Pair trading and multicurrency arbitrage. The showdown. - page 149
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No. If the movement on the overlay was 400, point value 1.25 (400*1.25). Then how much will this movement be if you transfer it to a chart where the point value is 1.00 (400*1.25/1.00)?
We need to transfer all the charts into one coordinate system.
If we move the chart with the cost of point 1 to the chart with the cost of point 1.25, then 400*1/1.25.
Anyway, I solved this formula.
And as I understand from Renat's screens, he himself solved it not quite correctly.
Since on his screens the zero state line of the system is noisy, i.e. with errors.
In my case, the line (orange) of the zero state at each step gives zero without errors.
As I expected, it will give alignment, i.e. symmetry relative to zero.
By and large, the same thing is done by the volatility alignment, only a little less symmetrical.
Here is the application of this formula. The symmetry is clearer relative to what I posted earlier, that's all.
Anyway, I solved this formula.
And as I understand from Renat's screens, he himself solved it not quite correctly.
Since on his screens the zero state line of the system is noisy, i.e. with errors.
In my case, the line (orange) of the zero state at each step gives zero without errors.
As I expected, it will give alignment, i.e. symmetry relative to zero.
By and large, the same thing is done by the volatility alignment, only a little less symmetrical.
Here is the application of this formula. The symmetry is clearer relative to what I posted earlier, that's all.
Anyway, I solved this formula.
And as I understand from Renat's screens, he himself solved it not quite correctly.
Since on his screens the zero state line of the system is noisy, i.e. with errors.
In my case, the line (orange) of the zero state at each step gives zero without errors.
As I expected, it will give alignment, i.e. symmetry relative to zero.
By and large, the same thing is done by the volatility alignment, only a little less symmetrical.
Here is the application of this formula. The symmetry is clearer relative to what I posted earlier, that's all.
Instruments (currency pairs) do you know?
Anyway, I solved this formula.
And as I understand from Renat's screens, he himself solved it not quite correctly.
Since on his screens the zero state line of the system is noisy, i.e. with errors.
In my case, the line (orange) of the zero state at each step gives zero without errors.
As I expected, it will give alignment, i.e. symmetry relative to zero.
By and large, the same thing is done by the volatility alignment, only a little less symmetrical.
Here is the application of this formula. The symmetry is clearer relative to what I posted earlier, that's all.
Yeah, cool.
what are the pairs on the screen?
I have some noise as not all pairs are giving a balanced quote at the same time.
some time head server counts on the way or delays on data transfer from server to terminal, but the noise is real, it will be so and it is right ;)
ps
In principle, your calculation is suitable to continue further.
now try to see with your own eyes on real trades that equity fluctuates back and forth at most by the total spread and it will go on like this almost forever ;)
it takes quite a long time (several weeks) for equity to jump off the balance, you will see why it happens.
If your calculation is correct, it should not be too difficult to realise such a thing.
Then get the zero line (it is the current equity) to go up, then you will understand the strategy.
It will be purely mathematical.
And then, as it were, sew money bags.
You see, you've smoothed out the noise and you've got the joints.
Anyway, I solved this formula.
And as I understand from Renat's screens, he himself solved it not quite correctly.
Since on his screens the zero state line of the system is noisy, i.e. with errors.
In my case, the line (orange) of the zero state at each step gives zero without errors.
As I expected, it will give alignment, i.e. symmetry relative to zero.
By and large, the same thing is done by the volatility alignment, only a little less symmetrical.
Here is the application of this formula. The symmetry is clearer relative to what I posted earlier, that's all.
sew moneybags.
Roman, will you be able to use your invention on Forex?
In this variant the strategy is similar to Alexander from babblokos, in fact I tried to reproduce that calculation.
But I don't know yet, I need to think in what direction to refine it.
Instruments (currency pairs)?
EURGBP GBPUSD EURUSD
see, smoothed out the noise and got the joints
Yes, it's not clear why they are there, I haven't looked into it yet.
Yeah, it's not clear why they're there though, haven't looked into it yet.
I've got the noise down to zero.
and the noise is there, it's real and it's normal.