Pair trading and multicurrency arbitrage. The showdown. - page 143

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Maxim Kuznetsov #:
only the lower digits can change during the day.
sell the middle one, buy the rest.

Then it is more logical to sell what is above 500 and buy what is below.

Your Cap.
🤷‍♂️
 
Sergey Gridnev #:

Then it makes more sense to sell what's above 500 and buy what's below.

Your Cap.
🤷‍♂️

Nah, they'll be shaking at 500, you'll have a hard time reversing positions...

 
Maxim Kuznetsov #:

No, they'll shake at 500. You'll have trouble turning the poses.


You can add a certain sensitivity threshold.
 
Sergey Gridnev #:

You can add some sensitivity threshold.

and when crossing 0, too ? :-)

it would be identical to trading on round levels, and objective reality says that there are no round levels.

 
Maxim Kuznetsov #:

MEGA strategy...

Three currencies (for convenience - all kinds of USDXXX)

USDCHF 0.88304

USDCAD 1.36880

USDSEK 10.49114

only the lower digits can change during the day, so we consider everything extra as a constant and ignore it.

304,880,114

we sell the middle one, buy the rest (or vice versa or unfold according to schedule/atr) ... volumes are weighted by real prices

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in principle you can have fun with all/any :-)

For some reason I remember a perestroika joke about dead chickens and Mikhail Sergeyevich with lots of ideas)
 
Maxim Kuznetsov #:
and when passing through 0 too ? :-)
So it is not only the lower digits that can change.
:)
 
Aleksey Nikolayev #:
For some reason, I remember a perestroika joke about dead chickens and Mikhail Sergeyevich with a lot of ideas).

Without Vimpocetine? Praise be to you, praise be...

if the anecdote doesn't contain swear words, why not tell it?

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by the way, a MEGA-strategy is no different from trading just on the lower TFs. Except for the fact that it is very mechanical

The principle of "ignore higher digits" is quite reasonable and is used everywhere.

 
Aleksey Nikolayev #:
I was not lazy to look at all triangles (56 pieces) of eight major currencies. All fluctuations are significantly less than triple spread, no prospects.
+
 
Aleksey Nikolayev #:
I was not lazy to look at all triangles (56 pieces) of eight major currencies. All fluctuations are significantly less than triple spread, no perspective.
Exactly!
Arbitrage on the triangle is an attempt to catch inefficiencies of the quoter; and there are none.
 
Roman Shiredchenko #:
;-) watching and learning.......

I remembered what I was looking for the balance for ;))))

when the balance is found, you flip the dollar ones and you have pair trading.

// I've been looking for so long, I forgot what it was for ;))))))


buy chifa, sell eva

arbitrage pair trading in all its glory!

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