Wednesday, April 11, 2018

Is 3 SMA Spread

Is 3 SMA Spread


3-SMA-Spread - display market spread three (3) different instruments through building visual Channel iChannel (See. The formula below) with the width of the channel, varying in proportion to the contribution of each tool ( "Statistical Arbitration" on baze SMA).

The underlying principle - price line, following the prices of "their" characters after each discrepancies are constantly striving to return to the total of "synthetic" average. In other words - a system of three "related" tools // couples constantly striving to return to the equilibrium point (the so-called "mean-reversion").



  • It works on any TF instruments (must be open graphics tools used)

  • Synchronization is enabled. After the close of the current bar - is not redrawn

  • "SetIndexBuffer "for all variables (it can be used in the EA)

  • Autoconfiguration 4- and 5-digit quotes 


such formulas were used to construct Channel:  



  • price Line Symbol-1: SMA (1) _Fast / SMA (1) _Slow (tool on the chart which enabled LED)

  • price Line Symbol-2: SMA (2) _Fast / SMA (2) _Slow (plus mode "reversal = true"Tool to reverse correlation)

  • price Line Symbol-3: SMA (3) _Fast / SMA (3) _Slow (plus mode "reversal = true"Tool to reverse correlation)



  • MEDIUM M = "synthetic" medium (S1 + S2 + S3) / 3 (yellow dotted line)

  • iChannel = (S1-M) + (S2-M) + (S3-M) (red and green bulet)



which makes it possible to combine disparate tools on the same graph (see Figure 1..), for example:

  • XAUUSD ~ 1100


  • AUDUSD ~ 0.7

  • USDCAD ~ 1.33  




Conditions for the signal

  1. The width of the channel iChannel started to decline (after the first green bar red series)
  2. The width of the channel iChannel > Level
  3. price Line S1 It is located on one side of MEDIUM M, and the price line S2 and S3 - on the other side of the MEDIUM M -- in the following way:
    • Signal PURCHASE Symbol-1: S1<M S2>M S3>M. Note: Channel Width (red and green dots) is changing, becoming more broad or narrow
    • Signal Symbol-1 Sale: S1>M S2<M S3<M. Note: Channel Width (red and green dots) is changing, becoming more broad or narrow




Options



  • Inp_Fast_MA - Periods of rapid removals

  • Inp_Slow_MA - period Medlennogo MA

  • Inp_MA_Method - SMA option

  • Inp_MA_PriceType - SMA option



  • Inp_Symbol_1 - Symbol-1 (default GBPJPY)

  • Inp_Symbol_2 - Symbol-2 (default EURJPY)

  • Inp_S2_revers - True means that Symbol-2 has a reverse correlation with respect to the Symbol-1

  • Inp_Symbol_3  - Symbol-3 (default CHFJPY)

  • Inp_S3_revers - True means that Symbol-3 has a reverse correlation with respect to the Symbol-1



Helpful information

EXAMPLES Typical market instruments with a high degree of correlation Triple:



  •  GOLD vs. oil Crude / WTI + Brent / BRN

  •  GOLD vs. zolotoobrazuyuschie currency AUDUSD, USDCAD and NZDUSD.

  •  SHARES vs. Indices of (S&P500, NASDAQ, DJIA, etc.)

  •  Soybean Meal March 2016 (ZMH16) vs. Soybean Oil March 2016 (ZLH16) vs. Soybeans March 2016 (ZSH16), etc.


Full list of 120 classic triple combination of currency pairs - see link in the "Discussion" section..

Note: for classical combinations (which involves only 3 currencies) - MEDIUM M It will always be a straight line.


Is 3 SMA Spread

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