Thoughts on some of the absurdity of multi-currency analysis. - page 30

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Zhunko:
:-))) Of course they do! A lot can be done about it. For example, make a synthetic pair that will outperform a natural one by 5-10 bars...
Something I strongly doubt the reality of something leading after a close study of so called "leading indicators". How can an indicator be leading?!!! Does it know the future? I can draw a vertical line at any point and say to everybody: "look, I've made an amazing leading indicator, it will reverse after this line". And there will be a reversal... someday. That's how lead indicators work.
 
hrenfx:
I have a request to move on from praising your penis to a technical discussion of indices.

to the Annals now!!! +5
 
AlexeyFX:

I didn't introduce a concept like BP ZZZ, all calculations are done "on the fly" for each bar. But in general, everything is correct.
How do you determine the size of the sliding window?
 
hrenfx:
How do you determine the size of the sliding window?

I don't have one at all.
 

I am interested in any approaches. If you can share some insights, that would be great.

The lack of a sliding window is understood. The determining factor is the time shift(vertical line in the screenshot).

 
AlexeyFX:

We are trading the difference, so knowing the relative change is sufficient. I put a reference point where all currencies are 1, on the vertical scale the relative change as a percentage.

Exactly right! And in this way you can visually see which currency is going where, the main problem is in determining the starting point, I try to choose the moment when there was a strong movement in one of the currencies, then after a while this movement will be visible in the other currencies
 

The great virtues of dickfix are undeniable, but let's get back to the topic of the thread, shall we?

Let's try to use dickfix to confirm the topic author's assertion.

I am not interested in technical arguments about currency indices. Got over it a long time ago.

I would like to see the practical results of their use. At least the entry and exit points.

Otherwise it turns out that there are a lot of discussions, but they are empty. For they do not bring anything.

 

There is indeed a lot of speculation. So I suggest that the discussion should be purely technical.

Indices are called anything you can think of. This is not a good thing.

It makes sense to consider the practical results of indexes only when there is a more or less definite notion of them. Otherwise, let's move to the EURUSD branch.

I have already mentioned above the properties of indices:

  1. Ind_XXX / Ind_YYY = XXX / YYY.
  2. The set of indices has a minimum interconnection between them. I.e. the sum of (normalized) indices has the maximum variance.
  3. The solution of items 1 and 2 is just one BP (ZZZUSD), since the indices are ZZZZ-majors.
 
hrenfx:

Indices are called anything you can think of. That's not good.

Here you are absolutely right, I think that indexes may be called only those values, the estimation of which takes time comparable to economic processes - quarter / half a year / year, while the crap that we all draw on minutes / hours can only be called a search for ways to assess volatility / liquidity or for me just currency speed

The ratio Ind_XXX / Ind_YYY = XXX / YYY is correct, but only for the evaluation of seasonal trends, with a big time shift, as a decrease of Dollar index unambiguously shows an increase of commodity prices, while increase of other currency indexes will show where the paper mass "flowed to temporary storage": "...One state introduced a freely convertible currency - ruble. This means that the value of the ruble became known in the world currency - the RUB/USD exchange rate appeared (the world currency took over all the goods in the ruble's territory)."

OK, all this thinking does nothing to shake money out of DCs ))))

The estimation of the group velocity of all major currencies can give a small profit, and the currencies which left the group movement will be obliged to return back, i.e. I am speaking about the estimation in % ratio since the market is so efficient that the slightest imbalance will be eliminated in the nearest future, and if this imbalance was not eliminated - then there is a reason and the market had to accept this price and this price is the start for a new reference point for currency movements

 
indices can be defined as anything in which market participants with significant aggregate finances find a link and are focused on. And the cycle of such indices will be determined by the trading cycles of those participants. If they are hedgers trading seasonally, the cycle will be the corresponding periods of time. If they are banks regularly resampling their portfolios, the cycle will be determined by them. And the cycle may well not be calendar-driven, but based on the behaviour of the price series, or on any other events important to these participants. For example, if arbitrageurs are focused on the divergence of currencies relative to some index, the cycle will be determined by the divergence and convergence of the respective currencies. Therefore, the common index may have several cycles, which may not be periodic (they do not have a fixed duration in astronomical time). In short, to make money one should try to predetermine others' intentions instead of viewing a spherical horse in a vacuum)))
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