Pair trading and multicurrency arbitrage. The showdown. - page 62
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Cointegration is an expensive crap with wildly low statistical significance for trade. Cointegration was profitable only when the Nobel Prize was paid.
Stat. arbitrage is not about stationarity. I defined it above.
by way of reflection and brainstorming:
The cloud is a rather nice, moderately well-fed ellipse. The current count is moving around it, you could say rotating.
For any window, the centre of the ellipse (motion/rotation) never coincides with the origin. This is a generalised trend, which also flickers when the window is shifted, but with a smaller relative magnitude.
Like a matryoshka doll, or like a vortex if you imagine the third dimension.
Since they are all nested in each other with explicit degrees, you can take ln or sqrt again to remove nonlinearity :-)
an ellipse will still be an ellipse, just more "rounded".
but how to interpret the observations in the "rounded ellipse":-)
Also to interpret.
After all, the scatter diagram shows a linear relationship, and something else.
No matter how many times you take ln, the diagram will show a linear relationship of the input data.
Probably don't understand each other. But I'll go on a bit.
As I wrote above, it is required to achieve plusing of a flat TS.
As a particular solution to such a problem, we assume that we need a high K K between two rows a[i] and b[i]. Then at high KK the new row c[i] (= a[i]/b[i]) will be a kind of flat oscillation around some level. The higher the KK, the stronger the fluctuation, but the lower the amplitude. In trading language it means that there are a lot of small trades. That's why one tries to take a high QC, but not too high.
But this is just a mathematical partial solution, which is used because of the ability to calculate the QC relatively quickly. In fact, no QC has nothing to do with it. A flat TS can make money even on the quotes in the form of a trend. The QC approach is too strong narrowing of the set of solutions.
actually we are talking about the same thing :-))
on any timeframe, it will be the same sampling pattern:
only the nuances will be different. Spread, ellipse thickness and position/drift of the centre.
when on the senior timeframe the current indicator is in quadrant (I) (III) on the junior timeframe there is an inverse correlation. The closer to the diagonals, the modulus is closer to 1.0.
But in order to visually, instrumentally compare different TFs, it would be good to transform them so that they are on a common scale on one chart.
Thesolution of the problem implies not only finding fragments of high CK, but also finding it in time (better in advance) and some hope that it will remain sufficient for trading for a long time
Friends, does anyone have a complete list of currency pair bundles with inverse correlation? Can anyone share? I would be grateful.
XXXXUSD and USDXXX. Don't thank me
Thesolution of the problem implies not only to find fragments of high QC, but also to detect it in time (better in advance) and some hope that it will remain sufficient for trading for a long time
Bajan. No, it's a cliché.
XXXXUSD and USDXXX. Don't thank me
Thanks ) And except USD with other currencies
Thanks ) And apart from USD with other currencies
AUDXXX-XXXAUD, EURXXX-XXXEUR.....
AUDXXX-XXXAUD, EURXXX-XXXEUR.....
Thanks ) I was wondering if anyone has a ready-made one. XXXEUR is which ones?
Thanks ) I was wondering if anyone had one ready. XXXEUR is what kind?
Put any currency instead of XXX.