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MT4 MTF Correlation table and Correlation oscillator indicators

  • #81
  • Jul 3, 2016 9:30am Jul 3, 2016 9:30am
Reply to a PM:

Quote
I get something like "-0.00" on some of the pairs, does it mean that the correlation is too small to calculate?

Correlation values, r, are in the closed interval [-1, 1]. The indicator rounds the values to 2 decimal places hence you may see values of "-0.00" e.g. the value could be -0.0011233215125.
The motivation for this is 2 fold:

  1. Cosmetics/readability: Its needs to be quick to interpret.
  2. Its a noisy measure - reporting anything more decimal places doesn't add any value to your analysis e.g. r = 0.80125 rounded to 0.80 should not alter you interpretation.

    1. In slightly more depth, a correlation can be considered as a percentages (+/-1.0 = +/-100%, 0.1 = 10%, 0.01 = 1% and 0.001 = 0.1% etcetera). So if r=0.001 and the indicator displays r=0.00 the loss of precision should not alter your interpretation that the a correlation is not present in the data.

Hope that helps.

  • #82
  • Jul 20, 2016 6:23pm Jul 20, 2016 6:23pm
First of all I appreciate your work here, it really takes some time to put this together properly. I code too, so i know. So cudos !

I think i've come across a minor coding error with latest version (1.2).

Normally if a concerning a mq4 file i'd fix the code myself. However this being a ex4 file that's no sigar.

So here's what i came across:

What i do is plot the whole table, i.e. 8 main currencies (28 pairs; in alphabetical order) on all time scales as a template so that i get an overview straight away when i choose to for a pair of interest. Now it all works, apart from NZDJPY. This particular one keep sitting where it sits overlapping with the text of the next currency pair, i.e. it doesn't properly go to the next row.

That's it. I know it's minor, but i thought i'd let you know. Also see the attached screenshot ( i left out the month timeframe so the issue is more visible).
Attached Image
  • #83
  • Jul 20, 2016 6:31pm Jul 20, 2016 6:31pm
I've just attached the template to a different chart and it occurs in a different spot. The spot where the overlap occurs is actually the chart you attach it to. So in the previous post that was the NZDJPY chart. Right i have it attached to the AUDNZD chart so this overlap happens at this spot overlapping with the next entry AUDUSD.

I think this should narrow it down where the code error occurs.
  • #84
  • Jul 21, 2016 10:47am Jul 21, 2016 10:47am
Quoting 9047
Reply to a PM: {quote} Correlation values, r, are in the closed interval [-1, 1]. The indicator rounds the values to 2 decimal places hence you may see values of "-0.00" e.g. the value could be -0.0011233215125. The motivation for this is 2 fold: Cosmetics/readability: Its needs to be quick to interpret. Its a noisy measure - reporting anything more decimal places doesn't add any value to your analysis e.g. r = 0.80125 rounded to 0.80 should not alter you interpretation. In slightly more depth, a correlation can be considered as a percentages (+/-1.0...
hi 9047, thanks for the tool.
is this served as a trading util - or do you have a specific trade to trade such correlation?

Thanks.,
  • #85
  • Jul 24, 2016 2:29pm Jul 24, 2016 2:29pm
very interesting, thanks for sharing with us, appreciate your efforts.
  • #86
  • Jul 24, 2016 4:16pm Jul 24, 2016 4:16pm
Quoting Brommer
I've just attached the template to a different chart and it occurs in a different spot. The spot where the overlap occurs is actually the chart you attach it to. So in the previous post that was the NZDJPY chart. Right i have it attached to the AUDNZD chart so this overlap happens at this spot overlapping with the next entry AUDUSD. I think this should narrow it down where the code error occurs.
I'm traveling and can't doing anything about it for another week. But if you post a full screen shot that would be great. The problem might be display ing too many symbols for the available number of pixels there are to draw the labels and correlations with. As for releasing the mql4 file. Sorry too many people disrespect the GPL license I released the original code under ... also using the libraries like I did created too many support issues.Post that screen shot and I'll work on a solution once I'm back.
  • #87
  • Jul 26, 2016 7:06pm Jul 26, 2016 7:06pm
Ok i've got some screenshots for you attached.

