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Нужно сбалансировать лоты так, чтобы изменение золота на 5% и изменение серебра на 5% были равны в валюте депозита. Отсюда и нормализация на волатильность. Для золота 5% может быть 100 пунктов, а для серебра - 50.
What is there to balance? If the lot sizes are equal in dollars, then a 5% change in pledge and a 5% change in silver will result in zero change in the balance, as there has been no convergence/divergence. What do points and volatility have to do with it? Percentages are percentages.
You have to balance it if you want to decrease the effect of increased volatility of e.g. gold, so that 5% change in silver is equal to 10% change in gold. Then you have to trade gold to silver 1 to 2, again in dollars. But this is only a consequence of how you build the spread process - it's primary. Once you build the spread, lot sizes follow automatically, no tricky calculations.
timbo, умный человек, объясни мне зачем тогда в учебниках и статьях учат учитывать волатильность и стоимость пункта?
вот например отрывок из статьи:
чел написавший сие, вычислил среднедневной ATR за 6 недель и учтя стоимость пункта, выяснил, что FDAX и FESX должны соотносится в 1:5 лотам
причем этот банан (вот он кстати, Джон Нетто, президент между прочим):
did not say a word about cointegration, he just said that he uses instruments with correlation >0.9 to trade
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I personally still cannot figure out why one should consider volatility and why exactly
for 6 weeks and not 8 or 246? But it is a fact - even presidents LLC take volatility into account
Secondly, this formula is a kind of cointegration ratio calculation. He chose the period imperially, most likely, he just ran the test through history - such optimization. There is no guarantee that this period will be optimal in the future. Don't expect the open articles to give you detailed instructions for a profitable strategy.
Co-integration is a theory that explains why pairs trading is possible. Correlation is not necessary for cointegration. However, in reality, most financial products are cointegrated, and a high degree of cointegration goes hand in hand with high correlation. That is, by taking two instruments with a correlation of 0.9, you almost certainly get cointegrated instruments. I.e. he doesn't talk about cointegration, but he uses it anyway.
It would be interesting to see how he constructs the spread process. I'm sure he constructs the process 1 to 5 as well. Spread-process is primary, lots follow automatically.
вот например отрывок из статьи:
чел написавший сие, вычислил среднедневной ATRза 6 недель и учтя стоимость пункта, выяснил, что
FDAX и FESX должны соотносится в 1:5 лотам
причем этот банан (вот он кстати, Джон Нетто, президент между прочим):
I too (modestly) calculate and trade these instruments 1:5(but my price lines are with coefficients)
Во-первых, из приведённой формулы видно, что стоимость пункта нафиг не нужна, просто он меряет волатильность в пунктах, а потом переводит её в доллары. Если бы он мерял сразу в долларах, т.е. в данном случае в евро, то пункты бы не возникли. Это ненужная информация.
No, these contracts are both traded directly in euros (as far as I understand)
they are from Eurex, they are two European indices, they should be in Euros
it takes into account the point value per lot - it's exactly understandable, because
one FESX lot is not equal to one FDAX lot in euros - so it evens them out
what does volatility have to do with it?
i.e. in my opinion they should be taken as 1:2.5 because in eur the pip value per lot
FDAX = 25 eur and FESX = 10 eur.
I don't understand what it is like to build a 1:5 process.
but this is how it stands:
and actually here is this article, if anyone is interested, read
ZR rice - purple price line
El Niño natural phenomenon could harm rice crop in Asia:
"The spring rice crop in Southeast Asia is threatened by the impact of the El Niño natural phenomenon, which provokes storm formation, and the accompanying drought. That's the claim made by a spokesperson for the UN food and agriculture organization.
According to Concepcion Calpe, FAO's chief economist, the drought has taken its toll in Viet Nam, where the winter-spring rice crop is already being harvested.
According to Concepcion, the crop this year should increase significantly. But now there are fears that drought-induced reductions in water inflow from the Mekong and Hongha rivers will cause serious losses
Thailand, the world's largest rice exporter, has lowered its harvest forecast to just under 6 million tonnes, down from a December forecast of 8.2 million tonnes.
Recall that last spring Thailand's recurring crop was 8.4 million tonnes."
ZC - green
ZW - blue
ZS - red
ZM - brown
ZL - azure.
в еврах стоимость пункта на лот
FDAX = 25 eur, а FESX = 10 eur
I looked it up in B., and it's not like that at all.
point value:
for FESX = 10 eur.
for FDAX = 12.5 eur.
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I don't get it.
is it because B. CFDs and not real futures?
What makes this John think FDAX is worth twice as much?
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maybe it's about normalisation?
This John, when he builds the spread, normalizes the relationship between the instruments
(if you read the article, pay attention to section 6.2 "Normalizing the Ratio between Two Markets")
as he writes to make it clear "which market outperforms the other"
Сег. утром, вот сейчас - обнаружил, что ночью внаглую, бесцеремонно была закрыта SELL ZWN0 без всяких предупреждений и извещений.
2010.03.12 17:28 sell 0.08 zwn0 494.00 0.00 0.00 2010.03.16 04:04 493.25 -0.80 0.00 0.00 3.00Please use previous contract
Now in B. there is no such possibility....