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Hi all!
Currency versions of arbitrage tactics have been appearing on the forum lately.
This is a neighbouring thread by Reshetov - https://forum.mql4.com/ru/29786
Besides that, there were also versions of getch Expert Advisor - https://www.mql5.com/ru/code/9356
Some disadvantage of these versions is quite considerable current drawdown.
Often one has to wait for a long time for the loss to occur before the total "tandem" is in the black.
Can this biding loss be reduced to a reasonable minimum?
Here a crude idea concerning this question came to my mind - how to minimize possible current drawdowns in currency "arbitrage versions".
At least, start by writing an indicator.
For a start, take a look at the chart :
Here :
green line - EURSUSD price line,
Blue line - GBPUSD price line
Red line - EURGBP price line
And, finally, the purple line is the artificial "synthetic" EURGBP price line
I want to say right away that the purple line is calculated incorrectly, just by guessing:
Symbol4[i]=Symbol1[i]/Symbol2[i] ;
where symbols 1 and 2 are the values of the euro and pound price lines.
/---------------------------------------------
So,if we arbitrage two crosses EURGBP - one real (red line), and second - artificially calculated (purple line), maybe we can "squeeze out" something from this - see the above chart?
The only thing we need is to calculate and display the price line of our artificial cross smartly and correctly.
It's not difficult to calculate =EURSUSD/GBPUSD) . But to display the iMA(EURSUSD/GBPUSD.....,i) will be more difficult.
//-------------------------------------
I should add that using this tactic we will have three positions in the market simultaneously:
For example :
EURGBP buy + ( EURUSD sell + GBPUSD buy )
Respectively, we need to calculate the optimal lot size
Таким образом, если мы будем арбитражно торговать два кросса EURGBP - один настоящий (красн. линия), а второй - искуственно расчитанный (сиреневая линия), то возможно, сможем что-ниб "выжать" отсюда - см. график выше?
Absolutely nothing. It's proper, 100% honest arbitrage, guaranteed profits and no risk. All those tasty perks are eaten up by the big guys who trade non-MT and very, very fast. They do it so cleverly that modern financial science accepts as an axiom the impossibility of arbitrage, because if an arbitrage situation appears, it immediately disappears. All the deviations you can see will never exceed the size of the total spread.
Keep digging for statistical arbitrage, i.e. when the profit is statistically higher than the loss - maybe something will work out, and forget about real arbitrage - it does not exist.
All we need is to calculate and display the price line of our artificial cross in the window of the indicator intelligently and correctly.
It is easy to calculate =EURSUSD/GBPUSD) . But to display iMA(EURSUSD/GBPUSD.....,i) will be more difficult.
.
Why. If you don't "multiply by a convenient number" and you don't use "subtraction", you can't argue with R...k
Blue is "division",
green - iMAOnArray
Red - "fair mash."
In this case the "spread" was calculated for us by DC.(This sentence does not include my assessment of this "TS" !!!!)
Всем привет!
Посл. время на форуме появляются валютные версии по арбитражным тактикам.
Это соседняя ветка Ю.Решетова - https://forum.mql4.com/ru/29786
Кроме того, были еще версии советника от getch - https://www.mql5.com/ru/code/9356
Некоторый недостаток таких версий - это довольно значительная возможная текущая просадка.
Зачастую, приходится долго пересиживать убыток, прежде, чем суммарно "тандем" выйдет в плюс.
А можно ли свести к разумному минимуму этот пересиживаемый убыток ?
There is a more interesting option...
When trading a "basket" there is quite often a profit zone.
If you set your Expert Advisor to a certain profit %, it will close...
This is just observations so far, because it's a long time to wait for the real statistics,
But if you want, you may write an Expert Advisor/indicator that would log profit by tick.
You may use an indicator, but the accuracy will be less...
I am also trying to somehow call TS on the basis of a basket of tools and principle.
Dribbling, scattering, ...
;)))
Trying to call a TC based on a basket of tools and principle as well.
Dribbling, scattering, ...
;)))
spreads multiple legs?
:)
spreads multiple legs?
:)
Well, I'm more inclined to call it in Russian...
But "legs" has nothing to do with it, if only indirectly.
