coming from.



This indy runs through the pairs in the basket ... summing all the highs, lows, opens and closes of all the pairs in the basket... then plotting those as a single index / Candlestick chart.

After messing around with the code in the basic BasketCandles indy (BCindy) .. I discoverd a whole bunch of things ... not least being that I had a whole lot to learn about mql coding...

anyway ... as you can see from the code, the input pairs contributions to the BCindy are 'fixed' ... ie you can only add pairs in the direction of the Base/Quote ... so that the high for UJ would be added to the high for say EU ... this was ok for what Julius was doing with his T101 style. But not what I wanted to experiment with. .... more on this later.

I wanted to be able to define which direction ... or swap the base/quote around .. so that I could do some cool things with each Currency Pairs (CP) contribution to the overall BCindy ... more on this later

There is also no WeightingFactor (WF) applied to each of the input CPs ... such that a big mover .. one with a large daily ATR would be the dominant contributor... For what I wanted to play with I would need to be able to apply a WF for each CP .... so that a DailyATR 200 pip CP's contribution to the BCindy would be half that of a DailyATR 100 pip CP ... to hopefully achieve a more balanced chart / BCindy ..... more on this later.

I realise this will get confusing as I continue to make seemingly unrelated observations and comments .... but I want to get to the point where I have the code posted quickly .... but also want to try to explain what I am after.

So ..
Even though I want to have the BCindy be able to work in what I call Currency Strength Mode .... ( Very similar to Kan Gun's and Steves Relative strength ideas ) by manipulating the BaseQuote input... I think that the BCindy should be able to work also in the orginal mode, with no manipulation of the BaseQuote input CP's ... such that it displays 'standard' baskets.

..... even though the end product will be able to do this... the versions I am going to post are:-

1) All based around 4 Currency Pair Baskets ... though it should be able to work with a user defined number of pairs.
2) All displaying Curr Strength .... ie based towards ONE base currency ... ie USD basket contains EU, GU, UJ, and NU ... displaying the "strength" of USD accorrding to the movements of these pairs. ... though it will have the option to be a Strength based display or a Standard based display.


I guess the point I am labouring here is that the Images posted next are the way I am currently using the BCindy... as a "Strength" indy showing the movements of ONE underlying Currecy ... ie USD ... by combining ... in the right direction .... the movements of EU,GU,UJ and NU.

hopefully the images will make it clearer.

another point before I move on....

I run the basic prototype system ... over 3 different mt4 installation/platforms.

1) The Currency Viewer platform .... this displays the individual CP's that make up the Basket.... either in Base/Quote or Quote/Base (inverted)

2) The Basket Viewer platform .... this dispalys the combination of CP's as a Basket in multiple time frames.

3) The Basket trader platform ... that fires the trades (manually) ... and allows you to view how each element (CP) of the basket is doing ... setting tp and sl ... I do this by Profit not by pips.

Hopefully all will become clearer.

.

Even though the I built this later... after I defined the BasketViewer ... Im going to post this indy first then discuss the code alongside the BasketViewer code ... as they are based on the same 'movement' complimation.... this .. the CurrencyViewer is basically a BasketViewer but populated with only one CP ... if you see what I mean... the code will make this clearer.

Note the pairs where USD is the quote curr are inverted ... so that we are looking at all charts from the point of view of the USD. It is just a basic Invert .. the values are just multiplied by -1 and as such DO NOT represent 1 Dollar = its equivalent in GBP as it should if it were correctly representing the currency pair 'UsdGbp' ... which dosent exist. ( Im waffling on now... I am not looking to create the values on the right of the chart as correct 'Prices' of the quote curr ) ... damn Im confusing myself now.

Note they are accompanied by a fast, med, slow RSI and Stochs ... also inverted for the relevant inverted pairs.

The images are not that clear .. but the top 4 windows are 1Hour and the bottom 4 15mins.


This is the way I am currently using the prototype tools... with just 4 currency pairs in each Basket.

