Spread trading in Meta Trader - page 25
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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.
You completely missed the point of my post that you quoted. That's a completely different point there...
As for the rest: to avoid confusion, there are two different concepts: spread trading (statistical arbitrage) and pair trading. There are many similarities between them, but there are also differences.
The first requires correlation, the second does not.
This topic is about spread trading, but you can mix it up with pair trading too.
About using logarithms for determining the interdependencies between trading instruments:
It is common to examine trading instruments that have the same (fit by coefficient) cost of price change. As a rule, this value changes insignificantly but still.
But it is possible to study trading instruments that are denominated in different currencies. For example, EURJPY and GBPCHF. The exchange rate of the profit currencies also changes. For example, it is CHFJPY.
Additive and multiplicative spreads can be investigated. Using the same example, additive spread = EURJPY - GBPCHF * CHFJPY, multiplicative spread = EURJPY / (GBPCHF * CHFJPY).
For convenience, the multiplicative spread is considered in logarithmic scale: ln(EURJPY / (GBPCHF * CHFJPY)) = ln(EURJPY) - ln(GBPCHF) - ln(CHFJPY). Hence the logarithm.
But all this is only a matter of convenience and research methods of trade instrument relations. Therefore, they are not fundamental. Neither is the importance of the role of correlation and cointegration concepts. We are still talking about the research of interrelationships, and the domestic manipulation of strict mathematical definitions reduces the discussion more to the practical side than to the academic one.
int symb2Shift = iBarShift(Symbol_2, 0 ,iTime(Symbol_1,0,k),true); ( и далее - при замене Timeframe нулём)
Replace zero with Period().
Okay! Thank you! It helped.
Bottom window:
Curious "correlation" of EURUSD (red MA) with oil futures - CL, BRN
Basically, the euro is falling faster than oil. And rises slower.
EURUSD (light green line) and Gold (red line)
FUTSI - DAX
Here is the current situation. You can see that the maximum convergence of the indices was seen today shortly after the opening of the London session = -5080 pips, - by Fduch-a, the lower indent
At the same time the Dax(turquoise) was below the Futsi(bright green) - see top indictor.
It was a good moment to enter (buy Dax + sell Footsie).
At the moment we see the maximum price divergence, about = -5465 points.
That said, the turquoise Dax is just above the green Footsie.
Let's try to sell Dax and buy Footsie now (- if I'm not mistaken), and see what we end up with tomorrow.
Or maybe we'll get something today -
, thinly or thinly - to close....
This is the situation now :
Roughly, = +$15 (including asc and bid ticker prices)
But, of course, we will wait for a more substantial result.
Wheat+Corn.
Now, here's a good entry seen on today's story. Buy ZW + Sell ZC on corn peak ZC (green line).
Moreover, after the maximum convergence (-136.85) - green line ZC suddenly, as ordered, crossed downwards the blue line ZW and remained below the blue one until the end of the divergence.
And the spread at the same time, went down to -145.65 !
Seems B. has weekly US news reports on the calendar for grains, dairy, etc. We should keep track of how the "economic" market reacts to this news.
One last post, before bedtime...
This is how the market 'went' in the US session today -
FDAX
FTSE
YM (mini DJ - red)
ES (sp500)
FCE (french SAS)
NQ (NASDAQ)
GC (gold)
EURUSD
Interestingly, gold (yellow) and euro (dark green), - on the last bars went against all indices - up !
Вы совсем не уловили мысль моего поста, что процитировали. Там речь идет о совершенно другом...
По остальному: чтобы не было путаницы, есть два разных понятия: торговля спредом (статистический арбитраж) и парный трейдинг. Между ними много общего, но есть и отличия.
Для первого варианта необходима корреляция, для второго - нет.
Тема, вроде, о торговле спредом, но можно и парную торговлю намешать...
So what's the difference according to your version? And have you read the alternative versions or are they your "original" developments, like "I'll call it a hedge..."?