Pair trading. How to close orders with maximum profit? - page 6
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If the correlation coefficient does NOT change over time, it will go (but it does).
If the correlation coefficient does NOT change over time, then stops should NOT be placed (but it does change).
That's why I don't like majors. Let the profit be smaller, but guaranteed. There is no need to put stops, watch the news, guess where the price will go. You don't need to set stops, watch the news, guess where the price will go, even if it starts a strong trend, you can adjust the drawdown by changing lots.
I have not provided the entire algorithm here.
Open any major chart and look - does the price always walk in the same corridor?
Did you do it right? If so, do you have statistics on such trades?
I don't know your TS - you only open on one instrument.
Order an EA here, run it through history - you'll see for yourself.
I don't know your TS - you only open on one instrument.
Order an EA here, run it through history - you'll see for yourself.
Why on one instrument? At the beginning I suggested to consider it using EURUSD/USDCHF as an example.
Can you run this EA in the Strategy Tester?
Why on one instrument? In the beginning, I suggested to use EURUSD/USDCHF as an example.
Is it possible to run such an EA in the tester?
Why on one instrument? In the beginning, I suggested to use EURUSD/USDCHF as an example.
Is it possible to run such an EA in the tester?
In MT5 you can.
Why on one instrument? In the beginning, I suggested to use EURUSD/USDCHF as an example.
Can you run such an Expert Advisor in the Strategy Tester?
The idea of the paired trading is mutual hedging of two anticorrelation instruments. It means that pairs bought at the peak of rascorrelation will surely want to get back together again, and then there will be a loss for one pair and a profit for the other. That is, the whole calculation of paired trading is the volatility and non-linearity of the market.
Pair trading combines two ideas - the calculation of correlation and hedging, which are achieved in one action, this simultaneity is a BENEFIT of this method. But unfortunately it works only under one condition - if after the entry the instruments actually stopped diverging and started moving backwards. If they continue diverging - instead of hedging you receive a double loss. Therefore there is no fundamental difference whether to trade with one instrument or several ones, except for diversification. But diversification is another subject.
Theoretically, it is possible to buy a selected instrument separately by correlation with another one (others), and to hedge with the third or fourth instrument, or not to hedge at all. Correlation is just an indication of the extent to which an instrument is oversold/oversold and, in practice, it may rarely be the only sufficient criterion for making a decision. A multicurrency Expert Advisor is one that takes into account the state of more than one instrument and not one that necessarily trades many currencies. In MT5, testing is possible using multiple pairs.
The closing is not necessarily a mirror function of the opening. Closing should take into account the changing situation, and therefore it is impossible to say in advance which variant of closing is better. You just need to test all variants yourself and do not take anyone's word for it.