Spread trading in Meta Trader - page 111

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Graalfx >>:

Понятно. Как я и предполагал твой индикатор не показывает реальную корреляцию,т.е. работает некорректно. Вот пример:

Спред(корреляция) между EURUSD и GBPUSD, является графиком EURGBP с точностью до пункта. Так что посмотрев на график EURGBP можно судить о том насколько правильно работают индикаторы рассчитывающие корреляцию между этими валютными парами.
Твой индикатор работает не верно. Другие не проверял... В любом случае нужно сделать как я говорил ГРАФИК КРОСС-КУРСА.


How much more accurate is there to repeat?

The spread indicator (EURUSD-GBPUSD) exactly repeats the configuration of the cross


 


gold/silver .... seems to work according to the indicator...

 
neoclassic: Thanks for the tipster! Just what I was looking for ! Here on Brent and WTI oil the synthetic pair is very "arbitrage". In the picture the red line is the BRN/WTI synthetic. The white line is sort of the average. If it rises above the white line - sell, below the white line - buy. But it is unclear, why WTI quotations at Broco are finished at 18th of February and no longer move. And the lower limit is only December 11. There is no arbitrage between gold and silver. (i.e. it's a myth that someone wrote before that they are correlated). Between wheat and corn - there is long term arbitrage, i.e. the synthetic chart is in a flat with a large amplitude, of several months. p.s. Speaking of arbitrage I mean statistical arbitrage, not direct arbitrage naturally.
 
I have done my research for myself and i have reason to believe that this is not the case.For example, if we had bought 2008.07.20 gbpusd and usdchf and sold gbpchf in equal lots, 2008.11.23 the loss would have been - 1055 pips, 2009.I checked all major currencies and crosses-results are almost the same-but in the end only gbpchf and audchf were in the black, the rest would have been in the red till now.
 
Graalfx писал(а) >>
Thanks for the tipster ! Just what I was looking for ! Here on Brent and WTI oil the synthetic pair is very "arbitrage". In the picture the red line is synthetic BRN/WTI. The white line is sort of the average. If it rises above the white line - sell, below the white line - buy. Constant, eternal flat, eternal profit. But it is not clear, why WTI quotations at Broco are finished on the 18th of February and never go further? And the lower limit is only December 11. There is no arbitrage between gold and silver. (i.e. it's a myth that someone wrote before that they are correlated). Between wheat and corn - there is long term arbitrage, i.e. the synthetic chart is in a flat with a large amplitude of several months. p.s. By arbitrage I mean statistical arbitrage, not direct arbitrage naturally.

>> where's the picture?

 
By the way, I can't insert the drawings at the moment because I'm using a proxy. My IP was banned when I tried to sell EA here. But now I have corrected myself and am having a normal conversation, can the admins unblock me? My banned username: Graalforex
 
Graalfx >>:
Вот по нефти Брент и WTI синтетическая пара очень "арбитражная" получилась. На рисунке красный график - это синтетика BRN/WTI. Белая линия - как-бы средняя. Если поднимается выше белой - продавать, ниже белой - покупать. Постоянный, вечный флет, вечная прибыль.

Screenshots please! :-)

Very interesting to all!

 




Here are 2 figures :

Correlation of BRNT and WTI oil, and correlation of Footsie and Dax. In both cases we get a stable flat. Oil is slightly better. The red chart is our synthetic currency pair.

 
You have to look at as long a period of history as possible. Even on H4 timeframe. You need to know for sure that the synthetic pair has never made a trend change and has been in a flat for the whole history - then the chocolate :-).
 
neoclassic писал(а) >>

Yes, that's how it is.

Any interesting synthetic instruments - write.

very good with 90% correlation ZBH0 and ZNH0,FGBMH0 and FGBLH0,FSTXH0 and FESXH0- only lot size should be matched to volatility

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