Calculates the strength of a particular currency taking into account it's rate of change (% price change in a period) in all correlated and anti-correlated pairs. For instance, when looking for USD strength we will add ROC for USDCAD, USDCHF and USDJPY while subtract AUDUSD, EURUSD, GBPUSD and NZDUSD.
After ROC step, one can smooth the result using EMA, or...
Code takes six pairs that are highly correlated to GBPNZD and determines if their ROC's are increasing or decreasing. If a pair has an increasing ROC it is given a 1, if decreasing a -1. The numbers are all added up (this is similar to a count for counting cards in blackjack). If the count goes positive the strategy enters a long position, if negative a short...
Based on RSI, CCI, StochRSI and ROC
No security function - no overpaints. Only simple indicators in common.
As I noticed - this strategy have common results with the BB strategy - may be we can filter it (for example reduce BB walks)?
Please, if you have any ideas how to make it better, or automate it - I will be happy to discuss.
UPD: oops, as I can see, I...
