OPEN-SOURCE SCRIPT
FX Dispersion
This script calculates the dispersion of a basket of 5 FX pairs and then calculates the z-score the z-score is then made into a composite using the 30 and 60 ema of the z-score to smooth any noise. It must be used on one of the FX pairs in the basket [eur, gbp, aus, yen, gold] and on the 1-minute timeframe as it has been hardcoded for 1 min use below.
Interpretation - Dispersion is a component of volatility - the dispersion of the underlying basket increases above 0.5 and decreases below 0.5.
Although increased dispersion is beneficial to momentum and trend-following strategies on the monthly and weekly timeframes. Observe this on the 1-minute timeframe and how dispersion crossing above/ below 0.5 it can signal reversion or momentum for the next period.
Interpretation - Dispersion is a component of volatility - the dispersion of the underlying basket increases above 0.5 and decreases below 0.5.
Although increased dispersion is beneficial to momentum and trend-following strategies on the monthly and weekly timeframes. Observe this on the 1-minute timeframe and how dispersion crossing above/ below 0.5 it can signal reversion or momentum for the next period.
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免責聲明
這些資訊和出版物並非旨在提供，也不構成TradingView提供或認可的任何形式的財務、投資、交易或其他類型的建議或推薦。請閱讀使用條款以了解更多資訊。