triangular arbitrage - page 2

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I have programmed a custom algorithm in mql to calculate the profit from ring arbitrage. This algorithm scans the 8 major currencies in Forex (usd, eur, gbp, aud, nzd, jpy, cad, chf) which produces 28 currency pairs.

CurrencyArbitrage_demo. mq4

https://www.mql5.com/en/code/20308

The code of the script can be easily converted to expert advisor / indicator to scan the market continuously for arbitrage opportunities. 

However,  to be profitable in triangular arbitrage strategy, two things must be overcome 

1. Transaction costs (spread and commission)
 
2. Execution delay (arbitrage opportunities last only for few milliseconds) . 

This strategy is not profitable for individual traders, unlike institutional traders who have the required resources. 

 
letstradefam:

i do believe your correct, and there are some oblivious brokers who offer zero spreads ( during the day it happens multiple times) i was planning to use that but i still find it kind of hard to find correlated pairs in a way that you would be able to use the arbitrage in a correct manner, the formula is kinda screwing my head a bit because it divides into 2, the EA must know when to buy and when to sell (reverse positions to maximize profits) 
so my current problem is how to generate the formula for the EA to be able to reverse the deals while hedging pairs to make the equity move as low as possible while holding multiple contracts 

There's a well known sum up :


But keep in mind that when EURUSD moves of x points, nor GBPUSD nor EURGBP will move of x points also : that's where it unsync.

It's correlated but not weighted the same way because of all the others pairs, I invite you to look for currency index to understand the thing deeper.

 

I never worked with custom symbols, but it seems coherent since it's centered on 1.

Here's the peaks represent the discrepancies to exploit.

After I don't know a lot about custom symbols, I don't know how much it is exploitable nor what are limitations nor if it's convenient used with as an EA.

 
Icham Aidibe:

I never worked with custom symbols, but it seems coherent since it's centered on 1.

Here's the peaks represent the discrepancies to exploit.

After I don't know a lot about custom symbols, I don't know how much it is exploitable nor what are limitations nor if it's convenient used with as an EA.

interesting we should discuss your findings in private, I think you and I would make a good team? 
 
letstradefam:
interesting we should discuss your findings in private, I think you and I would make a good team? 

Won't be necessary, I do filter unidentified users in my contact list & installed a terminal just to test the custom symbol : I'm actually off ;)

If you really want an arbitrageur, you're welcome to use what I shared on the forum, it's free - just a reflection draft, based on my own experience - after all, if I gave up with this strategy, this may be a success for you or anyone else, especially if it's possible to use these customs symbols to buy / sell - what I'm unsure about, someone (you?) should check. 

 
letstradefam:

I have deleted your new topic as there seems little point in starting a new topic which basically covers the same subject.

I have moved the following post from your deleted topic

 
letstradefam:

Hello

I've been getting into this thing a lot, but I'm wondering does it really work? is it proven that there is some type of arbitrage that will make profit? or its all theoretical? 

can anyone share their experiences ?

I think in theory it would work but there a various factors which influence the profitability and for a retail trade hard (or pointless) to get around

The arbitrage opportunities can be cancelled out by the spread and only available for seconds (to split) seconds

You pretty much need super fast computer/latency for near instant trades along with low spreads/commission etc


... Although I've never actually this my self, I'm just extrapolating information I've read on the subject

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