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I did not use the correlation coefficient. I have visually selected several pairs for arbitrage entries at timeframe 15 and work in the following way:
...Leonid, could you measure the correlation coefficient for the main instruments you trade with this script and post the results?
You may use the interval from 01.09.2011. This data would be interesting. I have always been interested in this kind of information.
Leonid, could you measure the correlation coefficient for the major instruments on which you trade with this script and post the results?
You may use the interval from 01.09.2011. This data would be interesting. I have a very good Expert Advisor for BRNF2. Thank you.
The default date is from 1 September. :
SIZ1-GCZ1, M30, K=0.9354
EURGBP-DXZ1, M15, K=-0.0040
EURGBP- USDCHF, M15, K=-0.4130
EURUSD-USDCHF, M15, K=-0.8742 (for single trading EURCHF)
======================
BRN - HO =1:1 (Brent oil - fuel oil), M15, K=0.8531
BRNF2 history - only since the end of October
The default date is from 1 September.
SIZ1-GCZ1, M30, K=0.9354
EURGBP-DXZ1, M15, K=-0.0040
EURGBP - USDCHF, M15, K=-0.4130
EURUSD-USDCHF, M15, K=-0.8742 (for single trading EURCHF)
======================
BRN - HO =1:1 (Brent oil - fuel oil), M15, K=0.8531
history on BRNF2 - only from late october
===========
Here is another metal spread option for short-term trading, it seems. Correlation on m30-n1 is more than 70 per cent. We need to look at the history and observe it online. The last few entries on the chart on divergence of price lines (and subsequent closing at the convergence point) were profitable here:
copper - silver, HGZ1 - SIZ1=2^1
Good afternoon everyone!
The next, 23rd issue of the Leprecon magazine - Leprecon review #23 - is now freely available.
http://www.lepreconreview.com/
The article "Techniques of seasonal trading,December,2011 " (p.60) contains promising mid- and long-term December paired (arbitrage) and single entries on multi-year seasonal trends of commodity and stock markets, available for review in MT4 trading platform !
==========
Good luck to all!
Good afternoon everyone!
The next, 23rd issue of Leprecon magazine - Leprecon review #23 - is freely available.
http://www.lepreconreview.com/
The article Seasonal Trading Techniques,December,2011 (p.60) offers promising medium and long term December paired and single entries on multi-year seasonal trends in commodities and equities available for implementation in the MT4 trading platform !
==========
Good luck to all!
Thank you Leonid. I will certainly familiarise myself with the material... No longer "probing" the availability of the new Leprechaun issue myself - keeping track of that branch, something you'll be sure to report here... :-) Studying spread trading. I am currently developing and testing EAs for direct trading based on fundamentals on SOT reports.
Regarding the seasonality of gold - Larry Williams in his book "Secrets..." writes:
This idea is not new. Inmy 1973 book How SeasonalFactors Affect Commodity Prices (How Seasonal Factors Influence Commodity Prices, Windsor Books), the first publication of its kind ondetecting the seasonality of commodities, I noted that every year due to theseasonal influence gold rises from about July and peaks in December. When you examine the monthly chart of long-term gold prices (Figure 13.9), remember that I wrote about seasonal influence more than 30 years ago.
...,
So December is strictly LONG.
It's a pdf of some kind. Can I have it in the studio?
This is a doc - _Larry Williams_Secrets of Trading in the Futures Market.doc.
The zipped archive is larger than 4Mb - it doesn't stick. See Sources, no. 1, at the end of this article...
Hello all. For "those who don't sleep"!
There is a good current entry in the commodity spread. At the opening of trading, in a few hours there is a reason to pay attention to the Brent oil - fuel oil spread(BRNF2-HOF2)! I have repeatedly pointed out that this spread in short-term trading is usually quite reliable!
At the beginning of the convergence of price lines in the bottom indicator window - a good short-term arbitrage entry SELL BRNF2 - BUY HOF2 = 1^1 at tf=M30 - the arrows showed:
(Hold a position until the convergence (crossing) of price lines, or until the turquoise line of the spread reaches the lower limit of the channel - in the upper indicator window! Buying fuel oil is better to be realized by placing a limit order, to avoid losses on the asc-bid).