Complex arbitration - page 5

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MForex:
How do you calculate the correlation? Maybe by some kind of indicator?

I'm sorry, I can't tell you that, but I admit that it's very simple. Moreover, I can roughly determine the correlation by looking at the charts. I.e. I can trade on this system without using any Expert Advisors, indicators or even a calculator ;)
 

DrawDown, by the way, many brokers adjust swaps very often and quite strongly. I opened long on EURUSD long at RC#1 in Russia. At the time the swap was 1.42 points, while today it is only 1.01 points. Moreover, interest rates have not changed. The point is that the balance of swaps in the hedge might be negative.

SZZ. Now they have a swaps history and I looked - almost every day they are revised.

 
DrawDown:

I can't say anything about broadcasting the results of work on the real, but I will still try to arrange it. At the moment we are already working on opening an account with a broker and providing the necessary conditions for the stable operation of the terminal and EAs. By the end of the month, if everything goes according to plan, I will start working on the real account.

DD, how are you doing on the real account? In a nutshell. My confusion is the low MOJ: 1-2 pips. Because of the enforced lags the positions have increased to 4 pips, but it is still catastrophically low for the real. After all, any broker on the real market shifts quotes against the client immediately after opening from 1 to 3 pips. Plus requotes and slippages. As a result the NIM will fall to 0 or even go in the red. The investor may trust the results of forward testing due to poor preparation, but do you have to see the reality?
 

Unfortunately, I'm not out in the real world yet. I am preparing a workplace with an autonomous power supply and an uninterrupted power line. I need to keep MT4 online while there are open trades. I like it when everything is available and in the best way :))

As for the MO, I will only say that deals start to close after a total profit of more than 5 (on AUD and NZD) - 10 (for other pairs) pips within a few seconds. Even in my report it may be seen that sometimes price changes and as the result the closing profit is smaller, and sometimes it is much smaller. Only once or twice I lost 1-3 points while my Expert Advisor was closing trades. Also, I can hold ALL positions by setting a profit of 15-20 pips or more (in case of brokerage). And every hedge will reach that level, as you can see from the results of closing all over held positions. Swaps are not scary either, I opened trades in the opposite direction - the result is the same. And if you paid attention to some of the latest trades of CHF/JPY and EUR/JPY, where swaps reached more than 100$, then I explain, that this happened because of my holiday. Trading simply did not take place and trades were idle for a month. Otherwise they should have closed with profit on the 2nd day after opening.

The only thing that can bend this system is an event, the consequence of which will be for example a change in the behaviour of the NZ (it will start to walk like the Yen) without any change in the Aussie. The same is true for the other pairs. But what will have to happen for the franc and the euro or the euro and the pound to stop correlating? Only what can be called a force majeure event. And that is a different risk.

 

DD, thanks for the comments. If the hedge pairs will be covered with 5-10 and 15-20 pips total profit, that's another matter. But all the same, when trying MTS on real you need to mentally deduct 2-3 points by which the broker will move the quotes after opening. slippage=0 may help in the struggle with the broker on the real account. If you have MTS on real, please comment in general the differences from forward testing. I have no doubts about their correctness.

Sincerely wish you good luck!

 

Thank you for the wish.

I'll be sure to comment, I just need to get real ))

 

Dear DD, I have been working with my product in this direction for a month and a half. If you don't mind answering a couple of questions. To begin with: we load clock quotes into Excel, then we apply a standard Excel correlation function with a period of 10 and calculate the difference between the current and the previous values. Using delta values, charting is done (for clarity). Using the chart we can see that, for example, most delta for the Eurodoll and the pounddoll fluctuates between -0.4 and 0.4. Once the delta reaches these values we get a signal to enter. This is something like this. Now the questions:

1. Is our reasoning correct?

2. Which period is better to use (for example, is it better to use 24 (number of hours in a day) or 8 (working session))?

3) What timeframe is better to work with?

4. If you have statistics, what is the max drawdown on three pairs?

5. I used it for dolphrank and dolena still: I entered 19.07 at 19:03 Kiev time, now a serious drawdown (because dolchief is almost standing and dolena is going down). Is there any chance of getting into the + zone?

I was going to ask something else, but I forgot ..........

Thanks for the idea, I am not sure yet, but there is something in it.......

Good luck to you.

 

I forgot to tell you if you would like to reply to truslan@meta.ua

 

I will answer here, so as not to repeat myself.

1. the reasoning is correct, but it's a bit awkward to use excel for this.

2. и 3. You should select the period depending on the timeframe. For example, a period of 30 will do for a one-minute time frame. Although, you can experiment, since I haven't bothered with this question. I have tried two variants, got one result and left it that way. But maybe I should have done it for nothing.

4. Yes, I had to calculate the drawdown statistics manually in excel for good reason, to account for all the missed points. The maximum drawdown of equity was -2186$ for three hedges opened at the same time, of course. By the way, I watched that moment myself but had no doubts the system would work out. I hope to wait for the drawdown of 3000 before going live and then I will change my mind.

By the way, since yesterday there are 3 hedges with drawdown about 1700, I even closed manually the hedge AUD/NZD, maybe this time my luck will change and DD will be reached -$3000.

5. USD/CHF and USD/JPY do not correlate at a sufficient level for arbitrage, therefore a serious drawdown of this hedge is normal, as well as a drawdown of 100% of deposit for the same hedge.

 

I work in Excel because I don't use MKL4.

Thank you, we will work on it.

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