Most correlated pairs for EURUSD using Oanda's correlation data. Look forward to pro/con comments.
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//@version=2 study(title="EURUSD pairs combined slopes", shorttitle="EURUSD pairs combined slopes") // Add the inputs l = input(title="Length", type=integer, defval=8, minval=5) smaLength = input(title="EMA length", type=integer, defval=8, minval=5) p0 = input(title="Other data series", type=symbol,defval="FX_IDC:chfhkd") p1 = input(title="Other data series", type=symbol,defval="FX_IDC:eurhkd") p2 = input(title="Other data series", type=symbol,defval="FX_IDC:gbpaud") p3 = input(title="Other data series", type=symbol,defval="FX_IDC:usdchf") p4 = input(title="Other data series", type=symbol,defval="FX_IDC:usdnok") p5 = input(title="Other data series", type=symbol,defval="FX_IDC:usdsek") p6 = input(title="Other data series", type=symbol,defval="FX_IDC:cadhkd") p7 = input(title="Other data series", type=symbol,defval="FX_IDC:gbpnzd") p8 = input(title="Other data series", type=symbol,defval="FX_IDC:usdcad") p9 = input(title="Other data series", type=symbol,defval="FX_IDC:eurusd") //p10 = input(title="Other data series", type=symbol,defval="FX_IDC:nzdchf") //p11 = input(title="Other data series", type=symbol,defval="FX_IDC:nzdcad") // Get the additional data series s0= security(p0, period, close) s1= security(p1, period, close) s2= security(p2, period, close) s3= security(p3, period, close) s4= security(p4, period, close) s5= security(p5, period, close) s6= security(p6, period, close) s7= security(p7, period, close) s8= security(p8, period, close) s9= security(p9, period, close) //s10= security(p10, period, close) //s11= security(p11, period, close) // Calculate correlation and slopes corr0 = correlation(close, s0, l) corr1 = correlation(close, s1, l) corr2 = correlation(close, s2, l) corr3 = correlation(close, s3, l) corr4 = correlation(close, s4, l) corr5 = correlation(close, s5, l) corr6 = correlation(close, s6, l) corr7 = correlation(close, s7, l) corr8 = correlation(close, s8, l) corr9 = correlation(close, s9, l) //corr10 = correlation(close, s10, l) //corr11 = correlation(close, s11, l) sma0 = sma(s0, l) sma1 = sma(s1, l) sma2 = sma(s2, l) sma3 = sma(s3, l) sma4 = sma(s4, l) sma5 = sma(s5, l) sma6 = sma(s6, l) sma7 = sma(s7, l) sma8 = sma(s8, l) sma9 = sma(s9, l) //sma10 = sma(s10, l) //sma11 = sma(s11, l) m0 = (sma0-sma0[1])*corr0 m1 = (sma1-sma1[1])*corr1 m2 = (sma2-sma2[1])*corr2 m3 = (sma3-sma3[1])*corr3 m4 = (sma4-sma4[1])*corr4 m5 = (sma5-sma5[1])*corr5 m6 = (sma6-sma6[1])*corr6 m7 = (sma7-sma7[1])*corr7 m8 = (sma8-sma8[1])*corr8 m9 = (sma9-sma9[1])*corr9 //m10 = (sma10-sma10[1])*corr10 //m11 = (sma11-sma11[1])*corr11 compm = m0+m1+m2+m3+m4+m5+m6+m7+m8+m9 compmave = sma(compm, smaLength) // Plot values plot(series=compm,title="Combined Slope", color=green) plot(series=compmave, color=purple, linewidth=3, title="Average") hline(0, color=red)