Spread trading in Meta Trader - page 24
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The mid-range is probably the most basic and far from the most effective means of analysing the flat.
Среднестатистический диапазон - наверное, самое элементарное и далеко не самое эффективное средство анализа флэта.
Actually, it's about something else.
How do large hedge funds work? One option. They buy 100 strong (growth
stocks that are strong relative to the market as a whole for the same RS) and sell 100 weak stocks.
That's it, the hedge is closed. Wherever the overall market goes, up or down, the fund hopes to stay
in profits... because going up, the strong stocks will rise faster than the weak stocks, and going
down, the weak stocks will fall faster than the strong stocks.
It's the same with futures. Let's say there are 50 major futures contracts. The funds are sitting
in the cache... and watch.) They see a move up in one of the futures. In fact, it's great
if it breaks the high of, say, 26 weeks. Then you can explain to the fund's shareholders
that they're not just sitting on the fence... they have a system.) They buy it. And in exactly the same way they keep an eye on
futures that go down. They try to find the weakest one and sell it.
Let's say we're looking for a pair to spread. Anything. Futsi/Dax or beef/Swiss franc.
I think it's much more interesting to find the strongest futures and the weakest or 2 or 3
of them. And enter the spread. Now, a good machine might be able to pick up these movements
intraday and enter into that same spread. Not for the purpose of catching a statistical variation... but for the purpose of
to catch the movement, even if it's not a long one, but it could overlap a week or a month's
or monthly "statistical spread".
.. Стараются найти самый слабый и продать.
Допустим мы ищем пару для хэджа. Любую. футси/дакс или говядина/швейцарский франк.
Думаю что гораздо интереснее найти самый сильный фьючерс и самый слабый или по 2-3
из них. И войти в хэдж..
It seems that the term "hedge" has definitively lost its original meaning...
Hedging is a futures position established in one market to offset the impact of price risks with an equal, but opposite, futures position (futures position) in another market. Hedging is done in order to hedge price risks by entering into transactions on the futures markets.
Explain to me please, how does a beef compensate for the risk of a Swiss franc position?
Только мне не совсем понятно. Зачем нужен параметр
extern int Timeframe = 1;
Не лучше ли - просто предусмотреть автоматическую установку текущего тф ?
Didn't occur to me =)
Seems to be used to setting everything by hand for reliability...
Не проверял, но есть некоторая догадка, что зигзагов с минимальным движением, например, на 10 пунктов столько же у EURUSD, когда курс был 1.0000, как и при курсе 1.5000. А не в 1.5 раза больше, как это должно было быть, если бы гипотеза об относительном подходе была верна.
Поэтому оценка корреляции на основании отношений двух инструментов видится тоже сомнительной.
You should read a textbook, it would save a lot of time and effort. You're breaking through an open door. You should count the logarithms of the price, not the price or the points themselves, and you'll be happy.
And there's only one correlation, the one that's academic. What you're making up is not a correlation, it's a cointegration. It is also academic.
Don't use terms you don't know the meaning of.
Похоже понятие "хедж" окончательно утратило свой первоначальный смысл..
...
Объясните мне пожалуйста, как говядина компенсирует риски по позиции "швейцарский франк"?
It's not the word that has lost its meaning, it's being misused here, like many other words.
Ты бы всё-таки почитал бы какой учебник, съэкономишь кучу времени и сил. Ты ломишься в отрытую дверь. Надо считать логарифмы цены, а не саму цену или пункты, и будет тебе счастье.
Ну и корреляция только одна, та которая академическая. То что ты придумываешь это не корреляция, это коинтеграция. Она тоже академическая.
Не надо использовать термины, значения которых тебе неизвестны.
Can I have a list of recommended readings? Correlation, cointegration - are these concepts related to probability theory? I don't want to start with wikipedia...
А можно список рекомендуемой литературы? Корреляция, коинтеграция - эти понятия относятся к теории вероятности? Не хочется начинать знакомство с ними из википедии..
This is from the field of time series analysis. Primarily financial. I do not recommend Wikipedia on this subject very much. I don't know why, but the articles on this subject are very weak.
There are a lot of different books. I personally like Market Models: A Guide to Financial Data Analysis by Carol Alexander . Of course, this is not the only textbook. There are a lot of them, and good ones too.
It is also useful to read academic articles. Many are available for free - Google or Google Scholar, -> Gatev, Vidyamurthy, Robert Elliott & van der Hoek - you should start reading about pairs trading with them.
Объясните мне пожалуйста, как говядина компенсирует риски по позиции "швейцарский франк"?
Read carefully the post from which the beef/frank phrase was taken. Wrote
Exactly to explain a little bit about how funds work. (Those that are looking for
spread systems). If after READING you don't understand, I'll explain again.
For some reason everyone likes to read and tear out just pieces of text.
Не пришло в голову =)
Похоже уже привык задавать все руками для надежности..
"...And rightly so!"
Really, at
int symb2Shift = iBarShift(Symbol_2, 0 ,iTime(Symbol_1,0,k),true); ( and further - when replacing Timeframe by zero)
Sometimes, the indicator slows down with the display of the second symbol in the current timeframe, or shows (for the second symbol) incomprehensible what!
So, - it's better to leave it as it is.
Although, maybe it's just me...