For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 17

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Folks, I'm done talking about Recycle. It's not the one I came here to discuss: read the first post.

Would like to get the benefit of the discussion, not engage in "pivoting" etc.

 

OK, it's hard, on the fingers ....

let's make it even simpler - do you agree that the balanced EurUsd and GbpUsd trades are a reflection of the EurGbp cross...

then make Buy EurGbp and Sell EurGbp - lock - WHERE is the hesitation there???????

 
Do you want me to give you the login password where the Locked position of three FIs has been hanging since September 11... and there is no such fluctuation there (apart from the reduction of equity due to swaps)
 
There are fluctuations, but small ones. The work of pure arbitrage is based on large fluctuations.

P.S. No more questions or misconceptions about simple things. There has to be at least minimal mutual benefit from the discussion.

 
hrenfx:
There are fluctuations, but small ones. The work of pure arbitrage is based on large fluctuations.

P.S. No more questions or misconceptions about simple things. There has to be at least minimal mutual benefit from the discussion.

And rightly so!
 
hrenfx, have you figured out mt4R? Very interesting if R can be exploited in mt4.
 
  1. From here install R 2.12.1 for Windows (37 megabytes, 32/64 bit).
  2. Download R for MetaTraderfrom here. From the archive transfer files to the appropriate folders: \experts\libraries\mt4R.dll, \experts\include\mt4R.mqh.
  3. Download common_functions.mqhfrom here and put it in the appropriate folder: \experts\include\common_functions.mqh.
  4. Download Arb-O-Mat and Trend-O-Mat from here as examples. Place it in the appropriate folders: \experts\arbomat.mq4, \experts\trendomat.mq4.
  5. In the downloaded examples, enter the path to Rterm.exe:
    // Мой путь к Rterm.exe: "c:\Program Files\R\R-2.12.1\bin\x64\Rterm.exe".
// Обратите внимание на направление слэша при задании пути.
// Также добавьте к пути еще " --no-save".
#define RPATH "c:/Program Files/R/R-2.12.1/bin/x64/Rterm.exe --no-save"

Result of Trend-O-Mat example:

 
hrenfx:

You probably know more about the indicator than I do. The indicator shows synthetic, not equity.

Construct the equity by weighting and find 10 differences.


Hrenfx:
Take a DC with a fixed spread, open a "ring" and observe how the equity fluctuates. These fluctuations are visible.
"When Correlation = FALSE, the practical part of optimal synthetic Recycle weights are shown. These weights reflect volumes of corresponding financial instruments in the synthetic trade..." - from the description of Recycle ( practical application).

I built Recycle for three Instruments and used weight coefficients as a number of lots of each Instruments to build an Equty for this synthetic:

According to the idea Equty synthetic should be in horizontal channel, but it is not so for some reason.

I do not know what I am doing wrong or maybe I do not fully understand the meaning of the indicator.

I am not asking for criticism, I just want to understand and understand how the indicator works.

I duplicated this post at Recycle because hrenfx finished talking about Recycle in this thread (but you can't escape it anyway).


 
hrenfx:
  1. From here install R 2.12.1 for Windows (37 megabytes, 32/64 bit).
  2. Download R for MetaTraderfrom here. From the archive transfer files to the appropriate folders: \experts\libraries\mt4R.dll, \experts\include\mt4R.mqh.
  3. Download common_functions.mqhfrom here and put it in the appropriate folder: \experts\include\common_functions.mqh.
  4. Download Arb-O-Mat and Trend-O-Mat from here as examples. Place it in the appropriate folders: \experts\arbomat.mq4, \experts\trendomat.mq4.
  5. In the downloaded examples, type in the path to Rterm.exe:

The result of the Trend-O-Mat example:

This is all self-explanatory, described in detail and on the well-known forum linked in this thread.

Whether the regression analysis is correct in relation to the issues discussed here, is a fit, but the indicator offered by 7bit on the FF forum is much more usable from my point of view than Recycle. I repeat: I don't know if Arb-O-Mat and Trend-O-Mat calculations are correct, if these calculations are applicable to trading or it's just a fitting, but using these indicators is quite easy and convenient.
Mathemat, R can be exploited in MT4. If 7bit does it, why not hrenfx, Mathemat, .... further down the list. I have already addressed on that forum to hrenfx to make it Recycle in mt4R.


 

In this case, R (written in fast C++) is orders of magnitude slower than Recycle, which is written in slow MQL4.

R is a universal statistical tool and therefore it cannot be optimized for specific tasks, as it is in Recycle.

Recycle on MQL4 is superior to Recycle on mt4R in all respects.

The use of regression analysis is a fit.

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