Pair trading. How to close orders with maximum profit? - page 9

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edutak:

With the spread - divergence of pairs is clear, but now another question: how to understand that the spread (divergence) has reached the maximum value, or at least close to it?

And another question: is it possible to trade the spread without considering its value, i.e. to trade on both increasing spread and decreasing one, if there is no answer to the first question?

Build a channel. But once again - the correlation changes
 
Andrey Khatimlianskii:

Yes, I've written a few pair trading robots.

I even had such a bot at the last championship, and it was even profitable. However, I managed to open it using the crossover.)

But it can be done using several symbols.

Do you think that it is more profitable and secure to open on crossover? It's just that your trading robot has not traded long and had few deals.)

Do you have more reliable statistics on cross trading?

 
It was rightly said above that there is no such thing as consistently effective paired trading. If you had recently opened a buy on the franc (whether against the euro or the dollar) and another position on another instrument in the hope of a convergence (divergence), the deposit would have gone in the bin. Do not litter the youth with paired trading and other delta-neutrality. It doesn't and won't happen in forex and not much else at all. Trade ONLY with STOPPES, choosing entry and exit points from levels. Otherwise the market will fuck you up. Once a year one event is enough for several months of this anonymity to be annulled by the market. Listen to Gerchik and sit and think about it.
 
You will waste more time on this pair trading than on classical trading and the return is likely to be less
 
edutak:
Who has any ideas on what principle, or rules, to close orders in profit. For simplicity, let it be EURUSD/USDCHF.
Well, very interesting question: if someone knew these rules and principles of how to make a pivot... or approaching it for maximum profit... there probably wouldn't be a market as such... I stick to channel and 50% Fibo levels even with a refill - pushing to the last moment before a possible reversal...sometimes yes long before the reversal the price goes beyond all limits and indicators...))
 
Vitaly Muzichenko:

Meaning? In a minute, the coefficient won't be (c)"Have been chosen as an example. They have a correlation coefficient of -0.95". , а 1.9 ?

Vitaly, the correlation coefficient can be in the range: -1.0 <= k <= +1. The correlation coefficient cannot be equal to 1.9. What do you mean by that ?

 
Victor Ziborov:

Vitaly, the correlation coefficient can be in the range: -1.0 <= k <= +1. The correlation coefficient cannot be equal to 1.9. What did you mean here?

Missed the "not" before 1.9

It is of course from 1.0 to -1.0
 
Vitaly Muzichenko:

Missed the "not" before 1.9

It is, of course, 1.0 to -1.0

Got it.

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