The general idea is this, a domestic exaggeration:
You take a handful of M&M's and open your hand over the polished table, the M&M's start bouncing,
and if you film the whole thing on a "fast" camera, you can see that at some points afterwards.
the number of momos going up is greater than the number going down... or vice versa...
That's how it is with the instrument positions.
And our computer will be the "quick camera" that will quickly understand that it's time to fix the profit.
;)))
By the way, - I'm going to give a little account of the "work done"...
A month (approximately) ago we (myself and leonid553) opened real mini accounts in several brokerage companies with the necessary set of futures in mt4.
We worked strictly according to the declared theme. Very strictly. Here is the (average) result - on one of these real accounts since Jan 22 up to now:
375675 2010.01.22 19:59 buy 0.01 zwh0 499.00 400.00 545.00 2010.01.25 17:01 502.00 -0.06 0.00 0.00 1.50
375680 2010.01.22 20:09 sell 0.01 zsh0 948.00 0.00 0.00 2010.01.25 17:01 945.25 -0.06 0.00 0.00 1.38
375858 2010.01.25 08:53 sell 0.01 eurusd 1.41402 0.00000 1.41000 2010.01.26 05:42 1.41000 0.00 0.00 0.00 4.02
378700 2010.01.28 16:33 sell 0.01 usdchf_exs 1.05300 0.00000 0.00000 2010.01.28 21:05 1.05124 -0.07 0.00 0.00 1.67
378615 2010.01.28 15:39 sell 0.01 eurusd 1.39790 1.44000 1.39200 2010.01.28 21:05 1.39823 0.00 0.00 0.00 -0.33
379529 2010.01.29 16:00 buy 0.01 eurusd 1.39175 0.00000 0.00000 2010.01.29 17:01 1.39032 0.00 0.00 0.00 -1.43
379519 2010.01.29 15:56 sell 0.01 eurusd 1.39101 0.00000 0.00000 2010.01.29 17:01 1.39068 0.00 0.00 0.00 0.33
379269 2010.01.29 10:07 sell 0.01 usdchf 1.04958 0.00000 0.00000 2010.01.29 17:01 1.05381 0.00 0.00 0.00 -4.01
379226 2010.01.29 09:42 sell 0.01 eurusd 1.39636 0.00000 1.38600 2010.01.29 17:01 1.39058 0.00 0.00 0.00 5.78
379606 2010.01.29 17:06 sell 0.01 usdcad_exs 1.06312 0.00000 0.00000 2010.01.29 17:53 1.06643 -0.07 0.00 0.00 -3.10
379605 2010.01.29 17:06 sell 0.01 clh0 74.23 0.00 0.00 2010.01.29 17:53 73.72 -0.06 0.00 0.00 5.10
379771 2010.01.29 19:00 buy 0.01 gcg0 1082.0 0.0 0.0 2010.01.29 22:1081.4 -0.06 0.00 0.00 -0.60
379772 2010.01.29 19:01 sell 0.02 nzdusd_exs 0.70433 0.00000 0.00000 2010.01.29 22:10 0.70132 -0.14 0.00 0.00 6.02
379944 2010.02.01 03:32 buy 0.01 eurusd 1.38612 0.00000 0.00000 2010.02.01 08:25 1.38941 0.00 0.00 0.00 3.29
379945 2010.02.01 03:33 buy 0.01 usdchf_exs 1.06191 0.00000 0.00000 2010.02.01 08:25 1.05974 -0.07 0.00 0.00 -2.05
379969 2010.02.01 08:30 buy 0.01 zsh0 910.00 0.00 0.00 2010.02.01 16:50 922.00 -0.06 0.00 0.00 6.00
379970 2010.02.01 08:30 sell 0.01 zlh0 35.83 0.00 0.00 2010.02.01 16:50 36.40 -0.06 0.00 0.00 -3.42
379968 2010.02.01 08:29 buy 0.01 zwh0 475.25 0.00 0.00 2010.02.01 16:50 482.75 -0.06 0.00 0.00 3.75
379967 2010.02.01 08:29 0.01 zch0 355.75 0.00 0.00 2010.02.01 16:51 360.00 -0.06 0.00 0.00 -2.13
380630 2010.02.02 09:14 buy 0.01 zsh0 908.00 0.00 0.00 2010.02.02 11:04 913.25 -0.06 0.00 0.00 2.63
380631 2010.02.02 09:14 sell 0.01 zch0 359.00 0.00 0.00 0.00 2010.02.02 11:05 361.75 -0.06 0.00 0.00 -1.38
