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July 2017: Trading the Nikkei
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#1 Posted : Friday, July 28, 2017 10:50:25 PM(UTC)
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Markos Katsanos' article, “Trading the Nikkei”, presented his system for correlating currency against market strength. The formulas for implementing this system in MetaStock are listed below. Due to the complexity of the formulas, two helper formulas must be created first before the trade signal formulas can be written.

The entry and exit signal formula have values set for the stop percentage and length of the trades. If you wish to use different values, you must change those number in both the entry and the exit signal or the signals will not correctly align.

Indicators:

Code:
- ?DXJ System CR2 helper
s1:= Security("ONLINE:FXY", C);
D1:= 50;
RS1:= (C/Ref(C, -D1) -1)*100;
RS2:= (s1/Ref(s1, -D1) -1)*100;
Q1:= Sum((RS1*RS2), D1)- ((Sum(RS1,D1)*Sum(RS2,D1))/D1);
Q2:= Sum((RS2*RS2), D1)- ((Sum(RS2,D1)*Sum(RS2,D1))/D1);
Q3:= Sum((RS1*RS1), D1)- ((Sum(RS1,D1)*Sum(RS1,D1))/D1);
Q2Q3:= If(Q2 * Q3 > 0, Sqrt(If(Q2=0, 1, Abs(Q2))*If(Q3=0, 1, Abs(Q3))), -1);
R:= If(Q2Q3 = -1, 0, Q1/Q2Q3);
If(R<-1, -1, If(R > 1, 1, R))

Code:
- ?DXJ System CR3 helper
s1:= Security("ONLINE:SPY", C);
D1:= 50;
RS1:= (C/Ref(C, -D1) -1)*100;
RS2:= (s1/Ref(s1, -D1) -1)*100;
Q1:= Sum((RS1*RS2), D1)- ((Sum(RS1,D1)*Sum(RS2,D1))/D1);
Q2:= Sum((RS2*RS2), D1)- ((Sum(RS2,D1)*Sum(RS2,D1))/D1);
Q3:= Sum((RS1*RS1), D1)- ((Sum(RS1,D1)*Sum(RS1,D1))/D1);
Q2Q3:= If(Q2 * Q3 > 0, Sqrt(If(Q2=0, 1, Abs(Q2))*If(Q3=0, 1, Abs(Q3))), -1);
R:= If(Q2Q3 = -1, 0, Q1/Q2Q3);
If(R<-1, -1, If(R > 1, 1, R))

Trading Signals:

Enter Long:

Code:
s1:= Security("ONLINE:FXY", C);
stp:= 1.5; {Stop Percentage}
exit:= 11; {Maximum bars in trade}
stoc:= (Mov(C-LLV(L,25),3,S)*100)/Mov(HHV(H,25)-LLV(L,25),3,S);
LR:= 100*LinRegSlope(C, 25);
RS1:= (C/Ref(C, -3) -1)*100;
RS2:= (s1/Ref(s1, -3) -1)*100;
CR2:= Fml("- ?DXJ System CR2 helper");
CR3:= Fml("- ?DXJ System CR3 helper");
b2:= CR2*Stdev(RS1, 50)/Stdev(RS2,50) + 0.001;
a2:= Mov(RS2, 50, S)- b2*Mov(RS2,50,S);
pred2:= b2*RS2+a2;
div2:= pred2-RS1;
IM2:= (Mov(div2-LLV(div2,50),2,S)*100)/
(Mov(HHV(div2,50)-LLV(div2,50),2,S)+.01);
lstop:= 1- stp/100;
el:= Ref(IM2,-3)>75 AND IM2<Ref(IM2,-3) AND IM2>25 AND
CR3<0.8 AND (LR>= Ref(LR,-1) OR C>Mov(C,25,S));
ltrade:= If(PREV<=0, If(el, C, 0),
If(BarsSince(PREV<=0)>3 AND C < PREV*lstop, -1,
If(BarsSince(PREV<=0)>7 AND C < HighestSince(1, PREV<=0, C*lstop), -2,
If(BarsSince(PREV<=0)>=exit, -3, PREV))));
ltrade>0 AND Ref(ltrade<=0, -1)

Exit Long:

