Statistical arbitration - page 2
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What a find!
What a find! Thanks for the sympathy! Turns out it's a simple matter, you should have pressed the (horrible) button Transactions! Not the universal ORDER AND DEAL button!
Luckily I got the information! I have not made James Bond out of me, I didn't manage without a developer and a night at the forum, it didn't work on INTUITION, maybe in rainy and cold useless days to start alternately pressing all the buttons, I've got a book on how to properly discover MT5.
Maybe I'm cranky!!!
.... and this man was giving me advice on what to do. It's a miracle, isn't it? :)
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Judging by the number of sensible posts in this thread, tending towards 0, I'm having second thoughts. Does no one really practice this method? Or practices it, but does not want to give its principles, such as "such a cow needs itself"? Although, maybe this is not the forum where such things should be discussed. I'm lost in my head, anyway. :)
...
Judging by the number of sensible posts in this thread, tending towards 0, I'm having second thoughts. Does no one really practice this method? Or practices it, but does not want to give its principles, such as "such a cow needs a self"? Although, perhaps this is not the forum where such things should be discussed. I'm lost in my head, anyway. :)
It's just that arbitrageurs are more traders,
programmers are all looking for grails,
Look for them on the fourth forum, they are there :)
It's just that arbitrageurs are more traders,
programmers are all looking for grails,
You should look on the fourth forum, they are there :)
So you think programmers != big traders. :)
Ok, I'll start a thread on the 4th, but my code is mostly on MKL5. Won't it get clobbered there?
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p.s. maybe someone could use the English-language article sitehttp://papers.ssrn.com/sol3/DisplayAbstractSearch.cfm
Type in statistical arbitrage or pairs trading.... There is a lot to read. If you speak English. I found this site just today. :)
So you think programmers != big traders. :)
Ok, I'll start a thread on the 4th, but my code is mostly on MKL5. Won't it get clobbered there?
--
p.s. maybe someone could use the English-language article sitehttp://papers.ssrn.com/sol3/DisplayAbstractSearch.cfm
Type in statistical arbitrage or pairs trading.... There is a lot to read. If you speak English. I found this site just today. :)
There's already a topic on the fourth, and the ideas don't depend on the code.
http://forum.mql4.com/ru/18017
There is already a theme on the fourth, and ideas are not code-dependent.
http://forum.mql4.com/ru/18017
There is already a topic on the fourth, and ideas are not code-dependent.
http://forum.mql4.com/ru/18017
The definition in the first post is fundamentally wrong:
What is arbitrage?
Arbitrage, by the way, is also called speculation- making profit from price differences in a particular commodity (e.g. shares or currency), when the speculator simultaneously closes opposite buy and sell orders, benefiting only from the difference between the buy and sell prices.
Currency Arbitrage - an operation that combines the purchase or sale of a currency with a corresponding counter-trade to profit from differences in exchange rates in different currency markets(spatial) or over a period of time(temporal currency arbitrage). Simple currency arbitrage is with two currencies andcomplex currency arbitrage is with three or more currencies.
Iliya is talking about speculation within a single financial instrument, while arbitrage is counter-buying within two or more financial instruments.
It's just that arbitrageurs are more traders,
programmers are all looking for grails,
You should look for them on the fourth forum, they are there :)
Urain --- Thanks for the vivid insight!
Heroix ---- I'm here purely by accident, because of the curvature of the platform, that's why I wrote off on the way to the topic, in general, in essence.
1. The instrument rollover here at 00 o'clock brings down all your statistical readings, in fact it just confuses the deposit results and it becomes practically impossible to follow without a pencil and wooden accounts. If you hedge several instruments, you just lose your returns, and as one banker said, I KNOW THAT TRADERS HAVE MONEY THROUGH FOREX. So you very well have to trust the place where you are going to make multicurrency.
For example, look at Brent with EURODollaro, yesterday it was 1-2 per cent lower than the pair in my chart platform and usually 1-2 per cent higher during the normal correlation. A rough guide: you take the Brent at the bottom and the EURODOLLAR at the top and you meet them. Of course, you can calculate the euro-dollar ratio with 4M scripts and so on. For currency pairs, the professor says that he practically does not pay attention to unequal pairs and correlates them simply by volatility. There are Straight, there are Reverse and we can use SWAPS, the so-called CERRITRADE, profitability on SWAPS. That's it in a nutshell. And referring to the Swiss, not puffed up cheeks, but that the housewives are leaders on it.
a) you can take the RTS Index vs,
b) the RTS index against the MICEX, they correlate on the ruble, you can also add it,
c) the simple Euro dollar versus the Pound, just look at the cross in which direction it goes.
This is a huge topic with a lot of nuances, but the most important thing in the graphs you have to keep them on one date over zero for invariability of parameters, otherwise there is a logarithmic picture in SACS, zero shifts and meaning is lost almost completely.
2. At 4mt, your results are fixed and you don't get a headache with ROLLOWER, like stock clearing, which is essentially needed to cut off your money to their coffers faster.
Once again, I'm here because of problems with MENU, and I don't think this is the place for arbitrage vast topics, but the overlay of charts as a percentage is relevant in a water window and this is really purely a technical issue to the creators!
3. Totally small but serious addition, Here one trader in the summer did not pay 17000 dollars of profit-account accusing him that he traded at Fourth, do not read the contract, and there and is written as they have, like in America, banned the trade multicurrency portfolio on MT4, in America, like it is forbidden, but solved simply! So do not forget about the scam!
If I do not see and calculate a profit in multicurrency mess it is very difficult, even in the RTS, after clearing my account jumps mainly to the lower side, even though I clearly see that I should have had about 200 points more from one position. These are the nuances, and of course that's not all!
Good luck and profitability.
So you think programmers != big traders. :)
Ok, I'll start a thread on the 4th, but my code is mostly on MKL5. Won't it get clobbered there?
--
p.s. maybe someone could use the English-language article sitehttp://papers.ssrn.com/sol3/DisplayAbstractSearch.cfm
Type in statistical arbitrage or pairs trading.... There is a lot to read. If you speak English. I found this site just today. :)
There is nothing to discuss here, everything is clear.
You write an indicator and an Expert Advisor.
The indicator analyzes the correlation of the basic instrument for the last N bars and displays it on the chart (it will look like RSI), and also calculates the average correlation indicator on the entire history, preferably also as a buffer. If the correlation is below -0.65 or above 0.65, I think you can work. You select tools, test it on the history, set it and that is it. If you do not have such a great opportunity, there is no risk for investments, but you may obtain the 50%+ p.a. profit. I have also heard that the profitability of such systems is decreasing due to general changes occurring in exchanges.