Spread trading in Meta Trader - page 169
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Statistical arbitrage can probably be tried on industrial metals from the MCX (India) because, unlike other global exchanges, there are quite volatile movements in metals - copper, aluminium, zinc, nickel and lead.
The size of the positions has been calculated by my GI - see comment in the right hand corner. It's not clear why - for some reason the comment has moved from the indicator window to the chart area. I still do not know why and how it happened. Not the point.
Here are the multi-year seasonal charts, which will help define the direction of positions a bit:
copper, aluminium, zinc, nickel lead.
Position sizes my turkey has calculated - see comment on the right hand corner.
Again problems with paltry history from Broco.
Such a great (at first glance) spread:
Well, there won't be much history there. Because March contracts (lead, nickel - n1) start to be liquid only from the last days of January.
There is enough history on the real server and it is well seen there.
I also built the spread using the formula: +0.27*ALUM -0.23*LEAD+0.96*COPP-0.84*NICK
Spread movement in the channel looks attractive. For some reason, there is no bounce from Feb. 4. - As you have.
Spread movement in the channel looks attractive. For some reason, there is no bounce from Feb. 4. - like yours.
Yes there are. But currencies tend to be capricious about seasonal statistics. Unless, for example, the Canadian 6C futures often follow multi-year trends.
The multi-year charts for currency instruments (and not only) are freely available at
http://www.spreadinvest.ru/
http://www.spreadinvest.ru/blog/2011-02-07-118 - currencies.
- The green vertical bar corresponds to the current week, so it is very convenient to analyse the current price movement in terms of seasonal trends!
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If you register there, you can plot various spreads directly on the site.
http://www.spreadinvest.ru/blog/2011-02-07-118
I do not know the reasons.
Ok. We'll figure it out...
hrenfx, I've been agonising all day today. From morning till afternoon. I cannot start calculation of positions by IND_Recycle2 indicator.
I downloaded it from the link in Code Base and put it on default chart. I put the symbol names. But instead of position size, there is a picture, see below. In different MT4.
Maybe, I need to set something else in the parameters?
Today we have a news release on US commodity inventories.
"Wednesday sees the release of another US oil and petroleum product stockpile data. Analysts believed the country's oil inventories rose by 2.25m barrels in the week to 4 February, while gasoline stocks increased by 3m barrels. Meanwhile, American Petroleum Institute (API) data released yesterday unexpectedly showed an increase in crude stocks of only 558,000 barrels. The number of gasoline in storage, according to the API, increased by 3.2 mln barrels, while distillates - fell by 538 thousand barrels. "C, - RBC.RU
XRB gasoline is now actively moving up against oil (spread indicator window on the chart) and against fuel oil. However, according to the forecasts of analysts and the API, there is a good reason for HOH1 to go up against oil and gasoline before the news!
We'll see there, closer to 18:30 Moscow timeframe. In the meantime, we wait ...
..... But judging from analysts' forecasts and the API's predictions before the news, there is a case for HOH1 fuel oil to stand up against oil and petrol!
In the meantime, we wait ...
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18:30:00 *Energy Department: US distillate stocks +0.288 million bbl to 164.366 million bbl
18:30:00 *Energy Department: US gasoline stocks +4.663 million bbl to 240.891 million bbl
18:29:59 *Energy Department: US crude stocks +1.898 million bbl to 345.057 million bbl
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I entered this spread about 5 minutes before the news came out. As expected - so far prices are heading in our direction.