Finding the Natural Relationship of Currencies - page 3

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Sergiy Podolyak:


There is no 'all markets' day off today.
 
Дмитрий:

Granger, not Granger.

He was analysing the stock market of the 60s, not forex in the 2000s.

There is no combination of currency pairs in forex that gives a stationary residual.

Wrong, plenty on 50-100 bars
 
СанСаныч Фоменко:
Wrong, plenty on 50-100 bars.

On any number of bars there are plenty. It's only on the story.

Forward spoils everything.

 
Дмитрий:

On any number of bars there are plenty. It's only on the story.

Forward spoils everything

A life of a long term. What matters is whether we manage to make a profit during this time. We should also calculate the thresholds correctly. If you take the average, it does not work.
 
Andy Sanders: ...  It is desirable that the enumeration of possible combinations is non-linear, more precisely, it should include linear (X1 + X2 + X3) and non-linear (X1 / X2 + X3 ^ 2) combinations.

Broke my brain.

How do you imagine trading this combination in practice? Very interesting for example the interpretation of the operators "+", "-" and "*", "/" in the same "combination". What is the meaning you put into these characters?

P.S. X1 ... Xn are currency pairs right?

 
GaryKa:

Broke my brain.

How do you imagine trading this combination in practice? Very interesting for example the interpretation of the operators "+", "-" and "*", "/" in the same "combination". What is the meaning you put into these characters?

P.S. X1 ... Xn are currency pairs right?

What is not clear here? "+" is buy, "-" is sell.

 
GaryKa:

Broke my brain.

How do you imagine trading this combination in practice? Very interesting for example the interpretation of the operators "+", "-" and "*", "/" in the same "combination". What is the meaning you put into these characters?

P.S. X1 ... Xn are currency pairs right?

You have the synthetic AUD/USD/EUR/USD = AUD/EUR.

You hypothesise that this synthetic is dangling inside a horizontal channel and is now at its high (near the upper limit of the channel). You play on the synthetic's decline and instead of one synthetic sell position you open two positions on the two pairs AUD/USD and EUR/USD

 

This is an example for simplicity of perception.

Now imagine a synthetic of not two but five pairs

 
Дмитрий: ...  This is an example for ease of understanding.

Explain to me for example X1 + X2/X3 in terms of bought/sold? In the synthetic description, are there both '+' and '/' (additive and multiplicative operators) at the same time? What does the author mean by that?

 
GaryKa:

Explain to me for example X1 + X2/X3 in terms of bought/sold? In the synthetic description, are there both '+' and '/' (additive and multiplicative operators) at the same time? What does the author mean by that?

Well, if your synthetic, according to your hypothesis, is near the upper limit of the channel and should go down, then you sell x1 and x2 and buy x3.

And the operators affect the lot size - obviously the lot sizes of x1 and x2 or x3 will be different

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