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Robot Lab Project

  • #581
  • Feb 19, 2015 1:49am Feb 19, 2015 1:49am
Quoting abokwaik
{quote} Right. After I though of it, Indicator based basket is meaningless. I think the Geometric Mean method posted earlier make more sense, however It doesn't address the issue of Negative Directional Weights. Back to Math, any Math Gurus here at FF to help
Its not meaningless. Far from that. Just needs to be unlimited in both directons and with some great history of this calculations one can find some values of interest.

..then after you need trading guru..statistical and mathematical guru, plus extraordinary programer and lots of RAM.
  • #582
  • Feb 19, 2015 1:52am Feb 19, 2015 1:52am
Hello guys,
Sorry for the newbie qn as its my first time creating a basket. pliz advise what i could be doing wrong..error in journal is wrong basket header..Even when i apply the offline EA its not active. pliz help me..even my script chart doesnt show pairs..just 6 and 1,1+1.....+0.01
Again thanks Khalil and team
Green pips to all
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot2.png Size: 265 KB
  • #583
  • Feb 19, 2015 1:57am Feb 19, 2015 1:57am
Quoting nogames2014
Hello guys, Sorry for the newbie qn as its my first time creating a basket. pliz advise what i could be doing wrong..error in journal is wrong basket header..Even when i apply the offline EA its not active. pliz help me..even my script chart doesnt show pairs..just 6 and 1,1+1.....+0.01 Again thanks Khalil and team Green pips to all{image}

  1. Pairs should be Valid and Available in Market Watch
  2. Directional Weights Count should be Equal to Pairs Count

No guts, no glory
  • #584
  • Feb 19, 2015 2:32am Feb 19, 2015 2:32am
Quoting abokwaik
{quote} Pairs should be Valid and Available in Market Watch Directional Weights Count should be Equal to Pairs Count
Thanks Khalil for your answer. Ok this is how i have input it
Basket Name: GBPBSKT
Timeframe: 240(for H4)
Basket pairs: EURGBP,GBPUSD,GBPJPY,GBPAUD,GBPNZD,GBPCAD
Pairs direction weight: -1,+1,+1,+1,+1,+1
placed the script on usdjpy chart M1
all pairs in market watch
Lite pliz show some light on this
  • #585
  • Feb 19, 2015 2:50am Feb 19, 2015 2:50am
Quoting nogames2014
{quote} Thanks Khalil for your answer. Ok this is how i have input it Basket Name: GBPBSKT Timeframe: 240(for H4) Basket pairs: EURGBP,GBPUSD,GBPJPY,GBPAUD,GBPNZD,GBPCAD Pairs direction weight: -1,+1,+1,+1,+1,+1 placed the script on usdjpy chart M1 all pairs in market watch Lite pliz show some light on this
Use H4 instead of 240.
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  • #586
  • Edited 3:34am Feb 19, 2015 2:51am | Edited 3:34am
Back to basket calculation, could Tick Value solve the puzzle.

EDIT : Tick value will always be in Account Currency.
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  • #587
  • Feb 19, 2015 3:53am Feb 19, 2015 3:53am
OK. I've just checked Bloomberg Business web site, providing spot pair rates in both directions

Attached Image (click to enlarge)
Click to Enlarge Name: GBP_USD.PNG Size: 24 KB


So, it seems like what I already implemented in the basket calculation was Correct in the first place.

