Creating and testing arbitrage strategies - page 3
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If it's no secret how and what do you trade? How successful are you? I think this opportunity has only recently appeared on MT5.
calendar RTS, pref-obvious Sber and Surgut.
I tried portfolios, but so far I have given up, the efficiency is lower and there is also a problem - brocher decided that its API is already self-sufficient and the implementation of getting historical data is not required. although the client part contains all the functionality. probably the server is expensive. And without history you know how to compile a portfolio... Ugh! I finally gave up on developing the tool. I decided to recall the old-new MQL.
My forex is more than 2X at the moment. i got a good result, i managed to keep the current account on the mt5. at the moment i have more than 2X on the mt5. now i have a drawdown. first the sberbank spread has sharply narrowed, i closed my losses. now the surge is the same. i may close it in minus. the result is still about 100% for 6 months.
I don't understand why there are two baskets either.
I would like to discuss the matter with those who know the betta-averaging (if I understand the term correctly) and, generally, ways to get the rebellious EA to Breakeven.
Yes, I will finish the robot soon. Maybe in a month.
P.S. MetaDriver, stop whispering and give me your opinion on how to calculate the synthetic. ))
P.S. MetaDriver, stop whispering and spit out how you think synthetics should be calculated. ))
Otherwise, it's patch on patch when calculating lots and more.
The easiest thing to do is to logarithm all the charts, then build linear combinations for them. you can also test using the logarithm chart. if equity is normal, you can convert it back - it (profit) isn't going anywhere.
calendar RTS, pref-obvious Sber and Surgut.
I tried portfolios, but so far I have given up, the efficiency is lower and there is also a problem - brocher decided that its API is already self-sufficient and the implementation of getting historical data is not required. although the client part contains all the functionality. probably the server is expensive. And without history you know how to compile a portfolio... Ugh! So, I gave up on developing the tool. I decided to recall the old-new MQL.
The result is still about 100% for six months.
I don't understand why there are two baskets either.
I would like to discuss the matter with those who know the betta-averaging (if I understand the term correctly) and, generally, ways to get the rebellious EA to Breakeven.
Yes, I will finish the robot soon. Maybe in a month.
P.S. MetaDriver, stop whispering and give me your opinion on how to calculate the synthetic. ))
>calendar RTS, pref-oob sber, surgut.
Decent instruments!
>brocher decided that his API is already self-sufficient and the implementation of getting historical data is not required.
Have you tried the history service for all RTS trades?
>grew his deposit more than 2 times in 6 months.
Let's skip this one))
>I also don't understand why there are two baskets.
No, this is classic arbitrage! Left foot - right foot. Left basket, right basket. Against synthetics, who's going to arbitrate? Synthetics in the left hand basket, index in the right hand basket, or vice versa.
>If you do not know the algorithm, you cannot run the trading session with an analytical analyzer.
Beta is correlation, i.e. the difference in incremental ratios.
No, it's classic arbitrage! Left foot in, right foot out. Left basket, right basket. Who will arbitrate against synthetics? Synthetics in the left basket, index in the right basket, or vice versa.
Instead of subtracting the legs, multiply one of them by minus one and then add up. the arithmetic does not change, but the graph is already one. it is much easier to deal with one graph than with two.
Typical index futures arbitrage - synthetic
Sell the left, buy the right and vice versa.
A typical index futures arbitrage is synthetic
Sell the left - buy the right and vice versa.
It is enough to divide the right one by the left one and plot this ratio. you will immediately see if a fish is there or not and how much it is.
// If in logarithmic form, subtraction will replace division.
Instead of subtracting legs, multiply one of them by minus one and then add them up. the arithmetic does not change, but there is already one graph. it is much easier to deal with one graph than with two.
Please note that the dots on the bottom graph show: blue dots represent the sum of symbols in the left hand basket, red dots represent the sum of symbols in the right hand basket. Note: the yellow dots show just one graph: the correlation (delta) of the two baskets.
It's all clear, but you don't need to. just divide the right one by the left one and graph that ratio. you'll immediately see whether there are fish there or not and exactly how many.