Spread trading in Meta Trader - page 13
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..... By the way, do you have a loss locking mechanism for open hedges?
No.
Except for stops - no such mechanism yet.... 
Well, you should... I haven't thought about it yet...
Although, in 2.5 weeks of experiments with the mentioned above futures instruments my hedge had suffered considerable losses, but I have outlived these losses by no more than 3 business days, after which I have closed with profits (or manually broke even).
You can see unconventional approaches in Trade-Arbitrage. The hedge (the real one) and absolutely correlated synthetic tools and statistics are available there.
Yes, -
has long taken note of your advisor, - I go to the address, read the comments.
But I still cannot get my hands on it
. Although I tried to do it several times...
And the home design is somehow more "native" and more quickly reconstructed to fit the current market realities...
I'd like to see what a hedge fund could short.
??? What can we even talk to you about after that?
Hedge funds almost all short, that's their nature, and they can short almost all tradable assets.
rid, в любом случае идея хорошая, и работа тобою немалая сделана
Well, the idea is not mine at all. It was Fduch who started the topic and he answered my question on page 4-5 about the exact nature of the tactic and laid out the average-stat spread.
Нестандартные подходы можете посмотреть в Trade-Arbitrage. Там и хэдж (настоящий) и абсолютно коррелируемые синтетические инструменты и статистика...
The idea is right, but...
You are trying to find situations for real arbitrage, but so are the big uncles at Goldman etc. They will always find them and eat them up first. The only thing left for you to do is to steal pennies from the pockets of the kitchen DC, catching the errors of its quoting machine. This cannot go on for long for obvious reasons.
It's worth accepting as a rule - arbitrage is impossible - and moving on.
PS By the way, correlation between the elements of a pair is not necessary.
Ты пытаешься найти ситуации для реального арбитража, но тоже самое делают большие дяди из голдмана и пр. Они всегда найдут их и скушают первыми. Eдинственное, что тебе остается, это тырить копейки из кармана кухонного ДЦ, ловя погрешности его котировочного аппарата. Долго это продолжаться не может по понятным причинам.
Стоит принять как правило - арбитраж невосможен - и идти дальше.
i would disagree here.... it's worth passing over trading in the stock market on principle... and it's against our wishes)))))))))))
and spread trading may not be wildly profitable, but it's still profitable.... i.e., not as risky as any other stock trading (although this is true only when you choose the right instruments). If anyone follows Bortz's comments - he has shown it well in his trading.
Another thing that serious trading is not meant in MT unfortunately... But why not practice the methodology in MT, and later, when it's ready, transfer it to Ninja, for example...
"Чужая МАшка" или как?
I didn't quite understand about someone else's MA.
I loaded my "favourite" indicator (Sem Sem Sem analog) on these pairs and thought,
- that if the lines sometimes go counter/opposite, why not try it ? Here is the chart:
(green - dollarrien, blue - euro-yen)
тут я не соглашусь.... из таких соображений стоит пройти мимо торговли на бирже в принципе... а это против нашего желания)))))))))))
а торговля спредом пускай не дико прибыльня но все же прибыльная.... и главное, не такая рискованная как любая другая торговля на бирже (правда это справедливо только при правильном подборе инструментов). Если ктото следит за комментариями Борца - он это хорошо показал в своей торговле.
Другое дело, что серьезная торговля подразумевается не в МТ к сожалению... Но почему бы не отработать методику в МТ, и позже, когда она будет готова, перенести ее на нинзю, например...
This is what the use of homemade definitions for all sorts of trading leads to. "I'll call it ..." Don't make it up, people don't get it...
Spread trading (pairs trading), not to be confused with bid/ask spread, is not arbitrage. Arbitrage is profit without risk, a free lunch as the Americans say. Hedge is a guaranteed small loss without the risk of large losses, insurance. Spread trading carries the risk of loss, sometimes significant. The number of arbitrage options is quite limited, as the instruments must be fully repetitive. Spread options are unlimited because the spread can be constructed from any number of almost any assortment. No Goldman can track them all.
Я не совсем понял про чужую МАшку.
Я зарядил свой "любимый" индюк (аналог кластерного по Сем-Сем-у) на эти пары и подумал, - что если линии иногда идут встречно/противоположно, то почему-бы и не попробовать ? Вот график:
(зел. - доллариена, син. - евроиена)
"Alien Mashka" is still an experiment on the principle of superimposing a Mashka from B on graph A
and see what you get out of it ...
;)
I see. So that's how it works here - "Other people's mash-ups" (reduced to a "common denominator") in the same window.