Statistical arbitrage

MQL4 Experten

Spezifikation

Real-Time Correlation Integration
Correlation analysis is the initial step in selecting optimium candidates for arbitrage trading. Ideally, suitable Instruments to trade should be highly positively correlated on higher timeframes. This means they should both be moving in step - so if one increases in value the other follows suit and vice versa.

Historically the robot would have to monitor the correlation of the selected pairs to ensure they contnued to be highly correlated on the higher timeframes.

This methodology ensures the arbitrage system stays out of highly divergent situations where the long term correlation has broken down.

As soon as the long term correlation is restored the system will then re-activate automatically 
example


Arb Synth Pair Arb Synth Pair
EURUSD / AUDUSD EURAUD EURJPY / NZDJPY EURNZD
EURJPY / NZDJPY EURNZD EURJPY / USDCHF
EURJPY / GBPJPY EURGBP EURJPY / USDJPY EURUSD
EURJPY / USDCAD NZDJPY / GBPJPY GBPNZD
NZDJPY / USDJPY NZDUSD NZDJPY / USDCAD
USDCHF / USDJPY CHFJPY USDCHF / USDCAD CADCHF
GBPJPY / USDJPY GBPUSD USDJPY / USDCAD CADJPY
AUDUSD / NZDUSD AUDNZD

Where the two selected instruments for arb trading have a common component on each side eg 'USD' or 'JPY' the position created (by opening a long position and short position eg Long EURUSD / Short AUDUSD) effectively creates what we call 'a synthetic pair'.

it must have an input of risk and it must scan all the market 

Also of particular note on the daily spread for EURJPY and GBPJPY is the relatively infrequent penetration of the trigger zones.

Cleary the number of arb entry opportunities on the higher timeframes using 2 standard deviations as our trigger zone are few and far between which may leave all but the most patient traders somewhat frustrated by the lack of trading opportunuites.

If we could trade 'trends within trends' and but also stay on the right side of the major trends this may provide higher frequency trading opportunities.
it must trade inline with higher timeframes filter 

it must auto calculate profit (where to quit)
it must also scan all the mt4 pairs looking for correlation oportuninites with the explained filters

also it must have a max arbitrage oportunities input, where it enters x ammount of positions and not more at a time

it must also calculate the best entry acording to standard deviation in line with higher timeframes


it must calculate the correct hedge lots  so that both positions are exact in risk terms, and in line with volatility



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