Pair trading and multicurrency arbitrage. The showdown. - page 99
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here is from the beginning of the day (from 00:00 Friday).
This chart is interesting. On top I understand AUD NZD below USD CHF
The floating line in the centre - it basically gives nothing, because it is always zero.
I have an indicator, it remains to write a signal block according to these parameters :-)
I suspect that the data for signals from this indicator will be similar to SSFp.
Thanks for the link to Semyon Semyonovich's article in post #911, I think many who have not read it will be interesting.
His SSFp indicator freezes and is not suitable for automatic trading.
there are better indicators.
You can use this one as a basis for MT4.
This indicator has a little buffer confusion, so pay attention to what currency is in what buffer,
if you understand this, it is a good indicator.
If to deal with the cluster multicurrency indicator in terms of its verification
- i.e. to find out that it shows correct values,
to remove parameters and data from it
then there is a question of writing a signal block: with the data received from the indicator
and also algorithmic parameters in the form of formulas that are required to process these data.
I wrote there about 16 equations, calculation of channel width and share size,
but I am inclined to the fact that the change of amplitude is also an important parameter.
When there is "spaghetti" in the channel, all currencies go in parallel, there is nothing to catch there.
But when there is an impulse, the channel change rate increases (compression or stretching) - it is necessary to take into account this impulse.
The impulse has a frequency of Hz, which is calculated from the amplitude and time.
Besides, it is necessary to take into account that the impulse is not idealised, but there is its positive and negative value (the effect of a wave).
According to these impulses of dynamic influence - the theory is applicable to Forex, and it can be realised in the form of a coefficient of dynamism.
coefficient of dynamism is a variable parameter, it should be used in the formula.
And for each period there will be a different coefficient of dynamism and the unit price should be multiplied by this coefficient of dynamism to get the correct unit price.
The total coefficient of dynamism - it is common for the whole channel, and there is a coefficient for each currency separately.
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Without it, is it a variant where the baseline shifts to the left as far as it will go - to the oldest bar in history?
Without it - it is when the base point is shifted to the point of interest in the history. To see what was before and what became after.
You can take as a base:
* the most current 0 - then you can see how currencies came to what they are now,
* moments of currency fixings on exchanges (as a rule +30min, hour after opening)
* or 1-2 periods (day, week) ago
* an interesting moment found using window functions.
If you're interested in how the current rates look like from a currency investor's point of view 2018, it's like this:
Without it is when the baseline shifts to a point of interest in history.
Thank you, I see.
Thank you, I see.
After covid lumberjack skis, max taper was around 2021.
Let's take a look over there:
normal market workings - it makes a narrow parabola. (and what you see is a parabola.)
But unlike the classical, independent random walk - the "holes" are filled. Either by general narrowing of the beam, or by redistribution.
After covid logging skis, max taper was around 2021.
Let's take a look over there:
normal market operation - it makes a narrow parabola. (and what you see is a parabola)
But unlike classical, independent random walk, the "holes" are filled. Either by general narrowing of the beam, or by redistribution.
The next narrowing was around the beginning of this year, so I'll skip the screenshot.
and further on, the resolution of daily charts is insufficient (the previous ones are based on D1), it is worth moving to lower TFs.
and so on.
And to make such recursive iterations easier to carry out, you should also take the time scale Ln. Then not only all currencies will be on one chart, but also a retrospective with a smooth transition of timeframes
And here comes the @opa - in order to do such a thing and to be able to visually evaluate and read the chart, you need to prepare the data. If you just take Ln(t) for each point, you will have an expressionist's picture.
Hello all. I can align lots normally only starting from 0.1 with a gradation of 0.01. Accordingly, the depo is 100000 tugriks, cents or real.
Again all indices lie. I came back to my theory of using only price and divergence from the average. I'll post the results of my labours a little later. As tests will be finished. I think that's all for this year. Good luck in your endeavours and great profit.
V1 EURUSD-GBPUSD
A strange effect was obtained if I take the percentage of price movement of currency pairs as a basis. That is, I sum up all pairs, where there is the same currency in terms of the percentage of price movement.
As a result, the currencies are lined up evenly above each other, as in a seismograph
.