{quote} Thanks for your help, but it still doesn't workDLL imports was checked off (selected), I made sure it was before I posted my initial reply too. There's still no csv file being created, and the expert tab is not reporting that no file is being created either, which is really weird.. For the record, it's a Darwinex MT4 that is not cooperating.. if anyone else wants to try and report back? If not, don't worry about it and thanks again for your help.. still works great on my other MT4s
Need help to make Cumulative Volume Index indicator for MT4
Without getting too ahead of myself (), here is the 20 period Pearson's product moment correlation between delta volume and price. with the limited amount of data I have, it seems to cycle between 0 and 50% correlation. I'm not sure how useful, but it is interesting. As I was doing this, it occurred to me that a decent way to measure correlation would be to compare the slope of MAs on both price and volume. {image}
Wouldn't you want to compare delta volume with delta price or price differences/returns instead of just price to keep things on the correct scale? Effectively this means checking the change in volume against the change in price. Correlations of just price are typically meaningless because the current price is so much like the last price. Correlations of price returns have some meaning because they indicate period by period direction or co-movement, in this case with volume.
{quote} Hmm, interesting. That broker might have a Terminal_folder\Experts\Files\ folder? Perhaps it could be there.
Unfortunately, it has the same folder directory and is the same MT4 build (840) as all my other terminals.. the problem must be something on their end.
Anyway, on one of my brokers that I am tracking data.. is it normal that the history gets painted all squished up?
I can't tell if this is how it appeared in real-time and some larger than normal bars are throwing the scale off, or if it's just recalling history funny?
Does yours look something like this?
OK then. Here is the latest update. Should be better able to handle history when platform restarts. Also has better file error reporting. Keep in mind that I did this at midnight after a 10 hr workday at my normal job. I am putting my faith in the MT4 code god to keep the indicator working 
for tomorrow.
for tomorrow.
{quote} Hi FXEZ, that would certainly be the case if this indicator was just delta volume. But being a cumulative delta means that I am essentially comparing cumulative volume with cumulative price (because one price bar opens at the previous bar's close, just like cumulative delta does). But actually it might be easier to visualize the correlation with non-cumulative delta - Effort vs. Result type analysis. Hm. Good idea. I'm not sure what you mean by "price returns" though. Are you talking about price movement by time period?
In MT4 it would be P[t] - P[t+1] because the indexing system is backwards. As far as why differences rather than prices see this:
Correlation between prices or returns?
You can also use returns or log returns as the first answer's link eventually leads to you a discussion on returns such as:
returns: Rt = (Pt Pt-1) / Pt-1 = Pt / Pt-1 - 1
log returns: rt = log(Pt / Pt-1) = log(Pt) log(Pt-1)
But I find price differences to be easier to compute and more intuitive in terms of performance measurement for system development so I usually use differences. Returns are more useful than differences if there is a wide variation of prices over time (large percent changes). Returns will scale the data correctly by percent but differences will not. Some of the reasons not to use prices in correlation calculations:
But prices (of the same asset across time) are correlated. Very correlated. If halfway through the year the price is higher than the starting price, then it is likely the final price of the year will be higher as well even when there is no trend.
and
Short answer, you want to use the correlation of returns, since you're typically interested in the returns on your portfolio, rather than the absolute levels.
If you compute correlation of prices you will generally get numbers very close to 1 decaying slowly indicating that subsequent prices are very closely related to past prices. If you compute correlation of price differences / returns you will get some positive and some negative with much smaller readings, very few of which are significant. This indicates the high degree of variation over time from one period to the other and also shows why predicting the next price direction movement is so difficult.
NorthTrader:
I've been well, thanks for asking. Looking forward to seeing what you have come up with. Sounds like BADL is better than BAD.
OK then. Here is the latest update. Should be better able to handle history when platform restarts. Also has better file error reporting. Keep in mind that I did this at midnight after a 10 hr workday at my normal job. I am putting my faith in the MT4 code god to keep the indicator working
Working great, looks like the code Gods were on your side
- #58
- Sep 21, 2015 6:09am Sep 21, 2015 6:09am
- | Commercial User | Joined Aug 2013 | 2,935 Posts
Without getting too ahead of myself (
wish you good luck with new idea
Bernhard
Scan all 28 Forex pairs with ONE chart... Currency Strength28 Indicators
- #60
- Sep 21, 2015 11:50am Sep 21, 2015 11:50am
- | Commercial User | Joined Aug 2013 | 2,935 Posts
Scan all 28 Forex pairs with ONE chart... Currency Strength28 Indicators