Maybe I should explain why i display it the way i do. Well initially i was really after a correlation matrix showing all the major currencies against each other. Then i found your work and actually see more benefit in doing it your way. But when i attach it to a chart i want the complete overview of all 28 pairs (from the 8 main currencies) and see where there's > 90% correlation. This is how i found out what happened as per attached images.

I think one of the reasons, maybe, it displays what it does because the correlation on, say, the AUDUSD chart with AUDUSD is 1 (or maybe displayed as a dash). Maybe that's why it does not move over to the next line. Hence the following currency pair (in alphabetical order) CADCHF then gets "printed" on top of the AUDUSD "results", after which it does move on to the next line, and everything displays fine after that. Just an idea on what maybe happening.

Also i'm not requesting a mq4 file. I totally understand where you're coming from. I Just simply appreciate your work !
Attached Image(s) (click to enlarge)
Click to Enlarge Name: AUDUSD.jpg Size: 241 KB
Click to Enlarge Name: GBPNZD.jpg Size: 230 KB
Click to Enlarge Name: NZDCHF.jpg Size: 231 KB
  • #88
  • Jul 26, 2016 8:08pm Jul 26, 2016 8:08pm
Hi again.

Another artifact i just came across (trying to see what coefficients it comes up with when plotted against itself) is in the attached chart for EURCHF (a random choice). The indicator unloads itself from the "indicator list" and prints the EURCHF on the chart:
Attached Image (click to enlarge)
Click to Enlarge Name: EURCHF.jpg Size: 118 KB
  • #89
  • Edited Jul 29, 2016 3:08am Jul 28, 2016 9:01pm | Edited Jul 29, 2016 3:08am
That last screen shot isn't possible.

The indicator will not calculate correlation of the chart symbols against itself. If you take Corr(EURCHF, EURCHF) it will always be 1.0. So to save on CPU cycles if you ask the indicator to calculate the correlation of symbol 'A' against symbol 'A' it won't do it. Also if only supply symbol 'A' and attach the indicator to a chart of symbol 'A' it will not attach to the chart by design. If you are unsure of why the correlation of symbol 'A' against itself will always be 1.0 please go and read up on correlation (plenty of references at the start of the thread).

So I can't be faulted for concluded the last chart isn't a genuine screen shot or something is really wrong with your MT4 platform. Likewise the to previous screen shots appear to be calculating correlations values for the chart symbols - this is just not possible (unless your MT4 is gone all kooky).

This screen shot shows the error message you receive when you attach the v1.2 of the indicator to a EURCHF chart and only supply EURCHF as the target.
Attached Image (click to enlarge)
Click to Enlarge Name: corr_error.png Size: 57 KB

Noting this error message appeared in all previous versions of the indicator.

Also here is an example of the indicator removing (automatically and silently) the chart symbol from the supplied list to avoid calculating useless values:
Attached Image (click to enlarge)
Click to Enlarge Name: corr_xx_removal.png Size: 53 KB


A couple of questions:
1. What MT4 build are you using?
2. What operating system are you running under?
  • #90
  • Jul 28, 2016 10:25pm Jul 28, 2016 10:25pm
Minor release v1.2.1

Change log:

  1. no functionality changes.
  2. chart objects are now hidden from the object list


As log suggest this release only has "cosmetic" changes. The text objects will now not appear in the object list.

Enjoy.

Attached File(s)
File Type: ex4 ninety47_CorrelationTable_v1.2.1.ex4   35 KB | 1,189 downloads
  • #91
  • Jul 29, 2016 3:42am Jul 29, 2016 3:42am
What the heck happened ? Why am i being lectured for trying to help?? If i would have known this i wouldn't have bothered.

