Not the Grail, just a regular one - Bablokos!!! - page 46
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Well, it's a well known TS from Leonid. It doesn't work that way, on a strong trend the losses (or stops), like in May Eurojusd on D1. Perhaps Alexander has somehow improved this approach. By the way, Alexander, would you mind taking a look?
"what's worthwhile there"? It seems to be on your subject. Taken from the net.
/* decompiled deleted */
No, it's not a system from Leonid, but it looks like one.
(...why are you all looking at EAs written by someone else, you can't think of a better human thinking EA.)
Draw any spread you want, stabilise the spread equidistant channel with the choice of instruments and their volume indices. At the top of the channel - sell, at the bottom - buy.
The intensity of one or three iterations of deals on the spread a day.
Stops, trills, ticks - to your liking...
At first glance it looks like pure statarbitrage on identified "patterns". MM only for the initial calculation of a market-neutral position. MM which helps to win a coin (random walk) has not been noticed. But this is at first glance, maybe it is used, to correct entry/exit moments when there are manipulations with several "basket positions".
While the author is somewhere and something busy, I will try to suggest the principle of obtaining the results of the author, because sometimes I use spread arbitrage, although I am an adherent of classical arbitrage with stops, etc.
1. In my opinion, the first and key thing is cointegration, which will form a trading channel. This is expressed in the fact that the chart of simultaneous movement of currencies itself is scattered and chaotic. Co-integration can be done visually by flipping the currencies on the relative motion chart, by throwing out anyone that does not fit into the channel we are aiming for. Once we have achieved the desired goal, we obtain a narrowed channel, which for some time will move in one direction or another simultaneously, in this channel we can hedge and have a higher probability of convergence of spread pairs.
2) Now about the highs and lows, why we take them according to my estimations: theoretically the pairs being on the border of this channel are situated in the overbought and oversold zone respectively and it is very likely that sooner or later the market will start to equalize them, i.e. a long-expected narrowing of these pairs in the channel will begin, or the movement of these pairs will be so strong that they will lead to wider channel, necessary for our profit.
3. The alignment of the value ratio of the pairs involved is a common procedure that you do when setting the number of lots.
4. The direction of the channel will tell you whether you are buying the spread or selling. Take into account the currency reversal, respectively, which you did when you co-integrated the instrument set.
5. One little nuance (about which I asked the author in previous posts, whether he takes correlation into account). Here it is more likely that he has approached it from the other side. The classic way of all spread traders is to choose well-correlated pairs. Judging by the ejections on the equity graph I may suggest that Alexander chooses pairs not on the boundaries of correlation maximum and minimum but within them. It means that the correlation is present but not very strong - perhaps from 30 to 70% and this is an incentive for taking profit as we will not lose on strongly correlated spreads but we will not obtain profit either.
So, it's possible to do this:
- make a synthetically integrated channel
- select the extreme pairs
- at convergence, we sell or buy outermost pairs of the spread, depending on the direction of the channel (look for the average movement of the channel)
- on the deal - cover the spread
Another mystery to me is how Alexander using this system has a 0.1, 0.5% drawdown.
Most likely he meant the balance drawdown as the convergence may change the trend and this drawdown is a consequence of correction of market entry while the equity will be flying heavily which is a measure of the strategy drawdown.
The only wish is for a small (market) spread, so that the costs are not too high.
At the beginning of the entry an integrated channel may consist of some pairs, at the time of the next entry it may consist of others (imho)
there are 12 pairs) it's all nonsense :) you need to look for entry points - write them in your Expert Advisor, and I don't know how
and here on the demo there are 4 pairs, no entry points, it works for a week
I started to think multicurrency half a year ago, but i cannot go far without programming, i have many ideas