nicee work here!!thanks for sharing!
MT4 MTF Correlation table and Correlation oscillator indicators
- #105
- Edited 7:34pm Aug 7, 2016 7:19pm | Edited 7:34pm
No worries mate. We have lives 
Thank you very much for the feedback.
I can't replicate the one you just posted but I can get the "overwriting" happing when I use templates - not something I was testing with.
Sure is an odd one and its still happening with v1.2.3. I'll do some poking around and figure it out.
9047.
EDIT: Got the error.... man MT4 loves to have weird ass bugs in really places the debugger can't tread.
2nd EDIT: So it occurs when you apply the template to a symbol other than the template you originally created the symbol. It definitely has something to do with confusion over what the chart symbol is and the fact that templates hold onto chart objects. I have a solution in mind that should solve the problem.... but like most things in MT4 it ends up being a bit hacky and leaves you feeling dirty and question why you use the platform (oh yeah the essentially free data).
Thank you very much for the feedback.
I can't replicate the one you just posted but I can get the "overwriting" happing when I use templates - not something I was testing with.
Sure is an odd one and its still happening with v1.2.3. I'll do some poking around and figure it out.
9047.
EDIT: Got the error.... man MT4 loves to have weird ass bugs in really places the debugger can't tread.
2nd EDIT: So it occurs when you apply the template to a symbol other than the template you originally created the symbol. It definitely has something to do with confusion over what the chart symbol is and the fact that templates hold onto chart objects. I have a solution in mind that should solve the problem.... but like most things in MT4 it ends up being a bit hacky and leaves you feeling dirty and question why you use the platform (oh yeah the essentially free data).
Source of the problem found.
When you save a template it saves all the chart objects (hidden or otherwise). Extract from the template file I created...
I created this particular template on a EURUSD chart and so when it is applied to a new, for example AUDUSD, chart it recreates all the objects listed in the template's "XML" file. This is fine for all the other symbols aren't EURUSD because their chart objects are re-created and re-positioned but the existing "AUDUSD" chart objects aren't created by the template but even though they aren't needed! What a turd
When you save a template it saves all the chart objects (hidden or otherwise). Extract from the template file I created...
Inserted Code
<chart> id=131043774429655163 symbol=EURUSD period=60 leftpos=4121 digits=5 scale=8 graph=1 fore=0 . . . </chart> . . . <object> type=23 object_name=CORR_LABEL_SYMBOL_AUDUSD period_flags=0 create_time=1470616138 description=AUDUSD color=16777215 font=Lucida Console fontsize=9 angle=0 anchor_pos=0 background=0 filling=0 selectable=0 hidden=1 zorder=0 corner=0 x_distance=1303 y_distance=45 </object> <object> type=23 object_name=CORR_VALUE_AUDUSD_M5 period_flags=0 create_time=1470616138 description= 0.39 color=16760576 font=Lucida Console fontsize=9 angle=0 anchor_pos=0 background=0 filling=0 selectable=0 hidden=1 zorder=0 corner=0 x_distance=1352 y_distance=45 </object> . . .
I created this particular template on a EURUSD chart and so when it is applied to a new, for example AUDUSD, chart it recreates all the objects listed in the template's "XML" file. This is fine for all the other symbols aren't EURUSD because their chart objects are re-created and re-positioned but the existing "AUDUSD" chart objects aren't created by the template but even though they aren't needed! What a turd
New release v1.2.4
Change log: 
Change log:
- fixed the bug found by Brommer. Cause of the bug was how MT4 templates hand chart objects. This bug fix also allows for changes that include removing or adding time periods to the chart.
- Re-ordered the input parameters so the symbol list comes first (saves some scrolling).
Build notes:
- Tested on MT4 Build 988 (14 July 2016) (under Windows 10, running under Virtual Box).
- Compiled using version 5.00 build 1351 (4 July 2016) of Meta Editor.
Known issues:
- Data loading is still a problem. At present any errors will simply display "#ERR#".
- It will also display "#ERR#" in the event of a division by zero (or a value significantly close to zero).
{quote} ya - i think the theory is sound - but i am just not sure how practically trade correlation. when correlation is 80%, and i think it's high enough, it can get higher . Anyway, do you have a way to only short/long correlation - without any spot price exposure? Thanks alot mate.
Generally when correlation is up around 80% (or 0.8) in means two time series are moving in the same direction or if you have -80% (-0.8) they are moving similarly but in opposite directions. The key part to remember is that correlation does not imply causation for example there is strong correlation between per capita consumption of mozzarella cheese in the United States and the awarding of civil engineering doctorates in the United States. Obviously this is a spurious correlation. But given the currency market (and all its pairs) are essentially one big beast you can exploit the apparent correlations and deviations from them.
