Thoughts on some of the absurdity of multi-currency analysis. - page 26

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RomanS:

I don't understand a lot... which third digit is the one we're talking about?

Knowing the opening and closing of EURUSD and GBPUSD you can easily calculate the opening and closing of EURGBP

Knowing the opening and closing of EURUSD and EURGBP, you can easily calculate the opening and closing of GBPUSD

Knowing the opening and closing of EURGBP and GBPUSD it is easy to calculate the opening and closing of EURUSD

Do you agree with this?

I agree with that.

I meant EURGBP(0.00978) and GBPUSD(0.00879) - calculate EURUSD(0.00417), get this figure as 0.00417 (no open or close). If so, I will have to admit that there is a rigid relationship between currency movements and multicurrency analysis can be scrapped.

 
Prival:

Responding to the author of the thread, about the absurdity of multi-currency analysis, and the construction of indices. I would like to say that I do not see anything wrong or redoubtable here. It has its place, and if this approach gives even a slightest advantage, one should use it. The above described approach to multicurrency analysis is not the only one, there are many of them ... and to reject them all is a bit presumptuous ...

I agree, there are advantages, just how to use them.... still looking for
 
Prival:

I agree with that.

I meant to have 2 figures (delta) EURGBP(0.00978) and GBPUSD(0.00879) - calculate the way EURUSD(0.00417) has travelled, get this figure 0.00417(no opener or clause). If I can calculate it, I will have to admit that there is a rigid relationship between currency movements and multicurrency analysis can be scrapped.

These figures are linked via the opener/clause (or rather via the current floating rate), and what is the point of not using them? They are there. It's like asking for the distance travelled with only speed and disallowing the use of time.
 
Abzasc:


What is the correct formula for calculating the currency index? How do I calculate the USD and EUR indices correctly to see how they move in relation to them?

Everyone is free to invent his own formula. Each one may be better or worse in determining the different characteristics of the movement. I used Semsemic's formula (see CCFp).
 

Prival:

Responding to the author of the thread, about the absurdity of multi-currency analysis, and the construction of indices. I would like to say that I do not see anything wrong or redoubtable here. It has its place, and if this approach gives even a slightest advantage, one should use it. The above described approach to multicurrency analysis is not the only one, there are many of them ... and it's a little presumptuous to reject them all ...


An interesting approach, Sergei, exactly to the calculations. I've been thinking about it for a long time, since the times of scalping (group movement, its source, etc.).

I even started to make tools like this: https://www.mql5.com/ru/code/9246

Such a calculation, IMHO, should be done in real time tickwise. Probably it will give good results... I'll have to think about it.

 
Dima_S.:

Interesting approach, Sergey, exactly to the calculations. I've been thinking about it for a long time, since the days of scalping (group movement, its source, etc.).

I even started to make tools like this: https://www.mql5.com/ru/code/9246

Such a calculation, IMHO, should be done in real time tickwise. Probably not bad results... I'll have to think about it.


I'm still not sure if I'm calculating everything correctly, even though I do it all in my favourite matcad. I'm still not sure if I'm calculating everything there correctly, even though I do it all in my favourite matcad. I have chosen the Rayleigh-Ryan equation distribution law to check hypotheses. There are some researches in this area (unfortunately I can't find it) done by some mathematician on the forum, it has to do with lag of ticks. I chose the Rayleigh-Rice law, there are also studies on this topic, I think you can also use the lognormal one.

Z.I. Although it's probably possible to do something with combinatorics, I haven't checked it.

 
Prival:


I'm still not sure if I'm calculating everything correctly, even though I do it all in my favourite matcad. I'm still not sure if I'm calculating everything there correctly, even though I do it all in my favourite matcad. I have chosen the Rayleigh-Ryan equation distribution law to check hypotheses. There are some researches in this area (unfortunately I can't find it) done by some mathematician on the forum, it has to do with lag of ticks. I chose Rayleigh-Rice law, there are also studies on this topic, I think you can also use lognormal.

Z.I. Although I guess you can somehow get by with combinatorics, I haven't checked.

I think we should first normalize the tick-flow by time for selected symbols. I.e. the flow should be even - every 0.1 - 1 sec. Then we will have synchronization of such artificial quotes of different symbols. Then normalize on the amplitude - i.e. transfer from the price to its change (probably using logarithm). Then the resulting tick-flow may be processed... IMHO.

 
Prival: Somewhere on this forum there is research in this direction (unfortunately I can't find it) done by a mathematician, something to do with tick lag.

Tics: distributions of amplitudes and delays.

But I abandoned that topic long ago.

 
Mathemat:

Tics: amplitude and delay distributions.

But I abandoned that topic a long time ago.


You should not distribute ticks neither by time nor by amplitude - the important ticks are those which by their impulse form the direction of bar movement - random ticks are usually singular in a bar, but they can form either a bar high or low - at least in an active trend
 
Igor, three years ago I did not set myself such a task. It was purely a research endeavour.
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