EDIT: These images show the CurrViewer... the Idea is that I can see the elements (CPs) of the basket Individually ... they make up the Basket that I am viewing in the BasketViewer.

Or use it .... the CurrViewer and its ability to invert currencypairs, as a means of creating new baskets for experimentation with.

for instance ..
the end product will allow me to ... say ... view the all 7 Usd pairs (in the CurrViewer).
And how they look as a combined basket (in the BasketViewr )
then say for some reason I may want to drop NU from the basket. and be able to view that new basket (no NU) almost immediatley.



Side Note : I use these Profiles to identify OB (overbought) and OS (oversold) alignments that may point to a non USD cross that is about to move...

I am posting these images here to show
1) what I am looking at during the SELECTION OF SINGLE CP's that will be used to make up the Basket and get a rough visual idea of what the potential movement for that CP is ... and hence its Contribution to the Basket.


2) to look at the individual currency pairs that make up the already defined basket.. this can help decide if I want to trade the whole basket or just elements within it.

.
These 2 images are :-
1) All 7 Usd Pairs available on the IBfx platform. each shown in a 1Hour window .. each showing USD as the Base curr. (inverted where needed)

then

2) All 6 Jpy pairs available on the IBfx platform. each shown in a 1Hour window .. each showing JPY as the Base curr. ( all are inverted to show JPY as the base curr )

Firstly i want to say thankyou for starting this thread and being bold enough to share your work on with us. It's a pleasure to learn, share insights and exchange ideas.

First of all apologies if i've misunderstood the method... but it seems you are measuring the change in price across a number of currency pairs and then averaging the result.

I've been thinking of doing something similar and it's based on the principles of the attached spreadsheet... to make it work you need to enable the DDE server on the Server tab on the Tools>Options dialog on MT4. MT4 broadcasts signals which the spreadsheet picks up which then performs some calculations and measures the relative strength of each currency across a set of currency pairs. The idea is to match the strongest currency with the weakest and then to trade accordingly.

very briefly, it seems to work in the following way:

1. It takes the High Low, Open and Current Price of the current day for a set of currency pairs it then gives a weight to each individual currency in a pair that is proportional to the amount by which the current price has moved relative to the high and the low for the day for that pair.

2. It then averages the repeating currencies so that there is one value for each individual currency and then normalizes the results on a scale of 1-10.

Take a look let us know what you think...
you have to "enable automatic update of links" in excel to make it work.

(both files are the same, if one doesn't work try the other)

Hi Caldera.

Thanks for the input.

ForexGrail.... hmmm... where have I been reading about that recently.

Your basic explanation of the sheet shows that it may be similar to what I am trying to implement here... I will down load it and take a closer look.

I use a similar weighting factor ... but I use an average of its 100, 50, 24, 12, 6 Daily ATR values ... those 5 Values at the top of the each window... this helps me get a visual value and compare its Avg or rather Potential movement to other CPs in the basket.

I realise I am probably making a long winded effort to convey something that is not as complex as I am making it.... that happens to me a lot .... lol.

I wouldnt say this thread has ... or will ... contain a "method" .... rather a group of tools or indicators that may help or be useful when trading baskets.... whatever the strategy or method.

Hopefully this will be come clearer as I waffle on.

I will take a look at the spreadsheet ... where have I seen that recently ...

But for now I kinda want to move on quite quickly to posting the BasketViewer and its code.... because it is badly wrong and I could really use some input from a competent mql coder .... Once I have that bit cracked ... the rest of the simple coding for user defined pairs ect I should be able to code with my very basic coding knowledge.... ie.. lots of Conditional Branching (If Then) statements ... and LOTs of redundant duplicated code.... my very own Spaghetti Junction ... hahahaahh.... no honestly ... its a nightmare....

.... but it kinda works.

.

Ok ... moving on....

Hopefully you can get the idea I am moving slowly towards..

So Far the images show Stage1 or the SELECTION process for the basket... the ability to invert the Base/Quote ... at least Visually of a CP ... is what I am trying to convey here.