NOTICE the pip change is different between directions BUT change percentage is the same.
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  • #588
  • Feb 19, 2015 3:56am Feb 19, 2015 3:56am
i dont think it is a right solution,
may be or maybe not.....
take the daily open as a constant one subtract it from the current bid value of the pair for eg 173.896[open] - 173.901[bid] , bid - open = 0.005. then by taking the digits into account by using Digits mql4 function we can normalize it like (if Digit == 3){constant value = constant value*1000}, we do this for each pair in the basket and get the value then add those +ve pair values , and subtract the -ve pair values, and we get the final usd strength index which we can plot it as chart, its my opinion. if its wrong forgive me.
  • #589
  • Feb 19, 2015 4:08am Feb 19, 2015 4:08am
Quoting scalper.exp
i dont think it is a right solution, may be or maybe not..... take the daily open as a constant one subtract it from the current bid value of the pair for eg 173.896[open] - 173.901[bid] , bid - open = 0.005. then by taking the digits into account by using Digits mql4 function we can normalize it like (if Digit == 3){constant value = constant value*1000}, we do this for each pair in the basket and get the value then add those +ve pair values , and subtract the -ve pair values, and we get the final usd strength index which we can plot it as chart,...
Nothing wrong, its an open discussion.

What I am trying to reach is a basket chart that will allow us to trade the basket, not exactly a currency strength index.
We should be able to mix and match pairs in the basket as we want, as long as we can define proper directional weights for them.
No guts, no glory
  • #590
  • Feb 19, 2015 6:58am Feb 19, 2015 6:58am
1) it doesnt matter the mixing constants you apply to
if you want to trade the usd index just apply the same coef as it
at least this index is seen by everybody

2) and you can apply standard indicator to it, why should'nt you ?
just go to http://stockcharts.com/h-sc/ui?s=%24USD
indicators are applied, decisions are made based on them

3) wrong fascination for basket: by mixing you just obtain another financial instrument
there is no graal inside this action
unless you try to vary the coef to obtain either a ranging or a constant trending instrument
anyway hoping that this characteristic will continue in the future is like wishfull thinking

4) oh and dont forget that when you buy or sell, you will have round off errors due to the inverse in your formula
rounded by microlots will lead to an unbalanced basket order, you believe you trade the chart but the money is different
  • #591
  • Feb 19, 2015 7:25am Feb 19, 2015 7:25am
Hello friends, I'm a newbie like me and robot NBB_XBR_01, both items I put in a file "experts " in MT4. Shops me system opens but does not close shops. Where did I go wrong? Thank you for your advice
  • #592
  • Feb 19, 2015 8:36am Feb 19, 2015 8:36am
Subscribed and will be monitoring for automation for Another System for Breakout (ASB )

http://www.forexfactory.com/showthread.php?t=526768 .


on 4 pair basket
Mastering the Pair
  • #593
  • Feb 19, 2015 9:34am Feb 19, 2015 9:34am
Quoting felixis
1) it doesnt matter the mixing constants you apply to if you want to trade the usd index just apply the same coef as it at least this index is seen by everybody 2) and you can apply standard indicator to it, why should'nt you ? just go to http://stockcharts.com/h-sc/ui?s=%24USD indicators are applied, decisions are made based on them 3) wrong fascination for basket: by mixing you just obtain another financial instrument there is no graal inside this action unless you try to vary the coef to obtain either a ranging or a constant trending...
Thanks for your input,

But again, the discussion is on a Basket , a Generic Basket of Instruments, not an Index. Although some implementations of the basket might look like an index.
Most brokers offer indexes already, which can be traded directly from Metatrader. And if we want to trade pairs related to the index (instead of the index itself) a simple EA can be developed and applied on the index chart. We don't need a an offline chart for that.


A basket can be composed of a mix of instruments with relevant directional weights: for example a Commodity Basket can be composed of :
USD/CAD, AUD/USD, NZD/USD, EUR/CAD, EUR/AUD,EUR/NZD,GBP/CAD,GBP/AUD,GBP/NZD. --> As you see there is No Index here, and need not be.

I am eager, as most of you (I think) to plot the above basket on an offline chart and see if it makes sense.
And yes, we can apply an indicator or more and trade it either manually or through a robot as I illustrated earlier.
Now what Trading a basket means: If you're Buying the basket the system will buy the pairs that have +ve directional weight, and sell the pairs that have -ve directional weight. Position Sizing is a different issue and can be handled by the EA later on.

