Thursday, April 30, 2015

Currency Strength Meter

The Currency Strength Meter analyses 28 currency pairs to create a strength "index" for each base currency (USD, EUR, GBP, CHF, JPY, AUD, CAD, NZD).

Here's the CSM for today...

And here's the 28 pairs (shown as % changes) that are used by the CSM...

Wednesday, April 29, 2015

CoT Report at FXstudies - Gonçalo Moreira

CoT Report at FXstudies - Gonçalo Moreira

By popular request: "The Footprint" chart

I developed a Footprint chart a couple of years ago, but technical issues due to the way FXCM changed how they supplied the tick data caused some severe problems and limitations. The Footprint still worked... but it was limping along - and not something that I really wanted on my site.

Yet, it continues to be one of my most requested indicators! So, I am having another look at this. I think it will be a total re-write to improve the efficiency and accuracy.

Here's a sneak preview of GBP/USD and EUR/USD.

 So, no promised - but watch this space, and I'll see if I can this unique indicator back up and running again.

Sunday, April 26, 2015

Bollinger bands and regression channel

Bollinger bands plot the average (e.g. 20 period moving average) and upper/lower deviation bands (normally at 2 standard deviations). The bands are supposed to represent extremes of price action since, in a "normal" distribution,  95% is contained within -2 to +2 standard deviations.

Unfortunately, price action rarely exhibits such normal distributions - but it serves as an approximation, a "model" of price action. However, there's another issue with the Bollinger Band - the moving average, which we know cause a "lag".

Can we do better? Below is a chart of GBP/USD utilizing a "regression channel" band. The regression line models the price action a lot more accurately than the moving average, and so the bands are tighter and price respects these bands more closely. In statistical terms we would say mean-square-error is lower.

That's all very well, but can it help us with a trading strategy? Maybe. If we assume that this "model" is more accurate than a Bollinger Band model, and if we use this model to help confirm other trading decisions, I think it can. This is currently an area of research - I'll be back to you on that.

Thursday, April 16, 2015

Currency Strength Meter (16/4/2015)

Some volatility in the currency markets at the moment. Weak jobs data send USD lower today. CAD looking strong due to oil (and that there was no repeat of the surprise rate cut). Greece worries still around.

Here's the day chart...

Here's the 5-week chart...