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3-SMA-Spread-an indicator of the market Spread of 3 (three) different instruments through the construction of a visual IChannel Channel (see the formula below) with the Width of this Channel changing proportionally to the contribution of each instrument (“Statistical Arbitrage” based on SMA).

The fundamental principle is that Price Lines, following the prices of “their” symbols, constantly strive to return to the total “synthetic” average after each discrepancy. In other words , a system of three “related” instruments / / pairs constantly strives to return to the equilibrium point (the so-called “mean-reversal“).

  • It works on any TF tools (graphs of the tools used must be open)
  • Synchronization is involved. After the current bar closes , it is not redrawn
  • SetIndexBuffer” for all variables (can be used in EA)
  • Auto-detection function for 4-and 5-digit quotes 

The following formulas were used to construct the Channel:  

  • Symbol-1 Price Line: SMA (1)_Fast / SMA (1)_Slow (a tool with the Indicator enabled on the chart)
  • Symbol-2 Price Line: SMA (2)_Fast / SMA (2)_Slow (plusthe “reverse=true” modefor instruments with inverse correlation)
  • Symbol-3 Price Line: SMA (3)_Fast / SMA (3)_Slow (plusthe “reverse=true” modefor instruments with inverse correlation)

[spoiler title=”Read More…”]

  • AVERAGE M = “synthetic” average (S1 S2 S3)/3 (yellow dotted line)
  • iChannel  = (S1-M) (S2-M) (S3-M) (red and green buns)
  • XAUUSD ~1100
  • AUDUSD ~0.7
  • USDCAD ~1.33  
  • SignalBUYING Symbol-1: S1M  S3>M. Note: Channel Width (red and green dots) it changes, becoming wider or narrower
  • SignalSELLING Symbol-1: S1>M S2
  • Inp_Fast_MA – Fast Moving period
  • Inp_Slow_MA – Slow Moving period
  • Inp_MA_Method-the SMA parameter
  • Inp_MA_PriceType-the SMA parameter
  • Inp_Symbol_1 – Symbol-1 (GBPJPY by default)
  • Inp_Symbol_2 – Symbol-2 (EURJPY by default)
  • Inp_S2_revers-True means that Symbol-2 has an inverse correlation with respect to Symbol-1
  • Inp_Symbol_3 – Symbol-3 (by default, CHFJPY)
  • Inp_S3_revers-True means that Symbol-3 has an inverse correlation with respect to Symbol-1


Typical EXAMPLES of market instruments with a high degree of Triple correlation:

  •  GOLD vs. Crude Oil / WTI Brent/BRN
  •  GOLD vs. The gold-forming currencies are AUDUSD, USDCAD and NZDUSD.
  •  SHARES vs. Indexes (S
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