I hope that we are all on the same page now.

Regards,

Khalil
No guts, no glory
  • #594
  • Feb 19, 2015 9:38am Feb 19, 2015 9:38am
Quoting abokwaik
I am eager, as most of you (I think) to plot the above basket on an offline chart and see if it makes sense.
Hi Khalil,

all charts make sence. Waves within waves. I have just noticed your thread. Though am IT analphabet, am pro analyst and looove timeseries . You are doing very nice work, keep it up please.

Regards,

Tom
"I know one thing, that I know nothing." Sokrates
  • #595
  • Feb 19, 2015 9:50am Feb 19, 2015 9:50am
Quoting Tom_D_Trader
{quote} Hi Khalil, all charts make sence. Waves within waves. I have just noticed your thread. Though am IT analphabet, am pro analyst and looove timeseries . You are doing very nice work, keep it up please. Regards, Tom
Thanks Tom, its an honor. Welcome to the Lab.

I hope that we can reach something useful here, multiple brains are better than one.
No guts, no glory
  • #596
  • Feb 19, 2015 9:53am Feb 19, 2015 9:53am
Quoting abokwaik
{quote} Thanks Tom, its an honor. Welcome to the Lab. I hope that we can reach something useful here, multiple brains are better than one.
I dont reach your levels of analysis. Though am pro, I have one pretty big disadvantage and actually just went back to school because of it . I suck in econometrics. Am able to analyze single timeseries from many perspectives, correlate two, three, make an index, but include so many variables and be able to see flows? Nono. Am not commodity expert, I focus on monetary finance. So will be just humbly reading and if I feel I can contribute, I will.
"I know one thing, that I know nothing." Sokrates
  • #597
  • Feb 19, 2015 10:08am Feb 19, 2015 10:08am
Just a small clarification before I go. The example of a Commodity Basket was just an example.

Although its still in premature stage, the system currently allows for the creation of any type of basket, only limited by your imagination, and your broker's pairs offering. More examples of baskets can include (but not limited to):

  1. Energy Basket
  2. Asian Currencies Basket
  3. Yen Basket
  4. Euro Basket
  5. USD Basket
  6. Latin America Currencies Basket
  7. .... etc.

No guts, no glory
  • #598
  • Edited 11:10am Feb 19, 2015 10:23am | Edited 11:10am
Quoting abokwaik
BASKET Project I tried to open the generated Off-Line Chart Programmaticly from the "Create_Basket_Script" but could't find an elegant solution for that.
This is perhaps something I can help with and actually would enjoy. I like to work in Excel. If you wish, think I can make a simple code, where you insert timeseries, run macro and it makes basket chart. If you wish . Actually no need to wish, am gonna do it anyway.

Khalil, I really like idea of those baskets. You could use them to monitor flow of whole portfolio.
"I know one thing, that I know nothing." Sokrates
  • #599
  • Feb 19, 2015 1:02pm Feb 19, 2015 1:02pm
Quoting Tom_D_Trader
{quote} You could use them to monitor flow of whole portfolio.
  • #600
  • Feb 19, 2015 1:18pm Feb 19, 2015 1:18pm
Quoting nogames2014
{quote} Thanks Khalil for your answer. Ok this is how i have input it Basket Name: GBPBSKT Timeframe: 240(for H4) Basket pairs: EURGBP,GBPUSD,GBPJPY,GBPAUD,GBPNZD,GBPCAD Pairs direction weight: -1,+1,+1,+1,+1,+1 placed the script on usdjpy chart M1 all pairs in market watch Lite pliz show some light on this
you seem to be doing it right. I use +100 for GBPJPY, Though Abokwaik recommends +0.01. i also keep all the M1 charts of the individual basket pairs open and running alongside the basket chart proper. Also make sure you have enough history data for every M1 pair of interest.
Attached Image (click to enlarge)
Click to Enlarge Name: GBPBASKET.png Size: 63 KB
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