Has anyone tried index trading? - page 2

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TheXpert:

Really?

I'll speculate - don't kick me hard - it's all theory :) Let me continue with the example of whisky and the basket of currencies.

Let us assume that the rate of "whisky" / ruble has increased, and also that the ruble fell to all other currencies in the basket (dollar-frank-yen). It is clear that in this case the true rate of "whisky" should not change. All movements in the market are ruble problems.

In case of classical synthetic the rate of "whisky" will change, because synthetic directly depends on the rate of "whisky"/ruble.

Therefore, the RMS of a correct synthetic should be small - most market movements are not related to "whisky" and should not affect its exchange rate.

It would be interesting to see the behaviour of such "correct" synthetic.

tokomposter:

Is the method for calculating the index taken by analogy with the dollar index?
 
TheXpert:

Well, it's quite testable. We create a synthetic, run the strategy and then (if it works) see how much the portfolio adjustment affects the result.

The question is that the patterns there will be different - not the same as for pure traded instruments, but it may be better.)

That's the idea - to analyse not a mixture of giraffe and zebra, but each separately.
 
MigVRN:

I'll speculate - don't kick me hard - it's all theory :) Let me continue with the example of whisky and the basket of currencies.

Let us assume that the rate of "whisky" / ruble has increased, and also that the ruble fell to all other currencies in the basket (dollar-frank-yen). It is clear that in this case the true rate of "whisky" should not change. All movements in the market are ruble problems.

In the case of classic synthetics, the "whisky" exchange rate will change because synthetics are directly dependent on the "whisky"/ruble exchange rate.

If the ruble falls - yes, in relation to the basket of whisky will not rise much, but the whisky itself may also change the price dramatically (the factory burned down / released a cool ad / changed the legislation / etc.).

So the ups and downs could be just as steep. The other issue is that these will be the ups and downs of exactly what we are analysing! )

 
MigVRN:
 Is the method of calculating the index taken by analogy with the dollar index?
Yes, and from it the other currencies. The formula can be picked up (probably even optimised on the fly).
 
papaklass:

There seems to be no way to make money "head-on". Brokers track currency fluctuations through other currencies. The total spread (baskets) and the total commission will go straight into minus and there is no way out of minus. Moreover, irrespective of the portfolio opening direction.

Pictures of neutral portfolios on majors. Blue chart - buy, red - sell.

No, this is not from this point of view.
 
komposter:

I wonder if no one has thought about trading "pure" USD or GBP?

Why does everyone analyse their ratio and trade it specifically?

Roughly speaking, why predict the ratio of the price of potatoes to the price of petrol? Wouldn't it be easier to look at each price separately?

Of course, and the ratios have their patterns. But they seem to me to be much less pronounced and much more difficult to formulate.

Who would be interested in looking at a chart of a pure currency and trading a basket that follows the movements of that currency as closely as possible?

Who has any thoughts on making and balancing this basket? Or maybe actual experience?

How to calculate the index? I started to do it, but I stumbled and abandoned it. I wanted to take all currencies and get an absolute price, in notional units, whose exchange rate will always be=1. There might be something interesting in that.
 
223231:
How do you calculate the index? I started to do it, but I got stuck and gave up. I wanted to take all currencies and get an absolute price, in terms of notional units, whose exchange rate will always be=1. There may be something interesting in it.
Look at my profile indicator (demo is free, I'll give free and full version to active thread participants ), it builds everything. Coefficients are customizable, the list of currencies is also customizable.
 
Here, I stumbled across a job. Isn't this in the same vein?
 

If it's for analysis, it doesn't matter which reference number to use - 0, 1, 10 or the sum of all indexes... As far as I'm interested in change of ratios in time, in respect of what is a tenth question. I've got as much as I got after "add up all and divide by participants", that's how much I've left. In terms of weights, I guess, we should be referring to the value in a particular pair.

The index is more informative, but more inertial, so to speak. Increase of the index may not coincide with the increase of the main pair

(GBP index on GBPUSD)

On the whole, the picture, in the sense of informativeness, who is aiming where

 
Silent:

The index is more informative, but more inertial, so to speak. The index increment may not coincide with the increment of the main pair

It's not inertia, it's the impact of another currency (in this case the dollar):


That's exactly what I'm talking about!

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