All screen shots are really the fruits of getting to know the indicator. The last screenshot happened when the indicator was already attached to the chart, then removing all pairs accept the EURCHF. Nothing wonky about my MT4 install.

And i know the correlation should be 1. I even mention this in my previous reply.

I'm using build 988 on Windows 7.
  • #92
  • Jul 29, 2016 4:03am Jul 29, 2016 4:03am
I really don't want to hijack your thread, but i think i can share something here.

Take a look at 2 pictures below on GBP/USD:
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot1.png Size: 32 KB


Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot2.png Size: 32 KB


(2nd column is correlation. 3rd column is change in percent)

Picture 1. As you see, GBP/USD is up because USD is shorted, not because GBP long => GBP get shorted again.
Picture 1. GBP/USD is down, because GBP is shorted, not because USD long, and USD is shorted is that range, you can see GBP/USD is up again now.

You should let market guide you, don't just choose 20, 60 or 99 periods.
You should choose a range base on recent move or zig zag leg.

You may see that the information on my chart clear and easier to understand?

I hope it helps!

If it is not, just ignore it.
When you lose, I'm the loudest who laugh at your face )
  • #93
  • Jul 29, 2016 4:26am Jul 29, 2016 4:26am
Quoting Zelo
I really don't want to hijack your thread, but i think i can share something here. Take a look at 2 pictures below on GBP/USD: {image} {image} (2nd column is correlation. 3rd column is change in percent) Picture 1. As you see, GBP/USD is up because USD is shorted, not because GBP long => GBP get shorted again. Picture 1. GBP/USD is down, because GBP is shorted, not because USD long, and USD is shorted is that range, you can see GBP/USD is up again now. You should let market guide you, don't just choose 20, 60 or 99 periods. You should choose a range...
All contributions are welcome .... if we shift to talking about a trading method the moderators might get a but toey and move us into trading discussion
The approach you mention is similar to my quantitative scalping strategy.

A trader by the name of Abokwaik has a thread devoted to a very similar style of trading. His focus is trading Yen pairs and his thread is aptly named "Yen Trader" and can be found here.
Worth a look. A very generous trader!
  • #94
  • Jul 29, 2016 4:55am Jul 29, 2016 4:55am
Quoting Brommer
What the heck happened ? Why am i being lectured for trying to help?? If i would have known this i wouldn't have bothered. All screen shots are really the fruits of getting to know the indicator. The last screenshot happened when the indicator was already attached to the chart, then removing all pairs accept the EURCHF. Nothing wonky about my MT4 install. And i know the correlation should be 1. I even mention this in my previous reply. I'm using build 988 on Windows 7.
Firstly I'll admit there is a redraw bug when you minimise or resize a chart on the location of the table unfortunately moves. This is unrelated to the bugs you have found but I'll fix it and at some point over the next week (it will be minor release 1.2.3). Lower priority than fixing the bugs you've found (when fixed will be release 1.2.2).

As far the correlation values go I'm 100% confident in the correctness of the calculations. I have automated and manual unit tests that I use to verify that.

If you edit the settings and add or remove symbols whilst its running I can't re-create the errors. I need to do some more testing but I'm fairly certain the MT4 completely reinitialises the indicator by calling deinit then init so that shouldn't be the source of the problem. I'll explore this to make sure that is the case. If it isn't then I'll make some changes to fix that.

All that said for life of me I just can't figure out how you got the indicator to calculate correlations for its own chart symbol. Could you provide a list of the steps you are taking to generate the charts above so I can recreate each of the errors? I appreciate its a pain the butt but I need more detail.