381126 2010.02.03 03 04:04 sell 0.01 zwk0 503.00 0.00 0.00 0.00 2010.02.03 16:58 493.25 -0.06 0.00 0.00 4.88
381125 2010.02.03 03 16:04 buy 0.01 zmh0 273.6 0.0 0.0 2010.02.03 16:58 271.9 -0.06 0.00 0.00 -1.70
381714 2010.02.04 07:21 buy 0.01 zwk0 488.00 0.00 0.00 0.00 2010.02.04 17:30 486.50 -0.06 0.00 0.00 -0.75
381715 2010.02.04 07:22 sell 0.01 zmh0 270.0 0.0 0.0 2010.02.04 17:30 267.3 -0.06 0.00 0.00 2.70
382245 2010.02.04 17:33 sell 0.01 zsh0 906.75 0.00 0.00 2010.02.04 17:34 906.00 -0.06 0.00 0.00 0.38
382247 2010.02.04 17:34 buy 0.01 zsh0 907.00 0.00 0.00 2010.02.04 18:25 908.00 -0.06 0.00 0.00 0.50
382246 2010.02.04 17:34 sell 0.01 zlh0 37.04 0.00 0.00 2010.02.04 18:25 37.02 -0.06 0.00 0.00 0.12
382418 2010.02.04 20:49 sell 1.00 yhoo 15.22 0.00 0.00 0.00 2010.02.04 21:42 15.04 -0.02 0.00 0.00 0.18
382419 2010.02.04 20:50 buy 1.00 intc 19.05 0.00 0.00 2010.02.04 21:42 19.01 -0.03 0.00 0.00 -0.04
382314 2010.02.04 18:24 sell 0.01 eurusd 1.37575 0.00000 0.00000 2010.02.05 04:01 1.37141 0.00 0.00 0.00 4.34
382315 2010.02.04 18:24 buy 0.01 eurjpy_exs 122.780 0.000 0.000 2010.02.05 04:01 122.952 -0.07 0.00 0.00 1.92
383190 2010.02.05 20:00 buy 0.01 usdcad_exs 1.07652 0.80000 0.00000 2010.02.05 20:53 1.07298 -0.07 0.00 0.00 -3.30
383189 2010.02.05 20:00 buy 0.01 clh0 70.16 65.00 0.00 2010.02.05 20:53 71.20 -0.06 0.00 0.00 10.40
383812 2010.02.08 16:41 buy 1.00 ibm 122.43 0.00 0.00 2010.02.09 17:28 122.57 -0.18 0.00 0.00 0.14
383778 2010.02.08 15:50 sell 1.00 intc 19.34 0.00 0.00 2010.02.09 17:29 19.46 -0.03 0.00 0.00 -0.12
383779 2010.02.08 15:50 buy 1.00 ibm 122.00 0.00 0.00 2010.02.09 19:20 123.70 -0.18 0.00 0.00 1.70
383782 2010.02.08 15:52 sell 5.00 intc 19.30 0.00 0.00 2010.02.09 19:20 19.64 -0.14 0.00 0.00 -1.70
384642 2010.02.09 19:22 sell 0.01 zlh0 38.40 0.00 0.00 2010.02.09 20:02 38.57 -0.06 0.00 0.00 -1.02
384641 2010.02.09 19:21 buy 0.02 zsh0 925.50 0.00 0.00 2010.02.09 20:02 929.50 -0.13 0.00 0.00 4.00
385271 2010.02.10 15:41 sell 0.01 clh0 73.61 0.00 0.00 2010.02.11 12:15 75.15 -0.06 0.00 0.00 -15.40
385270 2010.02.10 15:41 buy 0.01 brnh0 71.81 0.00 0.00 2010.02.11 12:15 73.34 -0.06 0.00 0.00 15.30
385744 2010.02.11 13:15 sell 0.02 audusd 0.88774 0.00000 0.00000 2010.02.11 14:29 0.88831 0.00 0.00 0.00 -1.14
385743 2010.02.11 13:15 buy 0.01 gcg0 1079.3 0.0 0.0 2010.02.11 14:30 1084.8 -0.06 0.00 0.00 5.50
385954 2010.02.11 19:05 buy 0.01 clh0 75.25 0.00 0.00 2010.02.11 19:22 75.48 -0.06 0.00 0.00 2.30
385955 2010.02.11 19:05 sell 0.01 usdcad_exs 1.05064 0.00000 0.00000 2010.02.11 19:22 1.04940 -0.07 0.00 0.00 1.18
385720 2010.02.11 12:17 sell 0.01 zwk0 508.75 0.00 0.00 2010.02.12 17:06 497.50 -0.06 0.00 0.00 5.63
385721 2010.02.11 12:17 buy 0.01 zlh0 38.61 0.00 0.00 2010.02.12 17:06 37.61 -0.06 0.00 0.00 -6.00
386539 2010.02.12 17:27 sell 0.01 clh0 73.38 0.00 73.22 2010.02.12 17:41 73.34 -0.06 0.00 0.00 0.40
385962 2010.02.11 19:24 buy 0.01 usdcad_exs 1.04821 1.05000 0.00000 2010.02.12 22:30 1.05000 -0.07 0.00 0.00 1.70
385961 2010.02.11 19:24 buy 0.01 clh0 75.48 66.00 0.00 2010.02.16 16:01 76.40 -0.06 0.00 0.00 9.20
386660 2010.02.15 01:03 buy 0.01 usdcad_exs 1.05075 1.03000 0.00000 2010.02.16:01 1.04412 -0.07 0.00 0.00 -6.35
