Basket trading, pair trading. - page 8
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Absence of bars is not a problem. If there is no bar, take the value of the previous one. Many non forex instruments (sessions) close and open at different times.
If you are interested in pair trading, pay attention to oil, different grades. I don't know if there are brokers that support futures on MT5, but it is possible to organise it on MT4.
Oh, I struggled a lot with the damn synchronisation, but the result is achieved:
I'll put the synchronisation indicator in the codebase.
Oh, I struggled a lot with the damn synchronisation, but the result is achieved:
I'll put the synchronisation indicator in the codebase.
So much for disappearing magic half an hour late).
Statistically profitable lag is unlikely to be there. However, the slippage/shift does occur. Here is an example for gold/silver:
This occurs most often on strong news, I think it is clear why. In the example, we sell gold at 16:30 and buy silver, and close at 20:45 of the next day.
The figures on the charts are the change in price in absolute dollar terms. You can see that to balance such a basket of two instruments the XAU/XAG volume ratio should be about 1/20.
And this ratio should not be calculated by the average volatility of the instruments, but by the average volatility of such spreads/shifts. This will give more or less confidence that we won't suffer a fatal loss if the spread doesn't converge. Non convergence of spreads is the main danger in this kind of trading. All other things are less significant.
Also, I would like to point out that it is not equivalent to cross trading since the volumes are different. In fact, it is a triangular stat-arbitrage XAU-XAG-USD.
All IMHO.
Statistically profitable lag is unlikely to be there. However, the slippage/slippage does occur. Here is an example for gold/silver:
This occurs most often on strong news, I think it's clear why. In the example - we sell gold at 16:30 and buy silver, we close at 20:45 of the next day.
The figures on the charts are the change in price in absolute dollar terms. You can see that to balance such a basket of two instruments, the XAU/XAG volume ratio should be about 1/20.
Moreover, this ratio should not be counted by the average volatility of the instruments, but by the average volatility of such spreads/shifts. This will give more or less certainty that if the spread does not converge we will not get a fatal loss.
Also, I would like to point out that this is not equivalent to cross trading as the volumes are different. In fact, it is a triangular stat-arbitrage XAU-XAG-USD.
All IMHO.
Statistically profitable lag is unlikely to be there. However, the slippage/shift does occur. Here is an example for gold/silver:
This occurs most often on strong news, I think it is clear why. In the example - we sell gold at 16:30 and buy silver, we close at 20:45 of the next day.
The figures on the charts are the change in price in absolute dollar terms. You can see that to balance such a basket of two instruments the XAU/XAG volume ratio should be about 1/20.
And this ratio should not be calculated by the average volatility of the instruments, but by the average volatility of such spreads/shifts. This will give more or less confidence that we won't suffer a fatal loss if the spread doesn't converge. Non convergence of spreads is the main danger in this kind of trading. All other things are less significant.
Also, I would like to point out that it is not equivalent to cross trading since the volumes are different. In fact, it is a triangular stat-arbitrage XAU-XAG-USD.
All IMHO.
The indicator will not share.
Do not share the indicator.
You could try this indicator.
Here is an example for gold and silver.
On the upper chart is a sherds indicator on the lower chart by HLP.
It's more interesting on slices (yellow lines marking) than on HLP (red marking). We should try it.
Indicator colours gold and silver are gold and silver respectively.
All data are synchronised.
Ivanushko - there (on the 4) can not answer :-) in the sauna - but the next step is to make a histogram (curve) - the difference between the first and second curve - then its "smooth" 5%-10% filter in relation to the previous value - well, and the colour areas - with a change of colour You enter and exit the transaction - first, without the MM - just constant lots - then the results and you can add some mm which screw.... but 2 pairs is not enough, 4 at a time (in one window) for "stationary" the final curve will come out....