Source http://www.tylervigen.com/spurious-correlations
Zelo mentioned some useful ideas in his post above.
Similarly if you are a swing trader or levels trader and you have nice levels across 3 highly correlated pairs then you can use the information to manage your exposure by only trading one of the levels (which one you trade and why is another story completely).
But essentially correlations below 0.8 should be interpreted as uncorrelated (but remember they are changing all the time so it could be going up or down).
Hope that helps.
9047.
2 items to respond to...
First item: Technical issue
No idea. Haven't had any issues with this myself and I'm using the same build as you.
That said, I did notice if you drop, or add, the indicator on a chart that it is already on it all falls apart. I am pretty sure I can add some hacks to fix this issue but coding to defend against acts of stupidity (even though I did it myself
) is a low priority.
Second item: Detrending FX data
Its a great and welcome contribution. Give me some time to think about it, in terms of its implementation, and I'll get back to you.
Something that does come to mind immediately is that the first order difference may not be sufficient to transform to affect the stationarity of the time-series. Under ideal circumstances the n-th order difference would be required, where the n-th difference minimises the variance of the stationary time-series. I'll investigate more about the impact of the logarithmic transform as well. Its also worth noting that "n" (as in the order of the difference required to make the time series stationary will be a moving target.
In the mean time do you have any analysis/results you can show for detrending the currency data using first or n-th order differences?
9047.
First item: Technical issue
.....and lastly, when I drag and drop the indicators in the chart, nothing happens. No any message or something. DLL option is checked. Ver 4 b988 (4 July 2016). Any comments? Could anybody please show his/her folder structure via some screenshots to assure mine is true? thanks,
That said, I did notice if you drop, or add, the indicator on a chart that it is already on it all falls apart. I am pretty sure I can add some hacks to fix this issue but coding to defend against acts of stupidity (even though I did it myself
) is a low priority.Second item: Detrending FX data
The problem above is arisen from the fact that a serie like EURUSD is not a stationary process depending on time (that is; mean and variance of the serie is not constant and changing depending on time) and a statistical parameter like pearson corr. may not be reflected the true relitionships in the situation, espicially when the result are high correlecation values. In addition to this, a non-stationary serie could be made stationary thanks to calculating its return values with difference operator;
D(EURUSD) = Ln(EURUSD)-Ln(EURUSD(t-1)) and;
D(USDJPY)...
Something that does come to mind immediately is that the first order difference may not be sufficient to transform to affect the stationarity of the time-series. Under ideal circumstances the n-th order difference would be required, where the n-th difference minimises the variance of the stationary time-series. I'll investigate more about the impact of the logarithmic transform as well. Its also worth noting that "n" (as in the order of the difference required to make the time series stationary will be a moving target.
In the mean time do you have any analysis/results you can show for detrending the currency data using first or n-th order differences?
9047.
- #113
- Dec 10, 2016 11:33am Dec 10, 2016 11:33am
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
- #114
- Edited 9:06am Dec 11, 2016 2:09am | Edited 9:06am
{quote} Hi there, I hope you are still around. Can you or someone else give option to colour high correlation in red in your indicator?
Sorry I may have misunderstood what you are asking but I think the indicator already does what your asking for. The image illustrates the correlations are highlighted according to their strength.
Off the top of my head I'm fairly certain the colours can be set in the input parameters.
Is this what you're after?
9047.
- #117
- Dec 12, 2016 12:58am Dec 12, 2016 12:58am
Hi 9047, Can you please share the .mq4 file for version 1.2.4? Thanks
http://www.forexfactory.com/attachme...7&d=1428764356
- #118
- Dec 12, 2016 2:23am Dec 12, 2016 2:23am
- Joined Oct 2009 | Status: Exploiting psychology of the crowds | 1,426 Posts
Cut short your losses. Let your profits run on. David Ricardo (1772-1823)
{quote} Here u can find a similar indicator
- #120
- Edited 8:03am Dec 12, 2016 7:51am | Edited 8:03am
{quote} Here u can find a similar indicator
....
@Spoy the primary reason I'm no longer making the source code available is that no one respects the GPL license the original version was released under. Apologies, but its just frustrating. If you need any help implementing spearman or pearson correlation function or with MQL4/5 please feel free to send me a PM.
I'll have some time later in the week to implement the detrending Synertic discusses above. This will released under version 1.3. I'm also aiming to breathe life back into the oscillator - I always found that to be a useful investigative tool.
9047.