For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 38
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Good afternoon.
The branch owner was talking about the instability of constructed spreads. I.e. OutofSample all properties of a "stationary" spread are lost.
Here is an example of a spread I built. Pairs included in the spread: USDJPY,EURUSD,GBPUSD,EURGBP.
Plot of the spread:
OutofSample:
As we can see, over 1000 reports, the spread has not changed its structure so drastically. Taking into account the recalculation of weights, for example every 10 reports, you can use the spread.
Good day. Eugene please advise what program you use to build spreads .
Or can someone from the forum advise where to find a suitable spread building software with possibility to set weights by instrument and then display basket graphs on different timeframes....
Good day. Eugene please advise what program you use to build spreads .
Or can anyone from the forum suggest where to find suitable software to build spreads with the ability to set weights by instrument and then display basket charts on different timeframes....
https://forum.mql4.com/ru/28176
Good day. Eugene please advise what program you use to build spreads .
Or can anyone from the forum suggest where to find suitable software to build spreads with the ability to set weights by instrument and then display basket charts on different timeframes....
I use a proprietary software. I cannot say anything about third-party software.
1. the author is rightly against averaging when figuring out the correlation, but he calculates his coefficients by the average, i.e. in a machkoobrzazno way. Meanwhile, if the parity value of the currency appears, it is not without reason, and it is not without reason for a long time, i.e., it is not necessary to average, it should be taken for granted, in other words, the divergence in life must not necessarily be accompanied by convergence, but if you average, you will inevitably face the opposite, which does not exist.
2. The weights of the currencies themselves count against each other. That is to say, we sheep are looking at each other, and in spite of detractors who are a little bit not sheep but horses, we run, in general, though chaotically, but in the same direction, like, here it is, the history of the flock. What about the shepherd and the arbitrage dogs?