[kaalilaatikko]

I moved to looking at CSI before jumping to SIS. I implemented the following based on the downloaded data on top of what I already have in my program (this applies for Delta only; I used 10000 as lot size):

- Margin requirement = lot size / leverage; this is for the quote currency and needs to be converted to the standard currency used.

- Value of 1 pip move = lot size / pip factor; again for the quote currency (pip factor = 100 for jpy and 10000 for the others) and needs to be converted.

- Value of commission = value of 1 pip move * spread.

The result is finally multiplied with the pip factor, which gets around the related differences in ATR. The multiplication with 100 in the formula is still there on top of that.

I retrieved the values for all available pairs and applied Wilder's formula on p. 111 as such (except that I used euro as the reference currency for all values). The results are stored in the attached file csi_rank.txt. What strikes on my face is the dominance of ZAR pairs in the beginning of the list. I think that the constant 150 is causing this. Wilder does not explain at all what this constant means or how he has defined it. I suppose that it somehow balances the values he has for the commodities. But apparently it does not work properly for forex.

So I experimented a bit with that constant and tried to put it in some proportion to the commission. Wilder's constant was roughly 3 times the commissions he was having. The commission grows with the lot size, and looking at the values that the calculation yielded for the pairs, I tried to use the value (lot size)/2000. The resulting rank is stored in the second attachment.

What do you think, would either of these ranks be usable for selecting good pairs?

J.

- Edit: I removed the attachments after finding out an "issue". See my later post where they are updated.