This tip is based on “Developing A Multilevel Strategy” by Vladimir Vladimirovich Voznjuk in this issue.
In his article, the author proposes an automated approach to trading currency pairs based principally around the oscillation of a currency pair with its own futures product or other exchange rates. The version of the system we are giving is for the Swiss franc/dollar spot rate 6S future (USD/CHF), entering reversal trades at oscillator extremes. The zero crossing version can be replicated by setting the entry parameters to zero.
The Updata code for this article is in the Updata Library and may be downloaded by clicking the Custom menu and System Library. Those who cannot access the library due to a firewall may paste the code shown here into the Updata custom editor and save it.
A sample chart is shown in Figure 1.
FIGURE 1: UPDATA. This chart shows the Swiss franc/US dollar (CHF/USD) 30-minute exchange rate with the spot-future oscillator in the lower pane.
'Developing a MultiLevel Strategy PARAMETER "CHFUSD Ticker" ~CHFUSD=Select PARAMETER "6S Future" ~6SFUTURE=Select PARAMETER "Upper Extrema" @UpperExtrema=0.0011 PARAMETER "Lower Extrema" @LowerExtrema=-0.00095 NAME "MultiCHF" "" DISPLAYSTYLE 3LINES INDICATORTYPE CHART INDICATORTYPE2 TOOL PLOTSTYLE2 LINE RGB(0,0,200) PLOTSTYLE3 LINE RGB(0,0,200) @MultiCHF=0 FOR #CURDATE=0 TO #LASTDATE 'MultiCHF Calculation @MultiCHF=(CLOSE(~CHFUSD,0)-OPEN(~CHFUSD,0))-(CLOSE(~6SFUTURE,0)-OPEN(~6SFUTURE,0))/1000 'Entry & Exits If HasX(@MultiCHF,@UpperExtrema,UP) Sell Close Short Close ElseIf HasX(@MultiCHF,@LowerExtrema,DOWN) Cover Close Buy Close EndIf 'Plots @PLOT=@MultiCHF @PLOT2=@UpperExtrema @PLOT3=@LowerExtrema NEXT