Spread trading in Meta Trader - page 19

 
ZEXEL66 >>:

Правильно ли я понял спрэд между парами евро/фунт и фунт/доллар-это фактически работа по паре евро/доллар? И если данная пара падает на 100 пунков, то и ваш хэдж

в сумме падает грубо на 95-105 пунктов?


Yes, I guess so.

The pair (Euro/Pound+Pound/Dollar) is an unfortunate choice for me. I don't think it's a "hedge" that should be used in such a trade.

So far I've settled on (audi+kivi), (euro+kivi), (euro/yen+dollar/yen), and am currently figuring out (euro/yen+pound/yen)

Probably, we may use a real hedge (EURUSD+USDCHF), entries may have the same names, but we have to know how to choose a moment of entry...

 
rid >>:


Да, пожалуй.

Пара (евро/фунт+фунт/доллар ) - выбрана мной неудачно. Не думаю, что это "хедж" следует использовать в такой торговле.

Пока я остановился на (ауди+киви), (евро+киви), (евро/иена+доллар/иена), и сейчас прикидываю (евро/иена+фунт/иена)

Можно, видимо, взять и настоящий хедж ( EURUSD+USDCHF), входы тут будут одноименные, - но тут ещё нужно сообразить - как выбрать момент входа...

Any such hedge of euro/lb+pound/dollar would be a failure. It could be written in a simpler way. It turns out that when you get

signal to enter such a hedge, you actually get a signal for EUR/USD. Then it's easier for you to immediately open on this pair.

pair. The spread + slippage will be much smaller. And the hedge itself can be used only as a signal.) But of course this is absurd.

Therefore (euro/yen+dollar/yen) and other pairs, in theory, will have the same result. I'd say so, but 100 grams of Xennessy at lunch

makes my brain a little foggy and does not allow me to be completely logical)

 
rid >>:


Можно, видимо, взять и настоящий хедж ( EURUSD+USDCHF), входы тут будут одноименные, - но тут ещё нужно сообразить - как выбрать момент входа...

In this case it will turn out that the whole time the 2 trades are open, you will have a constant 0 to -15 pips.

Spread sizes will immediately give a negative result, which will simply decrease or increase slightly.

 
rid >>:


Да, пожалуй.

Пара (евро/фунт+фунт/доллар) - выбрана мной неудачно. Не думаю, что это "хедж" следует использовать в такой торговле.

Пока я остановился на (ауди+киви), (евро+киви), (евро/иена+доллар/иена), и сейчас прикидываю (евро/иена+фунт/иена)

Можно, видимо, взять и настоящий хедж ( EURUSD+USDCHF), входы тут будут одноименные, - но тут ещё нужно сообразить - как выбрать момент входа...

There is a way out of course. This is working on pound/yen and e.g. NZ/lb pairs. This is for direct hedge.

But! Then we need to look for brokerage companies with tight spreads on these pairs, or better if we look for Karrens. It turns out that when you go in.

will still be in a small minus, having opened 2 pairs, but because of the very strong volatility of these pairs,

in some 1-2 seconds, you might see a profit on the screen and then you have to rush in

only because of the slippage it is not sure that you will see at least 1 pip.

 
ZEXEL66 >>:

Выход конечно есть. Это работа по парам фунт/йена и например новозеландец/фунт. Это для прямого хэджа.

This is a veiled trade on NZD/JPY. There is no headway between the real FOREX instruments. There are temporal correlations between the two pairs. Such as those described above. But these correlations just look like a flat on NZD/JPY.

 
getch >>:

Это завуалированная торговля на NZD/JPY. Хэджей между реальными FOREX-инструментами нет. Есть временный корреляции между двумя парами. Например, которые описаны выше. Но эти корреляции просто выглядят, как флэт на NZD/JPY.

Of course not. But I am explaining for programmers in the language they write. I am not a programmer. And I have a degree in economics, I understand the difference very well.

I described an example of how you can try to catch 1-2 points on this correlation.

 
ZEXEL66 >>:

Естественно нет. Но яже объясняю для программистов на том языке, как они пишут. Я не программист.

V(n)als. How do you sir know the language in which programmers write?

In general, I suggest you write nonsense in your branch, and in others to use your brains, at least a little.

Do not litter one of the few threads, which is really a lot of business.

 
TheXpert >>:

В ан(н)алы. Откуда вам сударь знать язык на котором пишут программисты?

Вобщем, предлагаю вам писать чушь в вашей ветке, а в остальных подключать мозги, хотя бы немного.

Не засирайте одну из немногих веток, в которой действительно много по делу.

Bullshit you write. The man published tests on the real. I asked him what would happen if the EUR/USD goes 100 pips in one direction.

Then answer me this question if you are so clever. Exactly, the topic is interesting. The only difference is that I trade spreads in real money and not with 0.01 lots.

The only thing I am interested in is spreads, I trade in real time, not in 0.01 lots and therefore I can give some real help.

 

EURJPY = EURUSD * USDJPY. To be more precise:

EURJPYbid = EURUSDbid * USDJPYbid

EURJPYask = EURUSDbid * USDJPYask

All synthetic options are described in (not advertising) Trade-Arbitrage Expert Advisor.

Spread trading between real FOREX instruments is impossible. They do not correlate. It is real between synthetic instruments, but that would be pure arbitrage.

There are plenty of correlated trading instruments in other (and between) markets. Finding correlated instruments is not an easy task (if computational resources are scarce).

 
I will try to shift the topic a bit towards formalising correlation. How to determine the correlation between two trading instruments? What is meant here is not academic reasoning with correlation coefficient tables, but the practical side - defining the correlation that is useful for spread trading.