Otherwise go have a beer (or lemonade) because its Friday and enjoy your weekend .... or join the yen route if US GDP figures surprise.
  • #95
  • Jul 31, 2016 7:07pm Jul 31, 2016 7:07pm
Quoting Brommer
What the heck happened ? Why am i being lectured for trying to help?? If i would have known this i wouldn't have bothered. All screen shots are really the fruits of getting to know the indicator. The last screenshot happened when the indicator was already attached to the chart, then removing all pairs accept the EURCHF. Nothing wonky about my MT4 install. And i know the correlation should be 1. I even mention this in my previous reply. I'm using build 988 on Windows 7.
Spent a couple of hours on this yesterday. Still couldn't recreate the errors but I did rewrite the table view so new releases (skipping 1.22 to 1.23).

Test it if you are interested.
  • #96
  • Jul 31, 2016 7:33pm Jul 31, 2016 7:33pm
New release v1.23 (combined release of 1.22 and 1.23).

Change log:

  1. refactored MVC code.
  2. dropped dependency of user23.dll
  3. updated event handling to MQL4/5 model.
  4. fixed repainting issues when chart or window is resized.
  5. fixed typo in font input parameter (now using a mono space font by default.
  6. updated error handling output - now display #ERR# instead of EMPTY_VALUE

Build notes:

  1. Tested on MT4 Build 988 (14 July 2016) (under Windows 10, running under Virtual Box).
  2. Compiled using version 5.00 build 1351 (4 July 2016) of Meta Editor.

Other notes:

  1. MQL4/5 offers no guarantee on when chart objects are actually created e.g. layout decisions either need to be deferred or supplied with sensible default values until the chart objects are instantiated. In short CODE BLOAT and magic numbers are the quick fix ... uggh.

Known issues:

  1. Data loading is still a problem. At present any errors will simply display "#ERR#".
  2. It will also display "#ERR#" in the event of a division by zero (or a value significantly close to zero).

Attached Image (click to enlarge)
Click to Enlarge Name: AUDCADH1_corrtable.png Size: 57 KB


Enjoy.
Attached File(s)
File Type: ex4 ninety47_CorrelationTable_v1.2.3.ex4   36 KB | 1,243 downloads
  • #97
  • Aug 1, 2016 8:05am Aug 1, 2016 8:05am
ninety47_CorrelationTable_v1.2.3.ex4 Not work on USDJPY ?
  • #98
  • Edited Aug 2, 2016 12:13am Aug 1, 2016 6:05pm | Edited Aug 2, 2016 12:13am
Quoting gomen
ninety47_CorrelationTable_v1.2.3.ex4 Not work on USDJPY ?
More information please.

Note that you need to make sure the data is loaded for all symbols you want to calculate correlations for - specifically you need to open the charts.

For example if you want see correlations for USDJPY against AUDUSD, USDCAD, EURJPY, AUDJPY, CHFJPY, CADJPY then you will need open charts for each of these symbols otherwise the terminal will not have any data to do the calculations with.

If anyone knows how to get MT4 to load symbol data without opening a chart please let me know.

USDJPY Daily chart ....
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPYDaily.png Size: 44 KB
  • #99
  • Edited Aug 3, 2016 1:00am Aug 2, 2016 11:54pm | Edited Aug 3, 2016 1:00am
Quoting cjtylor
{quote} hi 9047, thanks for the tool. is this served as a trading util - or do you have a specific trade to trade such correlation? Thanks.,
Apologies I missed your post.

You can use it how you see fit. I using the correlation measures for risk management when swing trading (e.g. altering position size for example it a long set up occurs in USDJPY and a short setup in EURUSD ... I don't want to be double my exposure in the USD).

I also have an automated strategy that works, generally, on the ideas that Zelo mentioned but it doesn't run on MT4.

Its worth noting that you can generally see the correlations but just looking at charts. The idea behind display multiple time frames is to allow you to be mindful of the strength of the correlations e.g. if you have a strong Weekly of daily correlation then only take short term positions against it (unless you have a good reason to believe the market is turning on the higher time fames - remember just like a moving average this lags).

Hope that helps.
  • #100
  • Aug 3, 2016 11:30am Aug 3, 2016 11:30am
nicee work here!!

thanks for sharing!
nescentia necat
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