-3.03 0.00 0.00 57.97
The mmc's will start bouncing when they fall,
Agree that if the mmc's have the same properties (can't remember what and how they are called - hardness, dimensions, equally convex/convex) then they will bounce the same way. And the bridge (table/deposit) can collapse if a company of soldiers go head to head. (Again I can't remember the required number of pairs of clogs :()
Hence the need to look for "different mmkas". And here's the rub, if you only approach!!!! mechanically :(
That it's a long time to wait for real statistics
Yes, I remember AND your commitment to the "teak story" .... I'm not a believer :(
Well I'm somehow more inclined to call it in Russian...
In this context someone found (mostly on the foundation) a competent "handful of M&M's"
Согласитесь, что если у "ммок" одинаковые свойства (уж не помню какие и как называются - твердость, размеры, одинаково впукло/выпуклые), то и отскочат они одинаково. И мост (стол/депозит) может рухнуть если рота солдат пойдет в ногу. (Опять не помню требуемое количество пар кирзачей :()
Поэтому и надо искать "разные ммки". А вот тут о и загвоздка, если подходить только!!!! механически :(
I disagree!
Something about the bridge not collapsing... 1 и 2
And this is despite the fact that the toolkit is from a torch,
and the closing expert is... rollover...
:)))
Yes, I remember AND your commitment to the "teak story" .... I am not a believer :(
Sorry, remind me what we're talking about...
In this context, someone's found (mostly by foundation) competent "handful of M&M's"
And who and what prevents, before the next opening day, from doing at least a mechanical tehanalysis?
And on the basis of it pick up the number of instruments and directions of their opening...
ZS: I did not say this: we are talking about the daily work within the day.
I.e. we open at the beginning of the day and close no later than the end of the day.
day - rollover to rollover
Sorry, remind me what this is about...
Could be mistaken "in person" - it's been a year and a half or two since another spike in demands at MQ for teak history storage.
Just your phrase.
It's only observations so far, because it's a long time to wait for the real statistics,
But if you want, you may write an Expert Advisor/indicator that would log the profit of tick history.
I took it that testing in a tester is not suitable (same TesterCommander, etc.).
I have, so far the opposite experience (Of course, I understand that a negative experience only shows the subject's handicap and nothing more).
True, I have tried to look for correlated (by formula) "pairs".
In this sense Reshetov's idea from the "co-directed branch" seemed to me sensible - "correlation is when directions (straight line/beam) coincide". (exaggerating).
And who and what prevents, before the next opening day, to do at least a mechanical tehanalysis?
Eh :( brains :( not all "OnArray" work correctly. And all this with paired combination of all brokerage company instruments :( And how to realize "multiple-legged" analysis - even my brain does not comprehend.