On a side note ... I Kinda use the inverter ... for double checking a trade I may take on a single CP... I invert it... does it look as good as a Long or a Short ... stupid I know ... but it has helped me realise that I have a tendancy or Bias .. towards Short trades .... funny that ...

It's not very clear exactly what you are trying to achieve, and whatever it is sounds very complicated.

If theres something specific you are trying to do with mql i may be able to help you.

Regarding the inversion of the currency pairs, if the parameters you are using are the highs, lows and the relative opening and closing prices you need to write an algorithm that will essentially flip the price scale upside down.

Take a look at forex grail and see how it works, it could be that whatever you're trying to achieve has already been done.

Many thanks Caldera... already an offer for some coding .... thats great..

I have kinda implemented a basic inverter... the images show (in post#6) some of the pairs Inverted ...

so for the MyUSDbasket ( first image ) ...

1st Window is EURUSD inverted to UsdEur_Inv. with its inverted RSI and Stochs.

2nd window is a straight non inverted representation of USDJPY and standard RSI and Stochs.

3rd window is another Invert GBPUSD inverted to UsdGbp_Inv ... ect ect.

so that I am able to view all charts AS IF they were all BASE curr = USD.

looks good... although if you're changing the base and quote pairs around then the actually price ought to be 1/x. if x is the original price.

yes ... I have read through what i have written so far .. and it is not doing a good job of describing what I am aiming at .... I tend to waffle on.

I have edited some of it to try and make it a bit easier to follow....
... and your are absolutely correct ... my implementation of the Inverter does not show the correct value / price of the inverted quote curr .. it is just the Base curr multiplied by -1.

Thanks again. When we get to the code that I have written both in the Inverter and BasketViewer .... thats when Im gona get real embarassed.

but like I said ... I think the theory is sound ... being able to view, invert, combine instruments, in this case CurrencyPairs , into one Index and view it as CandleStick chart... adding and taking away from the basket at will.

this may help clarify what I am getting at ...

This basket viewer shows my USDbasket ... the combination of the pairs being viewed in the CurrViewer( post#6 first image .. the four usd pairs).

a combination of all of the 4 CP's (EU,GU,UJ,NU) is created and shown in the basket viewer.

ie EU(inverted) + GU(inverted) + UJ(standard, non inverted) + NU(inverted) all combined to display as one index in the BasketViewer. In this case MyUSDbasket

( shown here accross Multiple Time Frames . ) 1Day, 4H, 1H and 15mins.

the yellow and purple verticle lines are just markers .... yellow = Sunday start ... Purple = Month start.

I will post the code for the CurrViewer and BasketViewer over the next couple of days ... I have to strip them down ... remove all the whistle and bells from them so that I can accurately describe what I THINK they are doing... but probably are not.

This is the area that I am going to need help with... Once fixed and confirmed ... I should be able to code the rest.. most of it is already done.

CDavid,

As i was thinking more about your calculations, and, as i do in fact at times regularly refer to the dollar index which happens to be a an actual tradeable instrument. I started wondering how its calculated because the value of anything has to be relative thus it would have to be derived from somewhere. And so i came across this,

http://en.wikipedia.org/wiki/U.S._Dollar_Index
http://www.akmos.com/forex/usdx/

In summary, the dollar index is described as follows:

The US Dollar Index (USDX) is an index (or measure) of the value of the United States dollar relative to a basket of foreign currencies.
It is a weighted geometric mean of the dollar's value compared only with

Euro (EUR), 57.6% weight
Japanese yen (JPY), 13.6% weight
Pound sterling (GBP), 11.9% weight
Canadian dollar (CAD), 9.1% weight
Swedish krona (SEK), 4.2% weight and
Swiss franc (CHF) 3.6% weight.

