Pair trading and multicurrency arbitrage. The showdown. - page 64
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It's not interesting from a single point. Imagine the same picture, but not for 1000 days, but for three hours. Now move this three hour window, in each one measuring the synchronicity. Then generalise this synchronicity. We end up with a picture of the dependence of one and the other.
here's a picture of the minutes. It's exactly the same.
even distant and quite different JPY, CHF are quite confidently linked.
all linked through the USD :-)
Almost simultaneously it is either bought or sold, some enter a little earlier, some buy/sell more.
all tied up through the USD :-)
almost simultaneously it is either bought or sold, some enter a little earlier, some buy/sell more.
What a strange conclusion. Replace all USD symbols with GBP symbols for example. Go further - replace all with XAU symbols or TRY symbols.
What a strange conclusion. Replace all USD characters with GBP characters, for example. Go further - replace all with XAU characters or TRY characters.
they are physically traded mostly through it...the volume of transactions in USD covers all the others like a sheep, that's why all perceptible rate fluctuations are from supply/demand of the quid.
they are physically traded through it mostly...the volume of transactions in USD covers all the others like an ox to a sheep, so all perceptible rate fluctuations are from the supply/demand of the quid.
Sometimes it's good not to be informed by someone.
It would be possible to draw up an indicator so that your neighbour could have it at hand at the same time,
but in 5, the further you go, the worse it is to work with other symbols and times. I don't even want to take it on - it is more reliable to transfer data to external databases and work with them separately
but in 5 the further you go, the worse it is to work with other symbols and times. I don't even want to take it on - it's safer to transfer data to external databases and work with them separately
It's amazing.
started sketching for mt5
Minutes
on top of USD
on the bottom of EUR.
already about 500 lines...at the same time it also glitches with history swap, non-market quotes, just with errors in the data (yes, CopyXXX from time to time return bullshit considering it correct) and missed bars....
when the bugs are corrected, all surges and turns will stand exactly one under the other, there will be no lags of different lines.
The general pattern is pretty obvious - any move is a USD move. Some react stronger, some weaker. The quid twitched, the movement started, you can scalp crosses.
PS/ by the way, I plotted the DXI index - it lies very close to the USD, it almost coincides and therefore it can be considered as a "synthetic USD" or a multi-currency basket for flat strategies.
started sketching
Has anyone tried paired trading with stops?
Everywhere there are only over-sitters, either averagers or martingale traders.
I have never seen statistics of paired trading with stops.
I mean total stop loss in % of deposit, not a specific price stop.
A little bit fixed...
EURUSD M30
further - currencies against EUR (dollar - white)
and currencies against USD (euro - orange).