Currency Index Calculator

A single currency pair only ever tells you how that currency moved against ONE other currency. A genuine currency index - the kind a real published dollar index publishes - answers a different question: how has this currency moved against a whole BASKET of others, weighted by how much each one matters. That requires more than averaging raw exchange rates, because pairs are quoted in different units and a plain arithmetic mean would let whichever pair happens to have the largest numeric price dominate the result for no economically meaningful reason. This library uses a weighted GEOMETRIC mean of each basket member's ratio-to-anchor instead - the same style of construction real currency indexes use - anchored to 100 at a chosen reference bar, expressed for any base currency the caller configures, against any basket of counter currencies with any relative weights. It resolves each basket pair in whichever direction the broker actually quotes it (BASECOUNTER or COUNTERBASE), so the caller never has to guess a broker's naming convention, and it recovers a per-member anchor lazily - a basket member whose history was still loading when the index was first anchored still gets a fair, correctly-based contribution from the point it actually becomes readable, instead of comparing against an anchor of zero. The gap handling is the part a naive version gets wrong: if a basket pair is temporarily unavailable on some bar (broker outage, symbol not yet resolved, a history gap), this library EXCLUDES that member's weight for that one bar and renormalises the remaining weights so they still sum to the full basket weight - rather than either freezing the whole index (too conservative) or silently treating the missing pair as "no change" while still counting its weight in the denominator (which quietly understates every other member's true contribution). The demo proves this directly with a basket member pointed at a currency code that can never resolve. Notes and limitations - The demo's basket weights are illustrative, loosely modelled on how a real dollar index concentrates weight on EUR - they are not sourced from any official published weighting and should not be treated as authoritative for any real analysis. - The index is only meaningful relative to its own anchor bar - it has no fixed absolute scale like "100 means the currency is at parity with some historical baseline". Call ResetAnchor() deliberately when you want to rebase it to a new reference point. - Gap handling renormalises weight across whatever basket members are readable on THAT bar. A basket where most of the weight is concentrated in one or two members will still show large index swings if exactly those members go missing, even though the remaining weight is technically renormalised correctly - gap handling smooths the mechanics, it does not manufacture missing information. - outAvailableWeightFraction reports how much of the FULL basket weight was actually used for a given reading - a caller doing anything quantitative with the index should check this rather than trusting every reading equally, since a reading built from 20% of the basket weight is a materially weaker signal than one built from 100%.

Script · MT5 · v1.0 · Free

Tags: MT5 Script · MQL5 Source Code

MQL4 & MQL5 scripts · PolyMaria