Not the Grail, just a regular one - Bablokos!!! - page 384

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Aleksander:

how is that not good? - We have two trades in the leg - 1)Evra Sell and 2)Cross Buy...


OpenClose1 - CurrentPoint1 + ZeroClose3

this exactly reflects the current position - Openclose1 =

and Currentpoint1 - Current price of EUR - so profit is equal to = sale price - (minus) the current price - and we add this profit :) to the profit of the cross - we get the total profit of both financial instruments - Delta - Equity ...

what's wrong with that?

You are comparing the current price to the exact same price plus the increment. but the correct way to do this is to add the increment to the previously memorised value to get the same price as the current price and then, yes, look for the delta. if the delta is not zero, then there is already something to aim for, arbitrage.

or not?

 
Renat Akhtyamov:

You are comparing the current price to the exact same price plus the increment. but the correct way is to add the increment to the previously memorised value to get the same price as the current price and then, yes, look for the delta.

or not?

not the current - see there in the text - the current TIME[0] price - and the price of opening a trade = TIME[i] - where i is the number of the bar to open the trade.... and this is not the ZeroClose3 increment - but the already calculated profit/loss of Cross on the 0th(current) bar...

 
Aleksander:

not current - see there in the text - Current TIME[0] price - and the opening price of the trade = TIME[i] - where i is the number of the bar opening the trade.... and this is not the increment of the Zeroclose3 - but the calculated profit/loss of the Cross on the 0th(current) bar...

ok

just in case, compare what I suggested with what you have:


 
khorosh:

If I understand correctly, 1.0 and 0.5 is if we trade EUR and GBP. And if we trade EUR+cross and GBP+cross, we should calculate the volatility coefficients for the major and the cross accordingly. Or did you give the coefficients specifically for the cross?

  //------------------------------------------------------------------ 
  // Расчет ценовых коэффициентов путем масштабирования
  // обратно пропорционально текущей цене
  kPrice1=100; 
  kPrice2=kPrice1/iOpen(Symbol2.Name,0,0)*iOpen(Symbol1.Name,0,0); 
  kPrice3=kPrice1/iOpen(Symbol3.Name,0,0)*iOpen(Symbol1.Name,0,0); 
  //--------------------------------------------------------------------  
  // Расчет соотношения объемов для торговли.
  // Рассчитываются не абсолютные значения, а относительные, приведенные
  // к первому инструменту. При определении абсолютных объемов, исходя
  // из выбранной модели управления капиталом, следует сохранить 
  // рассчитанные пропорции.
  
  double volA1=1, volA2=EMPTY, volA3=EMPTY,     // Объем, рассчитанный по волатильности
         volP1=1, volP2=EMPTY, volP3=EMPTY,     // Объем, рассчитанный по цене открытия
         var1;
  int    mul1=1, mul2=1, mul3=1;                // Коэффициент удвоения опорного инструмента

  // Если будет использоваться волатильность, рассчитываем объемы по волатильности
  if((VOL.Mode==2 || VOL.Mode==3) && 
     iBars(Symbol1.Name,0)>VOL.PeriodATR &&     // Достаточно ли баров в истории для расчета волатильности?
     iBars(Symbol2.Name,0)>VOL.PeriodATR &&
     iBars(Symbol3.Name,0)>VOL.PeriodATR) {
    var1=volA1*kVol1*iATR(Symbol1.Name,0,VOL.PeriodATR,1);
    volA2=var1/kVol2/iATR(Symbol2.Name,0,VOL.PeriodATR,1);
    volA3=var1/kVol3/iATR(Symbol3.Name,0,VOL.PeriodATR,1);
  }
  // Если будет использоваться цена открытия, рассчитываем объемы по цене открытия
  if(VOL.Mode==1 || VOL.Mode==3 || volA2==EMPTY) {
    var1=volP1*kVol1*iOpen(Symbol1.Name,0,0);
    volP2=var1/kVol2/iOpen(Symbol2.Name,0,0);
    volP3=var1/kVol3/iOpen(Symbol3.Name,0,0);
  } 
  

Hmmm... look for Leonid's indicators

//| Copyright © leonid553, Son_Of_Earth | Ind_x_Line

i think there were his threads and indices on this forum - he used several methods to normalize the prices/lots... - I don't want you to get bogged down with it - at least you can use lots search :)

 
Renat Akhtyamov:

ok

just in case, compare what I suggested with what you have:


mm - brackets in arithmetic operations are OBLIGATORY - it's not about multiplication

OpenClose1 - (CurrentPoint1 + ZeroClose3)


More correctly it was (OpenClose1 - CurrentPoint1) result Eura + ZeroClose3 (result Cross)

 
Aleksander:

mm - brackets in arithmetic operations are OBLIGATORY - it's not about multiplication

OpenClose1 - (CurrentPoint1 + ZeroClose3)


More correct was (OpenClose1 - CurrentPoint1) result of Eura + ZeroClose3 (result of Cross)

I'll try it both ways, then we'll see.

But with my variant the strategy is completely different: arbitrage, we have current and calculated price, that is more than enough for working with just one pair and without martinis, I hope.

 
Renat Akhtyamov:

I'll test it both ways, and then we'll see.

But according to my variant the strategy is completely different: we have arbitrage, we have current and calculated price, it is more than enough for working with one pair and hopefully without martini.

a new strategy - is the statement khorosh: - which suggested using not Two legs - and all FOUR - such as why work only on skhops - add there and sliding - and all will be happy :)

So, 1 and 3 legs work (2 and 4 are "resting") - and vice versa 2 and 4 are working - then 1 and 3 in loose...


In total, the first leg of the eu - cross - pound and added legs pound - cross - eu

Then work will be Eurasell + Crossbuy + FUNTSELL + Crossbuy - well, sort of like this :)



ZS - with one pair you'll get bogged down... martinis don't help :) - we are pair trading :) the signals for trades are given by Pairs...

 
Aleksander:

a new strategy - is the statement khorosh: - which proposed to use not Two legs - but all FOUR - like why work only on skips - add there and sliding - and all will be happy :)

So, 1 and 3 legs work (2 and 4 are "resting") - and vice versa 2 and 4 are working - then 1 and 3 in loose...


the total of the first legs EUR - cross - pound and added legs pound - cross - EUR

then you will work EURASELL + CrossBAY + FUNDSELL + CROSSBAY - like this :)

ZS - with one pair you'll get bogged down... martinis don't help :) - we are pair trading :) trading signals are given by Pairs...

I've got 28, I've got it already, by the way, without the moose.... and i said i could do more, it doesn't change the strategy.

the intellectual hunger makes you go further

you have a very good idea, but i remember a plus dickfix that left a lot of unsolved puzzles

I hope that one of them is the one we took apart today, which is how to get one pair through the other two.

Thank you!
 
Aleksander:
on the option of the current bar... purely for further checks, the indicator writes a log of pseudo-transactions performed - and then EAs quickly run in the tester on the options of time and instruments set to control the results obtained by both the indicator and the EA...

Is this necessary to skip any inputs from the pseudo-transaction log?

 
Dialog22:

Is this necessary to skip any inputs from the pseudo-journal?

No - it's just that in the MT tester there is a model "by opening prices" - it processes the flow of All trades quite quickly - faster than potiqo - and this way - by Minutes or 5Minutes you run it and see what the results will be...

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