Arbitrage - page 25
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No, not empty, but worthy - I haven't seen anything "operative", so I write myself, but not in indicators, by external means, based on which I am thinking how to do it:) If there was something operative, would Reshetov's EA focus on order history:) These currents, a universal problem, but they too can be understood, from start to finish. As I said before, the question is not if it is possible, the question is how to implement it:) Unless indicators from the cluster category can tell you about it on the fingers:)
There are already too many posts here. And the critics are cluttering up the thread, so we'll continue in the "The market is always wrong" thread.
If I read somewhere about arbitrage - there is always a portfolio with zero capital and infinitely small risks when entering a trade, but the return is infinitely high - if I can find it in the web, I'll change the exact definition... so the dynamics of such a portfolio with the minimum required number of instruments is interesting.
is utopia. There are no risk-free transactions in the market for traders.
The point of arbitrage, pairing or trading a large number of instruments is to move away from standard instruments to new ones that are not directly traded in the market. The sense of the transition is that the new instrument has useful features, which are absent in its constituent instruments. And there are only two properties: reversibility/flatness and inertia/trendiness. The thing is that no matter how cunningly a new tool is composed, it will possess both these properties at the same time. A cunning combination of different tools or a periodic change in their weights will not change this. You cannot create a purely reversible instrument, which will always move in an eternal flat, or vice versa, in trends.
Take, for example, a cross. In fact, it is a new instrument composed of 2 majors (buying one and selling the other with equal volumes). None of the crosses is stationary and we cannot say about any of them - trade it only on reversion to the mean and you will be lucky. Or trade the continuation of the trend. Periodically it is returning and periodically it is trending. That is why the main thing is under what conditions it shows this or that property stably. The condition may be anything: the scale or time range of movements, time of year or day, macroeconomic indicators, etc.
Therefore, the main thing is not only the composition of this new instrument, but also the way - when to trade it on the return and/or when to trade the continuation of the movement. And all of this - synthetic composition, the choice of the criterion when to trade should have some logic. And not just trying all variants.
is utopia. There are no risk-free transactions in the market for traders.
Unless one takes into account the risk of a connection interruption/ power failure, there are such transactions. I will not give examples.
The idea of arbitrage, pairing or trading with a large number of instruments is to move away from standard instruments to new ones, which are not directly traded on the market. The sense of transition is that the new instrument has useful features, which are absent in its constituent instruments. And there are only two properties: reversibility/flatness and inertia/trends. The thing is that no matter how cunningly a new tool is composed, it will possess both these properties at the same time. A cunning combination of different tools or a periodic change in their weights will not change this. You cannot create a purely reversible instrument, which will always be in a perpetual flat, or vice versa in trends.
You are wrong. Perhaps I will show you one of the charts later (of course, without a description of calculations).
Take a cross for example. In fact it is a new instrument made of 2 majors (buying one and selling the other with equal volumes). None of the crosses is stationary and we cannot say about any of them - trade it only on reversion to the mean and you will be lucky. Or trade the continuation of the trend. Periodically it is reversing and periodically it is trending. That is why the main thing is under what conditions it shows this or that property stably. The condition may be anything: the scale or time range of movements, time of year or day, macroeconomic indicators, etc.
Crosses have no single reason why they should be mean reversals. Any linear combination of different rates (with the same base currency) has hardly any reason either.
But for linear combinations of stocks of different companies, for example, there may be such reasons. There are many more possibilities using derivatives.
Therefore, the main thing is not only the construction of this new instrument, but also the way - when to trade it for the return and/or when to trade the continuation of the movement.
The way to trade is to finally build a mean reversion.
Long time ago I read somewhere about "arbitrage" - there is always a portfolio with zero capital and infinitesimal risks when entering a trade, but the return is infinitely high - if I find it in the Internet I'll change the exact definition...
Not infinitely high returns, but probability (of making a profit)=1.
Barring the risk of a breakdown of communication/power outage, there are such operations. I will not give you examples.
You are wrong. Perhaps I will demonstrate one of the graphs later (without a description of the calculations, of course).
If you give me an example it will be a substantive discussion. Only I hope it is not a futures instrument against the underlying asset :)
But for example for linear combinations of shares of different companies there can be such reasons. Using derivatives one can find a lot of other possibilities.
The way to trade is to finally build a mean reversion.
There are also crosses, there are shares if you know when, and the average or not average is part of this knowledge about a particular instrument
I was passing by and happened to drop in. Let me write a few words on the subject.
It is better to look for arbitrage instruments on the commodity and stock market. Here's a quick look.
The arbitrage instrument pair Dollar Index - mini-SP500 index ( DXZ1 - ESZ1 = 2:1 ), negative correlation.
Prices are volatile and the total equity (spread) line has been in a rather predictable flat (with a slight slope) channel for a long time - the bottom index window:
channel width of the equity (spread) line is approximately $100, at the ratio of the position sizes 0.2:0.1
If you give me an example, we will have a substantive discussion. Just hope it's not a futures instrument against an underlying asset :)
Let's start with the fact that futures against the underlying asset is not a risk-free transaction. They may well not converge at the time of expiration.
And as for the examples - I specifically wrote in a previous post.
Если не учитывать риск обрыва связи/отключения электроэнергии - такие операции есть. Примеры приводить не буду.
Not exactly accurate. There really are no risk-free ones. There are those examples where the risk is manageable or controllable at the very least.
As for crosses, some of them do have new properties. Take for example the piping on the overnight flat. If the brokerage companies had not started to close the shop - it would be a good profitable approach.
To begin with, futures against the underlying asset is not a risk-free transaction. They may well not converge at the time of expiry.
And about the examples - I specifically wrote in a previous post.
The argument is "you're wrong, maybe someday I'll show..." and "there are such transactions. I won't give you examples". Thanks for the constructive dialogue :) If you have an argument, write it down, otherwise it's all just flooding.
reasoned argument: "you're wrong, maybe one day I'll show..." and "there are such operations. I will not give you examples". Thanks for the constructive dialogue :) If you have an argument, write it down, otherwise it's all just flooding.
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