Quote:
Originally Posted by dpaterso
I TOO had an 'issue' with the CSI and the ???/ZAR pairs UNTIL I 'modified my thinking' a little bit.
What I believe you need to do with forex pairs is this:
You need to 'level the playing field' for the ATR FIRST and only THEN perform the rest of the calculation. After doing that you'll find that the ???/ZAR pairs are NOT ALWAYS 'top of the pops'.
In other words:
I did like this:
For any pair quoted with four decimals you multiply the ATR by 10 000 and for any pair quoted with two decimals you multiply the ATR by 100 and so on and so forth (this has NOTHING to do with a 'PIPFACTOR' or 'Quote Price Factor' by the way). Ignore all decimal places after doing this. The idea is to get the ATR's to 'jive' (Craig???) with each other. Once this has been done you then perform the rest of the CSI calculation as per 'the book' and you'll see the difference. The 'skewing' of the CSI calculation is because of the ATR and has nothing to do with the spread or anything else.
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Maybe I did not write it clearly enough in my post, but the end result was exactly as you described. I may have used the term "pip factor" incorrectly here, but anyway I used exactly the same multiplication factor as you mentioned. I just mentioned doing this multiplication last and not first, but it's the same arithmetics anyway.
But I had another look at my tables and started wondering why the ADX/ADXR values looked so odd, and here I had an issue of my own. The values were calculated correctly, but my parametrisation was not! There was mixed use smoothed and unsmoothed values as well as differing period lengths because I happened to use an input file which I had been using for backtesting and forgot about these parameters. Latest, corrected tables are attached.
Quote:
Originally Posted by dpaterso
As a matter of fact: it is BECAUSE of the spread and therefore the amount payable in commission that GBP/ZAR should NOT always be 'top of the pops'. Try it out and let me (us) know what you think.
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Here I must disagree with you. I think that it is because of the huge ATR that these pairs are risen on the top, rather than lowered as much down because of the big commission. The big divisor offset 150 causes that even rather big variations in the commission do not affect that much in the overall result. To prove this I prepared a small Excel worksheet that is attached.
Wilder's example commissions were in the area 45..85, and apparently that is much more optimal for his formula. But the values I got were in the area 2...40, weight on the lower end, and I am afraid that this distorts the results somehow from the desired one. And that's why I think that to get this working better for our purposes, the offset needs to be adjusted in an appropriate way. Unfortunately Wilder does not give any hints how he selected his offset.
Quote:
Originally Posted by dpaterso
The only reason I don't use it on a daily basis is because it's a REAL pain to have to update the margin requirement every day (remember that the margin requirement in USD changes on a daily, actually on a 'per second' basis, because of currency rate fluctuations at Delta.
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This is a great example where I do believe in the power of automation. Once implemented it is a matter of seconds to get the values. There is no magic in calculating Delta's margin requirements for each pair, it can be done with simple arithmetics once you have the daily prices at hand. And I don't think that you must stick to converting all values to USD, I'd rather do that in the base currency of your account, which happens to be EUR in my case.
J.