Econometrics: bibliography - page 12
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Repeat as much as you like. You'll realise how misguided you are when you get to practice without using "shamanism", as faa1947 accurately pointed out.
Watched it, a long time ago. There wasn't even a single unit of price measurement there, what's next to look at?
Picture a graph of the value of the same portfolio for at least a couple of months.
As for your example in principle - paired currency trading is nonsense. Count your positions in each of the currencies involved and you'll see that your position is not even close to neutral to the market.
As for the six-month chart, I have already written it before - let me repeat it.
It is proven that no money management can provide profit on series, where it is impossible to build an algorithm with positive expected payoff without MM.
Or, in the wording of sand:
here is the result of trading with fixed lot
and that... no money management will save the result? :-) - martingale does not apply...
because I had only to stop trading after each negative transaction
- I don't know how to use MM in real trading ... but I don't know how to use MM in real trading ...
how the picture changes :-)
just the same - trading with a fixed lot... without increasing ...
an EA working on the principle of paired trading is used... It's freely available on the Internet...
oppa... I told you - the advisor is freely available on the internet - download it and see how it enters/exits and which chart is used....
If you really don't have the heart to wiggle your fingers - here's the link
http:// forexsystems .ru /avtomatizaciya-torgovogo-processa-mql4/67808-avtomatizaciya-parnogo-treidinga.html
There you can find an Expert Advisor and charts and instructions on how to do things...
SZS - there's also a topic on the forum with 6000 posts dedicated to discussion of pair trading - find the link on your search ...
For example, I've written a six-month chart before - I'll repeat it.
Nope, money management will not save you, but it will increase your risks and help you withdraw faster :)
And in the last example of money management you cited, I recommend to pay attention to drawdowns. Playing with stops will not change the expected payoff (which is negative).
Co-integration is the basis of fooling around with correlated data. Take any highly "cointegrated" spread before 2008 and compare it to it after that date. What about smaller time scales? Traders used to be fooled by randomness and now the scientific fooling of cointegration has been added to that as well. Brilliant.
No, there is nothing wrong with cointegration, which cannot be said about the market in 2008. Co-integration was disrupted by the structural changes that took place (some companies went bankrupt, some went gold - hence the changes).
Co-integration and correlation are fundamentally different concepts, one can exist without the other. So scientifically it's OK :)
Why? did the calculations, not bad for EURUSD <-> GBPUSD
So you need to trade EUR/GBP.
The portfolio-dynamic should be, it is so, as a supplement.
Is there a mathematical apparatus for such things? How would you estimate the cointegration vector?)
Sort of deleted some of the flubber - not just from NeColla. Something from Aleksander was sensible - I kept it.
oppa... I told you - the advisor is freely available on the internet - download it and see how it enters/exits and which chart is used....
If you really don't have the heart to wiggle your fingers - here's the link
http:// forexsystems .ru /avtomatizaciya-torgovogo-processa-mql4/67808-avtomatizaciya-parnogo-treidinga.html
There you can find an Expert Advisor and charts and instructions on how to do things...
SZS - there's also a topic on the forum with 6000 posts dedicated to the discussion of pair trading - find the link on your search ...
You should put the bot, indicators and a short description here. No one will poke around in that thread. I've been to that site from time to time and checked that thread, it's hard to understand anything, but I figured out that the latest version is 4.
It gives nothing, only words, links and those are broken, instead of books there are covers and incomprehensible charts.
http:// forexsystems.ru /avtomatizaciya-torgovogo-processa-mql4/67808-avtomatizaciya-parnogo-treidinga.html on this link there is a branch, but it does not make sense and what and how it works too, where to put the bot on which pairs, kh.z. (He is not a good teacher in general))). If they had said clearly and precisely this is how it works, they have a strict formalization of the bot's input and output, but so far they have none, it's all a load of crap.) Reshetov at one time like a similar bot posted (spreader or something called), something I vaguely remember.