Is 3 SMA Spread
- Indicatori
- Oleksandr Medviediev
- Versione: 1.4
- Aggiornato: 16 dicembre 2021
- Attivazioni: 20
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)
This formula allows combining various instruments on one chart (see Fig. 1), for example:
- XAUUSD ~1100
- AUDUSD ~0.7
- USDCAD ~1.33
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.
Complete list of 120 classic 3-way combinations of currency pairs - see link in the Comments section.
