Spread trading in Meta Trader - page 96
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Я как раз рассматривал этот вопрос. Это, конечно, не арбитраж, но точно - пэйртрейдинг)))
Вот, основной инструмент - EURUSD, второй - инвертированный USDCHF, третье окно - виртуальный кросс,
четвертое - расчет эквити в пунктах, пятое - собственно дельты.
Instead of USDCHF you can take 6S futures (almost no difference) - then you won't need to invert it.
I just didn't quite understand (due to my lack of intelligence) how equity is calculated ?
Вместо USDCHF можно взять фьюч 6S (разницы почти нет), - тогда не нужно будет инвертировать его .
Я только (по скудности ума) не совсем понял - как вычисляется эквити ?
Right. The inversion was written specifically to test EURUSD and USDCHF. But it is not needed, both on currencies and on CFDs there are plenty of "straight" pairs.
Equity is calculated as the profit in points for one symbol + profit in points for another symbol. The calculation starts from the vertical line, where, depending on the conditions, one instrument is sold, the other one is bought. The spreads are taken into account. The histogram is drawn. It is clear that it is parrots and boars adding, but if the lots are close and the instrument sizes are equal, the figure says something. In case there are real orders, equity is also calculated in the deposit currency.
By the way, do you have any other ideas how to calculate equity?
Информация к размышлению - 2.
Лучше в Б. держаться подальше от инструмента CC, ибо при открытии позиции получается убыток, сравнимый чуть-ли не с размахом дневного движения цены. Тож самое и при закрытии позиции.
Вот так "хитро" настроены в Б. аск и бид тикера по этому инструменту против цены Ласт.
Возможно, в др. ДЦ это тандем ( С+СС) будет работать более корректно.
!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
Once again I want to warn - stay away from this "tandem" in B. !
On the contest demo account at current values of sell CCH=+2400$ and buy C=-1560$ (lots=3:4)
position CCH=+2400 closed with result = +1650$
but trying to close buy C=-1560 - price jerked to "-1757" and the answer came back as "MARKET CLOSED !
Like this...
Hi all. I have been trading "grains" on my real account for the most income so far.
Here's some useful material on seasonal trends ZS+ZM+ZL, ZS-ZW
as well as part 2 of the article on ZW+ZC spread trading (July-December)
Also, there is part 1 of the article on spread trading ZW+ZC (Jan.-June) in the "Val. speculator" magazine 1-2001 - those who need it will find it.
Information for thought :
BRNJ0 + CLJ0, - before the evening (18:30 Moscow time) US commodity news release
I came to the conclusion that adding parrots to boars is not a good idea. And equity should be counted in currency and build a histo from that.
This is very clear when working with USDCHF and USDDDK - the charts correlate very predictably, but the point value is so different,
I have found that folding makes no sense. With a large profit in folded pips there may be a loss in currency.
When investigating differences in trading currency pairs and CFDs, profits on currency pairs come out more interestingly...
But there the question remains - isn't it easier to trade crosses:)
I keep digging into the subject.
Пришел к выводу, что складывать попугаев с удавами не стоит. И эквити надо считать в валюте и строить гисто от этого.
.....
Продолжаю копать тему.
Is it necessary to build an Equity line (histogram) at all?
Isn't the price line + the Delta line (histogram) enough ?
This is very clear when working with USDCHF and USDDDK - the charts correlate very predictably, but the point value is so different,
that it makes no sense to add them up. With a large profit in stacked pips there may be a loss in the currency.
Open with different lots with a ratio equal to the value of points.
The primary idea is to use the correlation or more exactly the possibility of cointegration.
The equity visualiser allows you to quickly examine the chosen tandem and understand it.
Then, I have an equity trawl there.
About the lot - I do, but visually, when calculating equity in pips, it looks awful)
As part of my research on this topic I have thought of a research indicator. The indicator makes virtual trades. Trades are entered subject to achieving a specified delta (divergence of instruments). Exits are calculated for the specified number of bars forward. The analysis of all possible outcomes on each bar on TF M1 is carried out and the maximum profit and maximum loss trade is taken. And these maxima are entered into the indicator. In the picture above, entries at delta=0, i.e. on every bar! Histogram - the maximum profit and loss that would be achieved during the next day - 1440 bars on TF M1. The picture shows that we would have made profit regardless of the bar we entered. It turns out that we do not need the delta as such. (don't rush to argue - this is not the final statement). In addition, we can see that we would have been in the negative zones as well - it means that if we reversed the instruments, these losses would have turned into profits... This indicator can be inverted - the instruments can be swapped. You get almost a mirror image. So, theoretically, we can almost on every bar enter 2 differently directed hedges - buy gold/sell silver and sell gold/buy silver. And just wait for, for example, a day or even less (there is no need to wait so long - profits will appear faster) to close first one hedge, and then the second one, with back profit.
There are, of course, pitfalls, e.g. one closed on the plus side and the other continues to be in the red... But this can be limited. And the number of profitable hedges should exceed the number of unprofitable hedges significantly, the main thing is to analyze in what sequence the price converges and diverges, so that both would be closed with a given profit. We should not try to take 500$ from each hedge, two purple lines limit the area of 100$ and 99% of deals will go both ways, so they are profitable.
Now about the influence of the delta. Here's a screenshot below where entries are limited by delta=100. It can be easily seen that regardless of the delta value, at any bar we enter when it is =100, the maximum possible profit will be 1.5 times larger than the possible maximal loss within a specified amount of bars. It means that an entrance at an extended delta is more stable, though one can reach the bottom by a reverse directional gesture, for example at $100.
These are my thoughts. This is not a statement, but rather an idea for discussion. Opinions would be appreciated!
Spreads and commissions are taken into account.