For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 37

 
Meat, I completely agree with you. But agree that you can only get a stable synthetic on instruments that are really related to each other. And not on instruments that had a time dependence at the time of synthetic construction, or in other words, a false correlation.
 
MrTick:
Meat, I completely agree with you. But agree that a stable synthetic can only be obtained on instruments which are really related to each other. And not on those which had a time dependence at the time of synthetic construction, or in other words a false correlation.

Yes, absolutely. And there are not many such instruments in principle. Typically, it is the spread between a commodity and a derivative product, such as oil versus gasoline, or soybeans versus soybean meal. Or the spread between competing products of the same group, where higher prices for one product encourage consumers to switch to another cheaper product. I.e. the foundation is clear.

As for currencies (which are usually the focus of research here), I'm not sure about any stable relationship (unless you count direct arbitrage between a cross and a synthetic cross). The same goes for stock indices. Yes, there is correlation between indexes, but we are interested in correlation between prices, and indexes are calculated with different formulas, and their composition is different, and also it changes from time to time. Stability is hardly possible there. That's why I think it makes sense to look for correlations only between prices of specific stocks.

 
Reshetov:
Don't you have enough brains to calculate and check that *JPY pairs prevail and *EUR pairs do not exist at all? It's a proverbial secret.


Took pairs as for T101, recalculated so that the portfolio would give a breakeven within the last 20 trading days.

There are different sets of pairs on the Internet. I have found the most stable and profitable set of pairs that I have seen.



N Currency
pair
Recommendations Volume
в
lots
Yield
pair
over 20
trading
days
1CHFJPYLong position - Buy21.431620135234212.74%
2EURCHFHedged pair - Buy16.686475966418133-5.79%
3AUDJPYLong position - Buy10.6835433731765740.73%
4GBPUSDOut of portfolio0-2.93%
5NZDJPYOut of Portfolio0-4.97%
6CADJPYHedged Pair - Sell0.399453508390361641.01%
7GBPCHFShort position - Sell0.9561560972820414-5.08%
8GBPJPYShort position - Sell1.574226671486249-2.49%
9EURGBPShort position - Sell2.554480679806155-0.75%
10NZDUSDShort position - Sell5.552322078792001-5.41%
11EURUSDShort position - Sell6.714637847198822-3.67%
12EURJPYShort position - Sell6.727503681058021-3.21%
13AUDUSDHedged pairs - Sell7.3916257716947570.26%
14USDJPYHedge Pair - Sell19.327954189462680.48%


The idea of this portfolio is to open simultaneously all these pairs in the lots and directions specified in the recommendation. And then, using a special advisor, which closes all of them when the specified profit is achieved, lock in the profit.

What do you mean about the special Expert Advisor mentioned in your post?


 

good afternoon! installed R and arbomat, but it (arbomat) for some reason does not want to work...... advise how to configure correctly

i have followed the instructions, i have created the path, expert is smiling in the corner, but no reaction, nothing happens

the expert log shows "initialized"

what should happen?

maybe the arbomat is not working on weekends?

 
transcendreamer:

good afternoon! put R and arbomat, but it (arbomat) for some reason does not want to work...... advise how to configure correctly

i have followed the instructions, i have created the path, expert is smiling in the corner, but no reaction, nothing happens

the expert log shows "initialized"

what should happen?

maybe the arbomat is not working on weekends?


the ticks are not running, so it's not working.
 
alsu:

so the ticks aren't coming, that's why it's not working.


I can't figure out why there's a tick check at all.

and the funny thing is, I can't get it out of there......

 
transcendreamer:


I can't figure out why there's even a tick check.

and the funny thing is, I can't get it out of there......


Try it Monday.
 
the arbomat is an indicator, but it is implemented in the form of an advisor)))) that's what causes all the problems))
 
I wonder if Rterm runs? I don't run on 7/64 . Version R 2.15.3 .
 
vlad1949:
I wonder if Rterm works? It doesn't work on my 7/64 system. Version R 2.15.3 .


It ran and worked for me.

make sure the paths are correct, especially the slashes.

don't forget common functions and dll in libraries