Code:
s1:= Security("ONLINE:FXY", C);
stp:= 1.5; {Stop Percentage}
exit:= 11; {Maximum bars in trade}
stoc:= (Mov(C-LLV(L,25),3,S)*100)/Mov(HHV(H,25)-LLV(L,25),3,S);
LR:= 100*LinRegSlope(C, 25);
RS1:= (C/Ref(C, -3) -1)*100;
RS2:= (s1/Ref(s1, -3) -1)*100;
CR2:= Fml("- ?DXJ System CR2 helper");
CR3:= Fml("- ?DXJ System CR3 helper");
b2:= CR2*Stdev(RS1, 50)/Stdev(RS2,50) + 0.001;
a2:= Mov(RS2, 50, S)- b2*Mov(RS2,50,S);
pred2:= b2*RS2+a2;
div2:= pred2-RS1;
IM2:= (Mov(div2-LLV(div2,50),2,S)*100)/
(Mov(HHV(div2,50)-LLV(div2,50),2,S)+.01);
lstop:= 1- stp/100;
el:= Ref(IM2,-3)>75 AND IM2<Ref(IM2,-3) AND IM2>25 AND
CR3<0.8 AND (LR>= Ref(LR,-1) OR C>Mov(C,25,S));
ltrade:= If(PREV<=0, If(el, C, 0),
If(BarsSince(PREV<=0)>3 AND C < PREV*lstop, -1,
If(BarsSince(PREV<=0)>7 AND C < HighestSince(1, PREV<=0, C*lstop), -2,
If(BarsSince(PREV<=0)>=exit, -3, PREV))));
ltrade<0

Enter Short:

Code:
s1:= Security("ONLINE:FXY", C);
stp:= 1.5; {Stop Percentage}
exit:= 11; {Maximum bars in trade}
stoc:= (Mov(C-LLV(L,25),3,S)*100)/Mov(HHV(H,25)-LLV(L,25),3,S);
LR:= 100*LinRegSlope(C, 25);
RS1:= (C/Ref(C, -3) -1)*100;
RS2:= (s1/Ref(s1, -3) -1)*100;
CR2:= Fml("- ?DXJ System CR2 helper");
CR3:= Fml("- ?DXJ System CR3 helper");
b2:= CR2*Stdev(RS1, 50)/Stdev(RS2,50) + 0.001;
a2:= Mov(RS2, 50, S)- b2*Mov(RS2,50,S);
pred2:= b2*RS2+a2;
div2:= pred2-RS1;
IM2:= (Mov(div2-LLV(div2,50),2,S)*100)/
(Mov(HHV(div2,50)-LLV(div2,50),2,S)+.01);
sstop:= 1+ stp/100;
es:= Ref(IM2,-3)<25 AND IM2>Ref(IM2,-3) AND IM2<75 AND
CR3<0.8 AND (LR<=Ref(LR,-1) OR C<Mov(C,25,S));
strade:= If(PREV<=0, If(es, C, 0),
If(BarsSince(PREV<=0)>3 AND C > PREV*sstop, -1,
If(BarsSince(PREV<=0)>7 AND C > LowestSince(1, PREV<=0, C*sstop), -2,
If(BarsSince(PREV<=0)>=exit, -3, PREV))));
strade>0 AND Ref(strade<=0, -1)

Exit Short:

Code:
s1:= Security("ONLINE:FXY", C);
stp:= 1.5; {Stop Percentage}
exit:= 11; {Maximum bars in trade}
stoc:= (Mov(C-LLV(L,25),3,S)*100)/Mov(HHV(H,25)-LLV(L,25),3,S);
LR:= 100*LinRegSlope(C, 25);
RS1:= (C/Ref(C, -3) -1)*100;
RS2:= (s1/Ref(s1, -3) -1)*100;
CR2:= Fml("- ?DXJ System CR2 helper");
CR3:= Fml("- ?DXJ System CR3 helper");
b2:= CR2*Stdev(RS1, 50)/Stdev(RS2,50) + 0.001;
a2:= Mov(RS2, 50, S)- b2*Mov(RS2,50,S);
pred2:= b2*RS2+a2;
div2:= pred2-RS1;
IM2:= (Mov(div2-LLV(div2,50),2,S)*100)/
(Mov(HHV(div2,50)-LLV(div2,50),2,S)+.01);
sstop:= 1+ stp/100;
es:= Ref(IM2,-3)<25 AND IM2>Ref(IM2,-3) AND IM2<75 AND
CR3<0.8 AND (LR<=Ref(LR,-1) OR C<Mov(C,25,S));
strade:= If(PREV<=0, If(es, C, 0),
If(BarsSince(PREV<=0)>3 AND C > PREV*sstop, -1,
If(BarsSince(PREV<=0)>7 AND C > LowestSince(1, PREV<=0, C*sstop), -2,
If(BarsSince(PREV<=0)>=exit, -3, PREV))));
strade<0
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