MultiCurrencyCorrelationOsc

Description

The Multi-Currency Correlation Oscillator is designed for multiple currency pair trading. It measures correlation between price actions of currency futures.

In order to use the Multi-Currency Correlation Oscillator properly, the following needs to be defined: whether the currency pairs are moving in the same direction or opposite directions. Pairs that move in the same direction can provide entry or exit signals when they have correlated moves. Conversely, for opposite-direction pairs, the signals might be looked for when the pairs move away from each other. When calculating correlation coefficient, the Multi-Currency Correlation Oscillator takes into account Open and Close prices of futures contracts corresponding to either currency in the pair.

Input Parameters

Parameter Description
first currency Defines the first currency futures.
second currency Defines the second currency futures.
are one way pairs Defines whether the pairs are moving in the same direction or opposite directions.
multiplier Coefficient expressing the relationship of currency pairs.
upper limit Reference line for Sell signals.
lower limit Reference line for Buy signals.

Plots

Plot Description
Corr The Multi-Currency Correlation Oscillator plot.
Upper The upper limit.
Lower The lower limit.

Further Reading

1. "Developing A Multi-Level Strategy" by Vladimir Vladimirovich Voznjuk. Technical Analysis of Stocks & Commodities, September 2012.

Example*

*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.

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