Question on pair trading. - page 2

 
Roman.:


By the way, you and I have discussed this topic at length.
 
faa1947:
By the way, we had a detailed discussion about it.


I do not remember it. I'm just about to start writing an owl (variants) on the subject, that's why the references are "on my ears..."

I remember the last time you and I were on the same side of the barricades in the "Chicken Little Room" to discuss the outcome of the "rabid pYO$d" case. :-)

 
Roman.:


I don't remember something. I'm in the process of writing an owl (variants) on the subject, that's why the references are "on my ear..."

I remember the last time you and I were on the same side of the barricades in the 'Chicken Lounge' to discuss the outcome of the 'rabid pYO$d' case. :-)

Yeah and that too.

Yeah, sorry. There was another man Leonid, but it seems to be the same subject.

 
faa1947:
Entry on a deviation from zero. stationarity says it is bound to return to zero. This is a proven fact. Entering on a currency pair is a TA option, nothing is known about the future. Maybe you will make a profit for 10 years, maybe you will sell out tomorrow.

I asked you how stationarity can help in determining the correct entry point, and you told me about the Yeroma. I am not excited about the fact that the pairs will converge at some point. I am more concerned if I will get a smaller drawdown than in cross trading, if the entry was premature and pairs begin to separate again after a false initial cointegration. My opinion is that pair trading has no advantages compared to cross trading in case of a false entry.

 
faa1947:

Yeah, that too.

Yeah, sorry. There was another man Leonid but it seems to be the same subject.


Thanks. Haven't seen these posts of yours and Leonid's. I'll have a look...

 
khorosh:
Dear experts and fans of paired trading, please explain and justify mathematically what is the advantage of EURUSD buy entry and GBPUSD sell entry over a single EURGBP crossover entry. And is there any advantage at all? - I personally have my doubts in this matter. If there is no advantage, it turns out that using currency pairs that have one currency in common (in the above example is USD) does not make sense in pair trading?
If the volumes of transactions in both pairs are balanced, then there really is no difference (the difference is negligible), it is easier to use cross. But if one of the pairs is taken in excess of the other, then the difference will be evident.
 
khorosh:

I asked you how stationarity can help in determining the correct entry point, and you told me about the Yeroma. I am not excited about the fact that the pairs will converge at some point. I am more concerned if I will get a smaller drawdown than in cross trading, if the entry was premature and pairs begin to separate again after a false initial cointegration. My opinion is that pair trading has no advantages compared to cross trading in case of a false entry.

You do not understand the meaning of the word "stationarity". I have nothing to add. This word says it all, it has the answer to your question.
 
Meat:
If the volumes of trades in both pairs are balanced, then there really is no difference (or rather, the difference is negligible), it is easier to use a cross. But if one of the pairs is taken in excess of the other, then the difference will be noticeable.

So it's clear that the shares of instruments should be determined based on the different values of the instrument points. That's how it is done in the pair trading. Or based on other factors
 
Meat:
If the volumes of trades in both pairs are balanced, then there really is no difference (or rather, the difference is negligible), it is easier to use a cross. But if one of the pairs is taken in excess of the other, then the difference will be noticeable.
I certainly assumed in my question that the lots are correctly calculated.
 
Meat:
If the volumes of trades in both pairs are balanced, then there really is no difference (or rather, the difference is negligible), it is easier to use a cross. But if one of the pairs is taken in excess of the other, then the difference will be noticeable.
How is this difference not a cross?