Detecting Fake Price Movements - Convergence Divergence Indicator

Quoting SwingMan

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Here have you some of my indicators, maybe help you further! https://www.forexfactory.com/showthr...73#post8199073 https://www.forexfactory.com/showthr...36#post3934336 https://www.forexfactory.com/showthr...35#post3462035 Here some other "sofisticated" indicators: https://www.forexfactory.com/showthr...84#post2089384 Or the "Spieler EA": https://www.forexfactory.com/showthr...78#post2118878

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//--- first calculation or number of bars was changed
   int limit = rates_total - prev_calculated;
      
   //--- determine how many bars to calculate for
   if (prev_calculated > 0)
      limit++;
            
   // Calculate correlation for each uncalculated bar
   for (int shift = 0; shift < limit; shift++)
   {
      HourlyCorrelationBuffer[shift] = CalculateCorrelation(PERIOD_H1, FastPeriod, shift);
      DailyCorrelationBuffer[shift] = CalculateCorrelation(PERIOD_D1, SlowPeriod, shift);
   }

Quoting samsha786

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Attached is my first attempt at writing this indicator. Any smart developers out there care to correct the code? Last few bars don't seem to be rendering correctly. Something to do with rates_total and prev_calculated I suspect. See first post for the indicator. The flaw with the logic is the value passed for SHIFT. If we pass the correct value, the indicator works as expected: //--- first calculation or number of bars was changed int limit = rates_total - prev_calculated; //--- determine how many bars to calculate for if (prev_calculated > 0) limit++;...

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Quoting FerruFx

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{quote} The shift must be prepared differently for each timeframe ... with iBarShift(...) iBarShift(_Symbol,PERIOD_H1,Time[shift])

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Quoting steve2010

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I got lazy and haven't quite finished the indicator, but it works, more or less. I put on a trade on EUR/JPY (short), let's see how it goes. {image}

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Quoting samsha786

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... Indicator needs to show levels for: 0.7 -0.7 0.5 -0.5 Trading Rules If the RED line is above 0.7 and the BLUE line crosses below -0.5, then we open a buy position. When the BLUE crosses above 0.5, then we close our position. If the RED line is below -0.7 and the BLUE line crosses above 0.5, then we open a sell position. When the BLUE crosses below -0.5, then we close our position. For the pairs mentioned in this example, the indicator would be attached to the EURGBP pair for it to make sense. Here we go, the indicator is nearly complete. {file}...

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Quoting Go5

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{quote} Thank you for bringing this up. Thinking about your trading rules, the difference between buy/sell doesn't make sense to me since a "fake" move can be up or down, so if it is fake, the divergent excursion on the hourly (blue) should go to the opposite side regardless of the direction of the move. Please correct me here if I made a mess here.

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Quoting samsha786

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{quote} My understanding is: RED line above 0.7 - positive correlation. In this case we look for where the BLUE line is below -0.5 (negative correlation), because we expecting it to cross above 0.5 (positive correlation). RED line below -0.7 - negative correlation. In this case we look for where the BLUE line is above 0.5 (positive correlation), because we expecting it to cross below -0.5 (negative correlation). This is my interpretation (which could be wrong), perhaps you could articulate your point better with a visual example?

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Quoting Go5

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{quote} Yes, correct - that is how I understand it so far. This however is not what you state in the rules where you change to a negative correlation for a sell. What I mean is, that for a sell with a positive correlated pair (say EG) the trigger would still have to be red above 0.7 and blue crossing -0.5 - not the other way around.

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Quoting samsha786

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{quote} I was under the impression, that for positively correlated pairs you are only looking for BUYS when they have diverged. For negatively correlated pairs you are only looking for SELLS when they have converged. For now, I have scratched the original rules and have left it open to the community to try the indicator and help define the rules based on the behaviour they see.

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Quoting Go5

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{quote} As far as I understand the document you posted (which by the way lacks sufficient examples...), we are looking for a deviation from the correlation which can be up or down (why would it be only down for a positive correlation?). As the blue line goes under -0.5 we look whether the corresponding move is up or down and enter to reverse it.

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Quoting samsha786

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{quote} You are correct, we do not have sufficient examples. However, based on what you have just said - makes perfect sense. I think the rules are more clear now. I will post accordingly on Post #1.

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Quoting samsha786

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{quote} Kindly explain to me why you attached the indicator to EURJPY? What are the currencies that constitute to EURJPY? All in all, there are 3 currency pairs in play. The two currencies used by the indicator and the 3rd is the cross pair they produce - the cross pair is the chart that you place the indicator on. E.g. In the case of EURGBP = EURUSD | GBPUSD. I am not sure that applying this to EURJPY makes sense. Kindly, clarify for me. Thanks!

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Quoting samsha786

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I feel like I am swimming on my own over here... Anyways, I have identified the following pairs and possible combinations for trading them with this indicator: AUDCAD = AUDCHF + CADCHF AUDCAD = AUDJPY + CADJPY AUDCHF = AUDJPY + CHFJPY AUDNZD = AUDCAD + NZDCAD AUDNZD = AUDCHF + NZDCHF AUDNZD = AUDJPY + NZDJPY CADCHF = CADJPY + CHFJPY EURAUD = EURCAD + AUDCAD EURAUD = EURCHF + AUDCHF EURAUD = EURJPY + AUDJPY EURCAD = EURCHF + CADCHF EURCAD = EURJPY + CADJPY EURCHF = EURJPY + CHFJPY EURGBP = EURAUD + GBPAUD EURGBP = EURCAD + GBPCAD EURGBP = EURCHF...

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Quoting steve2010

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{quote} I noticed that both USDJPY and EURUSD had been running with the recent USD strength, and thought it might be interesting to see what the EURJPY cross was doing in relation to this. The correlation over the long term had been quite high recently, so with a sudden drop in short term correlation it seemed plausible that it might try to revert to that. But yes, in general USDJPY and EURJPY do not have a high degree of correlation so this is an improper application of the system

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Quoting RapzyFX

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{quote} Hi Sam, Great Idea you have but its just unfortunate that I don't have any coding skills so just watching as this unfolds. Also I think this would be better served in the Platform Tech forums and/or invite the great coders like FerruFx, FxFlux, Xmess7, and many others by sending them PMs. Just my thoughts. Hope your idea sails. T

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