Pair trading and multicurrency arbitrage. The showdown. - page 167
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Need help from the audience :-)
who ate the dog on DSP
why the weighted average calculated on a logarithmic chart with such weights (a piece of sinusoid) :
when transferred to a regular chart, it "lags behind" the quotes by only 1/4, when it should lag behind by half a period (plus/minus from fluctuations).
it is strictly symmetrical
In general, as I understood from all the scoops I wrote - there is nothing to do there without lot editing. You need synchronisation and competent output to boo. Closing in parts doesn't help, even with the plus of the starting lot.
order 30-50 pages back - lot/volume calculation is almost the most important thing.
And it's not simple by any means. Ln(x) of course brings the rates into more or less comparable figures, but they (currencies) are still different (which is not surprising).
For example, volumes are historically down by 100 with the Yen. Because USDJPY is like 1 usd for 100 yen, and the yen is fixed in the domestic Japanese market. And so on.
about 30-50 pages back in the thread - lot/volume calculations are almost the most basic.
And it's not simple at all. Ln(x) of course brings the rates into more or less comparable figures, but they (currencies) are still different (which is not surprising)
For example, volumes are historically down by 100 with the Yen. Because USDJPY is like 1 usd for 100 yen, and the yen is fixed in the domestic Japanese market. And so on.
No, it's not like that. Pairs float differently. So you need a different multiplier for the next lot = boo output.
No, that's not it at all. Pairs float differently. That's why you need a different multiplier for the next lot = boo output.
If you'll forgive me, Dreamer,
I'll reveal the "secret" of multiplying lots for booing on any pair:
You draw 2 parabolas. one parabola (plus a little) should correspond to the average position, after overcoming the second one you bring it there (you average it there with a reserve). Long, tedious, but always
see Bresenham's algebra for a parabola :-)
and yes, this is a purely mathematical study on a chart that has nothing to do with the market :-) well, the robot will go out in a year, for example, will it make anyone better? a year has passed, there is no profit.
there is also an economic study: if a robot considers only spread+comp+swap+slippages as losses and only cover them with martingale, then any chart will go up (for a while).
Need the hall's help :-)
who ate the DSP
Why is the weighted average calculated on a logarithm plot with such weights (a piece of sinusoid) :
when transferred to a regular chart, it "lags behind" the quotes by only 1/4, when it should lag behind by half a period (plus/minus from fluctuations).
it is strictly symmetrical
I asked myself, I answered myself...this one is from the logarithmic derivative.
give me a schnobel prize:
MathExp(sum(MathLog(x[i]*W[i])) where W[i] - weights normalised by 1.0, "lag" less than the usual MA on raw data x[i], because XXX
and the trick with sine-weighted weights goes well at all, because they have only the 3rd derivative (which is quite well known and actively used on the stock exchange) "significantly noisy" on the raw data,
and here one derivative was eaten, but the chart moved up.
No, that's not it at all. Pairs float differently. That's why you need a different multiplier for the next lot = boo output.
Roman Shiredchenko gave a link somewhere in this thread (there were 3 of them in his post). Here in the third one everything is described in detail.
Balance (approximate) for EURUSD EURGBP and GBPUSD can be obtained by lots 1-1-0.87(0.86).
Alexander has sort of strategy rules with stops. If three stops in a row, we don't trade this day anymore.
If the position weighs in plus and rollover is coming soon, we just close the position.
In general, it depends on invented rules, what algorithm you come up with for position maintenance will be the way it is.
read a little bit in private