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So I don’t say that is mathematically or theoretically wrong but visually it gives another impression of what’s going on in reality.
Thanks a lot for testing and throwing your thoughts in the ring – I appreciate that!
‘Reality’ is the keyword here. Absolute pips haven’t got anything to do with ‘reality’, IMO. Pure pips counting is one of the worst things to do when analyzing moves. Just look at my 1st pic (the spreadsheet): 48 pips in both cases, yet 0.42% total change in one case, 0.70% in the other one. So the average rate of change of that move has to be considerably larger for NZD, as compared to EUR. Any error in that calculation? Did I hit your example correctly?
That’s what I meant by ‘works as designed’: at the moment, it’s PURE ROC, nothing more.
I don’t say that this is the very best way to calculate currency strength. You threw ATR in the ring. Implementing this would probably lead to an efficiency based algo, maybe prone to some more lag. I tried similar by implementing PFE as an alternative (see 1st post of this thread and the indicator there). Feel free to check this out.
I’m still looking for enhancements of this algo, so looking forward to further discussion and ideas!
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A good trader is a realist who wants to grab a chunk from the body of a trend, leaving top- and bottom-fishing to people on an ego trip. (Dr. Alexander Elder)