Is 3 SMA Spread

3-SMA-Spread - cross-instrument stat.arb (Statistical Arbitrage) Indicator of market Spread of 3 (three) different instruments via building visual iChannel (see below formula) that is changing its Width proportionally to the input from each instrument ("Statistical Arbitrage" based on SMA).

Core principle: Price lines following the prices of "their" symbols after each discrepancy are constantly tending to return to the total of "synthetic" central.  In other words, a system of 3 "related" instruments//pairs constantly strives to revert to their mean (so called "mean-reversion" effect).

• Works on any Instrument/TF (must open Charts/TF for all instruments used)
• Synchronization in place.  After current bar is closed -- No re-paint / No re-draw
• "SetIndexBuffer" available for all variables (can be used in EA)
• Auto-detect 4- and 5-digit prices 

 The following formulas have been used to build iChannel:

• Price-line Symbol-1     - chart where Indicator is turned on
• Price-line Symbol-2     - plus "reversal=true" Mode for instruments with negative correlation
• Price-line Symbol-3     - рlus "reversal=true" Mode for instruments with negative correlation

• Middle-line М  = "synthetic" central (S1 + S2 + S3)/3 (yellow dotted line)
• iChannel = (S1-M) + (S2-M) + (S3-M) (red and green dots)

Conditions for Signal:

#1. Width of iChannel started to narrow (first green dot after series of red dots)

#2. Width of iChannel > Level

#3. Price Line S1 is on one side of Middle-line М, аnd Price Lines S2 and S3 are on the opposite side of Middle-line М -- as following:

• Signal BUY Symbol-1:  S1<M  S2>M  S3>M   -- NOTE: iChannel width (red and green dots) is changing wider or narrower
• Signal SELL Symbol-1:  S1>M  S2<M  S3<M   -- NOTE: iChannel width (red and green dots) is changing wider or narrower

Parameters: 

• Inp_Fast_MA - period of Fast moving average
• Inp_Slow_MA - period of Slow moving average
• Inp_MA_Method - parameter of SMA
• Inp_MA_PriceType   - parameter of SMA

• Inp_Symbol_1 - Symbol-1 (by default GBPJPY)
• Inp_Symbol_2 - Symbol-2 (by default EURJPY)
• Inp_S2_revers - =True in case Symbol-2 has negative correlation to Symbol-1
• Inp_Symbol_3  - Symbol-3 (by default CHFJPY)
• Inp_S3_revers - =True in case Symbol-3 has negative correlation to Symbol-1

Other useful information: 

Typical EXAMPLES of highly correlated 3-way instruments:

•  GOLD vs. gold-forming currency pairs AUDUSD, USDCAD and NZDUSD
•  GOLD vs. Crude/WTI and Brent/BRN
•  Stocks vs. Indices (S&P500, NASDAQ, DJIA etc.)
•  Soybean Meal March 2016 (ZMH16) vs Soybean Oil March 2016 (ZLH16) vs Soybeans March 2016 (ZSH16), etc.