Currency strength functions

ccySet(var Strength)

Adds the given Strength value to the currency and subtracts it from the counter currency of the current Forex pair. The Strength value can be any indicator or other price function that indicates a "strength" or "weakness" of a currrency, for instance ROC or RSI. 


Resets the stored strengths of all currencies. Usually called at the begin of every bar before the strengths are summed up by ccySet.

ccyStrength(string Currency): var

Returns the average strength of the given Currency (3 letters, f.i. "USD"). The average strength is the strength sum of all Forex pairs beginning with Currency, minus the strength sum of all Forex pairs ending with Currency, divided by the number of Forex pairs. If a currency pair is given (7 letters, f.i. "EUR/USD"), the function returns the difference of both average strengths.

ccyMax(): string

Returns the currency pair with the strongest currency and the weakest counter currency.

ccyMin(): string

Returns the currency pair with the weakest currency and the strongest counter currency.


Strength Strength value, for instance the price rate of change. Must be in the same range for all currency pairs.
Currency Either a single currency ("USD") or a currency pair ("EUR/USD").



// Currency Strength Strategy /////////////////////
// Exploits price shocks f.i. by CHF cap and Brexit

function run()
  BarPeriod = 60;
  ccyReset();	// reset strengths at begin of any bar
  string Name;
  while(Name = (loop(Assets)))
    if(assetType(Name) != FOREX) 
      continue; // Currency pairs only
    vars Prices = series(priceClose());
    ccySet(ROC(Prices,1)); // store price change as strength
// get currency pairs with highest and lowest strength difference
  string Best = ccyMax(), Worst = ccyMin();
  var Threshold = 1.0;

  static char OldBest[8], OldWorst[8];	// static for keeping contents between runs
  if(*OldBest && !strstr(Best,OldBest)) { // new strongest asset?
    if(ccyStrength(Best) > Threshold) {
  if(*OldWorst && !strstr(Worst,OldWorst)) { // new weakest asset?
    if(ccyStrength(Worst) < -Threshold) {

// store previous strongest and weakest asset names  

See also:

asset, ROC

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