Study1: multi-currency analysis for scalping and beyond - page 6
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There are people like you waiting in casinos... Cut the crap!
I wrote all about short-term correlation in the thread, with illustrative examples.
The correlation is a probability theory and I don't see randomness in the market. If GBP index goes often with EUR it means that large investors/support has more confidence in European currencies, same with USD and JPY
The problem with multicurrency analysis is that you don't know when and for which currency they are trading, and when they are just cross rates in the terminal, you don't know when the trend starts and when the correction starts - and when you try to express these uncertainties in multicurrency analysis, you get the full probability theory.
i.e. if GBP goes down and USD goes up, what do i do if they go up together, but at different speeds?
how long is this a movement? for scalping/pipsing my system will probably work, just catching the moments when the currency index passes through zero and looking for another currency that has also changed sign according to my indicator
When you make long term predictions, you should not use indices but banal MaAs for major currency pairs
There are people like you waiting in casinos... Cut the crap!
I wrote all about short-term correlation in the thread, with illustrative examples.
What is the algorithm for calculating the indices?
on a trade-weighted basket for each currency
on a trade-weighted basket for each currency
How do you calculate the ratios in the basket?
Because it seemed more logical. From a cursory glance at dozens of situations that the script has accumulated and from viewing the screenshots I have drawn some unfounded conclusions so far:
- The USDJPY is the one that's most likely to be mowed down;
...
In your case it's because the yen has a lower interest rate than the quid, other pairs have it the other way round. See curry trade.
In your case, it's because the yen has a lower interest rate than the quid, while other pairs have it the other way round. See curry trade.
Carry Trade may still be able to explain the skewness in calculating skewness using the cluster method. But it is definitely not able to explain the skewness found using the method I have described. For example, this one.
What do you think of the coefficients in the basket?
http://indices.markit.com/
Carry Trade can still somehow explain the skewness in the cluster method of skewness calculation. But it is certainly not able to explain the skewnesses found using the method I have described. For example, this one.