The actual formula used to calculate the value is:

USDX = 50.14348112 × EURUSD^−0.576 × USDJPY^0.136 × GBPUSD^−0.119 × USDCAD^0.091 × USDSEK^0.042 × USDCHF^0.036

As you can see the percentages are contained in the exponential part, the base/quote inversion is as simple as multiplying by 1/x (EURUSD has a negative exponent whereas USDJPY has a positive one) and the sum of all the absolute values of all the exponents should add up to 1.

I haven't searched around but i would imagine that indexes for the other currencies would be calculated in a similar manner.

It might also be worth looking at feeds from other MT4 brokers as there are some who provide Spot DX as a tradeable instrument.

Perhaps you can create an indicator which draws the dollar index in this way ( the only problem is USDSEK seems to be one of the more obscure crosses, not available on my platform)

Or perhaps you can rework your indicator that in such a way that the weighing factors and cps used in the calculation can be modifiable.

Hope this is useful.

heres some code for a simple DX i found:

//+------------------------------------------------------------------+
//| USDX.mq4 |
//| |
//| |
//+------------------------------------------------------------------+
#property copyright ""
#property link ""

#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 RoyalBlue
//---- buffers
double ExtMapBuffer1[];

string base[]={"EURUSD","USDJPY","GBPUSD","USDCAD","USDSEK","USDCHF"};
string shortname;
double weight[]={-0.576,0.136,-0.119,0.091,0.042,0.036};
double factor=50.14348112;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,ExtMapBuffer1);
SetIndexEmptyValue(0,factor);
IndicatorDigits(2);
// modify for interbank fx mini
if(StringFind(AccountCompany(),"interbank fx")>=0&&MarketInfo(Symbol(),MODE_LOTSIZE)==10000)
{
for(int i=0;i<ArraySize(base);i++)
base[i]=base[i]+"m";
}
string nobase="";
for(i=0;i<ArraySize(base);i++)
{
if(MarketInfo(base[i],MODE_BID)==0)
{
if(nobase=="")
nobase=" missing "+base[i];
else
nobase=nobase+", "+base[i];
base[i]="";
}
}
IndicatorShortName(WindowExpertName()+nobase);
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int limit=Bars-IndicatorCounted();
int shift;
while(shift<limit)
{
ExtMapBuffer1[shift]=1;
for(int i=0;i<ArraySize(base);i++)
{
if(base[i]!="")
{
double close=iClose(base[i],0,shift);
if(close!=0) // no data for this bar
ExtMapBuffer1[shift]*=MathPow(close,weight[i]);
}
}
ExtMapBuffer1[shift]*=factor;
shift++;
}
return(0);
}
//+------------------------------------------------------------------+

That is some great stuff... thank you again for the input.
This is good stuff to know how the DollarIndex is calculated.

But you are right .... I need to have the WF for each CP in the basket as a user defined external var. Allowing all users to define their own ratios and pairs within their own choice of basket.

I have some appointments this morning ... but I will get the code out today and lookforward to your comments.

Many thanks again Caldera.

Cdavid,

I haven't examined your code completely, however, I managed to get it running on my computer.

My first thoughts are that this indicator can be extremely useful. So if trading a particular currency such as EURUSD, i might have two windows below showing the EUR index and the USD index. So if the price were to move up for example i can tell if its due to the EUR strengthening or the Dollar weakening or simply a bit of both. And this could be very useful information when combined with fundamental analysis etc...

I also think that having too many settings could make it confusing and complicated, rather it would be simpler to use the default currency pairs and the appropriate formula for that currency with the factors built in so that the standard index for that currency is presented, much as it would be elsewhere. You could code in all the formulas for all the relevant currency indexes and then have a user defined option that allows switching between each one.

So once you've managed to achieve this. You'll have a fully functioning indicator. If you then had some other ideas about combining values from and doing some analysis you can start developing a new indicator and then link to the original indicator to get the values with the iCustom() function. i.e. you might want to know which particular currency is strengthening the most and which is weakening the most and have some kind of indicator that gives a signal.

Having managed to achieve all that you might start working on an EA that takes all these signals and opens and closes orders based on the analysis of the strongest and weakest currencies... in fact there is alot of potential.