Kagi Chart Indicator
In addition to a range of data analysis services, Exegetic Analytics also implements algorithms for automated FOREX trading. I am currently developing an expert advisor (EA) for a client. The strategy was developed on the ProRealTime charting software using Kagi Charts. My client wants to automate the strategy and implement it in MQL on the MetaTrader platform. One snag: Kagi Charts are independent of time. Or, more accurately, they do not have a uniform time axis. Charts in MetaTrader are of the classical variety with a nice linear time axis. So my first problem was to implement something analogous to the Kagi Chart under MetaTrader.
The result is a new Kagi Chart indicator, pictured below. The yin and yang components of the chart are indicated by green and orange lines. There is a single adjustable parameter for the indicator which is the percentage change which results in a transition from yin to yang (or vice versa).
A quick proof of concept implementation of the trading algorithm using the signals generated by the new Kagi Chart indicator looks very promising.