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Estimating FORTS Currency Strength from Synthetic Futures

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Summary

The document describes a way to estimate the relative strengths of RTS, the US dollar, and the Russian ruble using synthetic instruments built from FORTS futures. It names futures contracts linked to RTS in rubles, RTS in dollars, the dollar-ruble exchange rate, and the euro-ruble exchange rate as inputs to the calculation. The resulting synthetic series are presented as market-watch symbols and can be viewed as tick charts alongside a comparison of the three strengths.

The material explains the approach at a conceptual level and points to an indicator implementation, but does not provide the calculation formula, trading rules, or performance evidence. It is therefore an illustration of applying currency-strength analysis to a futures market, rather than a complete strategy. The document also gives no guidance on contract rolls, synchronization, liquidity, or how to interpret conflicting strength readings; these details would matter when reproducing or trading the indicator.

Key ideas

  • Synthetic instruments can be used to estimate the relative strength of currencies and related assets.
  • The example derives RTS, USD, and RUB strength series from several FORTS futures contracts.
  • The synthetic series are displayed as separate symbols and tick charts.
  • The document provides no performance results or detailed rules for turning strength readings into trades.

Tags

FuturesForexTechnical indicators

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.