Please state the pros and cons of portfolio trading. - page 7
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and how do you take the DXU2 from EURGBP? Do you standardise them first?
The spread indicator "standardises" them, i.e. it draws a total equity line and sets the scale of total equity of the positions of these instruments - in dollars.
Take EURGBP/USD pair instead of EURUSD/index pair. There is less correlation here.
In other words, paired trading of EURGBP - (-DXU2) = 1^2 will be implemented here, the results of arbitrage on m15 - m30 are very satisfactory! Let me just remind you that the currency spread EURGBP-DXU2 = 2^3 (1^2) is non-standard, and we always open positions on it in one direction - we sell both symbols simultaneously or buy them simultaneously. Indices settings and spread description can be found at http://www.procapital.ru/showpost.php?p=1262935&postcount=2497 - in the second part of this post. The indices are freely available - in the first post of this thread on the link.
When you open two positions - do you open equal amounts?
Read the post at the link. It's all there. The position size ratio I gave: EURGBP-DXU2=2^3 (or 1^2)
Thank you. Your wise but completely meaningless words made me feel good....
Chew: Don't dig too deep in the direction of a perfectly balanced portfolio, but trade as you currently are!
Chew: Don't dig too deep in the direction of a perfectly balanced portfolio, but trade as you currently have!
OK, the portfolio you currently have - how do you choose the shares of the instruments in the portfolio?
Here is Leonid's simple example of a portfolio of two instruments. Here, theoretically, you can pick it up by eye. But what if there are more instruments?
2^3 is it two to three? where exactly is the ratio from?
The ratio of the position sizes (leverage) of instruments in an arbitrage deal is calculated according to the specification, taking into account for each instrument: the value of a pip, the number of pips in a tick, and volatility. The price line indicator on my chart "automatically" calculates this ratio and displays it in the commentary of the ind. window on the right side.
See the picture of my post above - it shows 1.00:1.54 (i.e. 2:3 rounded)
The ratio for the position sizes (leverage) of instruments in an arbitrage trade is calculated according to the specification - taking into account for each instrument - the point value, the number of points in a tick and taking into account volatility. The price lines indicator on the chart "automatically" calculates this ratio and displays it in the commentary of the ind. window on the right side.
So, via volatility...................
OK, in the portfolio that we currently have - how do we choose the shares of the instruments in the portfolio?
Leonid has a simple example with a portfolio of two instruments. Here, theoretically, you can choose by eye. But what if there are more instruments?
That's for Markowitz and his theory of portfolio trading. Here are the basics: "Ralph Vince. The Mathematics of Capital Management.
This goes back to Markowitz and his theory of portfolio trading. There are the basics here: "Ralph Vince. The Mathematics of Capital Management".
Rrrroman, Markowitz developed everything for the stock market...... There's a 'benchmark' portfolio on it...... Forex doesn't........
Which is the question ......