Thursday, July 30, 2015

Currency Strength (30/7/2015)

Today's Currency Strength. GBP strong on all timeframes. USD strong too. This means GBP/USD will be choppy trade. Best to pick strong vs weak, not 2 strongs.

Someone asked what the semi-transparent horizontal bars were. These show the trading sessions. I've labelled them here for convenience. More information on the Timeline indicator can be found here.

More information on Currency Strength can be found here.

Wednesday, July 29, 2015

SSI Snapshot on FXCM Apps

FXCM just release a new indicator on their FXCM Apps site. The SSI Snapshot gives a snapshot of the realtime value of their Speculative Sentiment Index. This shows the proportion of aggregated long/short client positions. Previously the SSI was only available on their DailyFX website updated weekly (or twice daily for DailyFX Plus members).

The new indicator shows the SSI and updates in real-time, making it much more accessible and relevant.

More information can be found on FXCM Apps site, and DailyFX site.

Currency Strength (29/7/2015)

More information on Currency Strength can be found here.

Tuesday, July 28, 2015

Potential outcomes from the upcoming FOMC rate decision...

DAX trade (break-out of Initial Balance)

Using SessionLines to track the day's trading session. Although DAX opens at 7am (GMT), I'm using 8am (GMT) for the start. This is because volume before London opens is low, and pre-London activity sometimes reverses or changes behaviour... London session is the main driver for European markets (you can see from the tick volume on the bottom).

This trade was a break-out of the Initial Balance. Targets were the 1st and 2nd extensions of Initial Balance High.

The impact of China's stock market decline

Thursday, July 23, 2015

Thursday, July 16, 2015

Monday, July 13, 2015

Currency Strength Bars now on FXCM Apps site

I have just had my "Currency Strength Bars" indicator accepted and uploaded to the FXCM App site.

This indicator computes the "currency index" (similar to US Dollar Index) for USD, EUR, GBP, CHF, JPY, AUD, CAD and NZD. The indicator normalizes the "raw" index with an RSI, and then ranks the 8 major currencies (high to low) according to this value. The results are plotted as a bar (horizontal or vertical). The indicator supports 4 customizable time-frames, which allows strength to be assessed over short, medium and long timeframes.

The indicator is available on FXCM Apps site (here).

The indicator is also available from my blog (here).

Friday, July 10, 2015

Weekly Wrap - 10th July 2015

Currency Strength Bars (Release 4)

I just uploaded Release 4 of the Currency Strength Bars indicator. The release fixes a small bug in the indicator.

Release 4
  • Bug-fix: Length value was not used correctly

Currency Strength "Basket" auto-trading strategy

I've been working on an automatic trading strategy using the Currency Strength Meter (CSM) approach.

Basic concept is as follows:
  • Use CSM to rank the 8 major currencies (USD, EUR, GBP, CHF, JPY, AUD, CAD & NZD) from strong to weak
  • Take N strongest and N weakest currencies (e.g. N = 2 or 3) and construct the pairs from these. These will be the candidates for our "basket".
    • For example, suppose currencies are ranked GBP, EUR, CHF, AUD, CHF, NZD, CAD, USD, JPY. If N = 2, then the pairs GBP/USD, EUR/USD, GBP/JPY and EUR/JPY will be the candidates.
  • The strategy can then either:
    • Add the candidate trade to the basket immediately
    • Wait for a pull-back using an oscillator such as STOCHASTICS
  • The basket is reviewed periodically and trades removed (when they fall out of ranking) or new candidates are added.

This is a trend-following strategy. The idea is to trade a basket of trending currencies. Using a basket averages out some of the performance, e.g. if 1 particular pair does badly its overall impact is reduced by the others.  The basket is constantly updated. I implemented a stop loss as a backup, but the strategy will automatically remove weak trades as part of the periodic review.

I am using H1 time-frame for the CSM (actually using Currency Strength Bars).

It's worked really well with today, particularly with "risk-on" causing trend in EUR and JPY.

This is currently a research project. But initial concept seems valid. Unfortunately, it is not easy to back-test this with the back-tester, as it is not able to cope with the amount of data required for the Currency Strength Meter (28 currency pairs).

Currency Strength (10/7/2015) - Risk on rise after Greek proposal

Well, Greek reform proposal seems to meet creditor demands (although nothing said about debt restructuring, so there is still some haggling to be done). Risk was sharply up at the announcement, but has since settled back and currently "waiting".

But, look at the CHF ! Me thinks SNB up to something - unwinding positions on EUR in case Grexit is off maybe?

Currency Strength Index on FXCM Apps Site

FXCM have accepted my latest Currency Index indicator for their FXCM Apps Site.

You can visit FXCM Apps site here.

More information on my blog here.

Tuesday, July 7, 2015

Timeline Indicator for MarketScope 2.0

I've just uploaded a simple, but useful little indicator / tool, called "Timeline". It is similar to various Trading Session indicators (e.g. as available on FXcodeBase). However, I always found that those indicators use up too much chart space, and add to the clutter.

The idea behind "Timeline" was to create a simple, discrete indicator that would show the major trading sessions.

Of course, the trading sessions (up to 4) are fully configurable, and can also use the proper timezone information - which means that correct conversion to local timezones, and daylight saving should be taken into account.

The indicator can be downloaded here.

The default session start / end times are set to 8:00 and 16:00 respectively. There is some debate as to the best session times to use. For example some systems use 3 sessions: Asia, Europe, North America. Whereas others use London, New York, Tokyo and Sydney. Furthermore, the stock market times are different to the forex market hours.

More information can be found here:

Currency Strength - GBP weakness today

More information on Currency Strength can be found here.

Currency Strength (7/7/2015) - Commodity currencies feeling the pinch from China economy

Weakness in China economy showing up in lower commodity prices, which is affecting AUD, NZD CAD. Greek concerns keeping USD strong.

More information on the Currency Strength Meter can be found here.

Wednesday, July 1, 2015

New Indicator : Currency Index

I've developed a new indicator. It uses similar technology to the Currency Strength Meter and Currency Strength Bars indicators.

The Currency Index indicator computes an “index” using an un-weighted geometric mean of several currency pairs. This is similar to the US Dollar Index (USDX) and FXCM’s USDOLLAR. However, it does this, not just for the USD, but for 7 other currencies too. That’s 8 major currencies in total: USD, EUR, GBP, CHF, JPY, AUD, CAD and NZD.

The “index” is computed for one currency at a time, which requires 7 currency pairs. For example, to compute the “USD index” it uses EUR/USD, GBP/USD, USD/CHF, USD/JPY, AUD/USD, USD/CAD and NZD/USD. In the Currency Index I have totally overhauled and optimized the data loading mechanism, so the minimum number of currency pairs is required. This makes it much faster to load, compared to the Currency Strength Meter.

The “index” is normalized so that it has a nominal value of 10000 on 1/1/2011; this is the same as FXCM’s USDOLLAR.

The “index” can be treated as a synthetic instrument (although only close prices are available, there is no high or low). You can perform the majority of standard technical analysis techniques with it, including drawing trend lines, marking support / resistance, etc. as well as using technical indicators such as moving averages, RSI, Bollinger Bands and many others.

The indicator can be purchased from the products page, and is also included in the "Currency Strength Bundle".

Currency Strength (1/7/2015)

Greek fails to repay IMF, so it's a default - but the world did not implode. Some Greek banks still liquid. Referendum on Sunday (5th July).