Spread trading in Meta Trader - page 222
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Благодаря Леониду, статьи к размышлению, в частности определения торговых критериев:
1. T. Pravdyuk - Applied Correlation.
2.T. Pravdyuk. Practice of steam trading. Part 1. Regression. 3.
3 T. Pravdyuk. The practice of paired trading. Part 2. Recursion.
P.S. Still - familiarizing myself with the material.
Ahh, I thought it was something new. It's personal. Although the links may be useful to other readers.
Not really on topic, but I think - the information will be useful to those here(excerpts from my seasonal review article):
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____ Dollar Index - October __________________
Let's look at the EURUSD situation today in light of the seasonal October outlook for the DXZ12 Dollar Index.
The Euro has an inverse correlation with the Dollar Index, for it is the "inverse" of the Euro that accounts for over 60 percent in this index! And these instruments "move" in "reciprocal" relation to each other.
Meanwhile, the October seasonality contributes to growth of demand for risky assets during the first two decades of the month. And accordingly - a decrease in the dollar exchange rate!
After Up-correction, that took place in the third decade of September, we assume resumption of seasonal fall of Dollar Index. Especially since the positive (mostly) current European news will contribute to demand for European currencies. In addition, global news agencies have largely shifted their attention from Eurozone problems to problems in the US.
Below is a graph of multi-year (5-10-15 years) seasonal trends in the dollar index DXZ12:
Further seasonal declines in the index are expected (average decline is up to 1.500 on the DX scale) and consequently a rise in risky assets(eurusd etc.) until the early 20s of this month!
The current DXZ12 situation is shown in the chart:
Note that the September seasonality of the Dollar Index worked very well, - "like clockwork"! Let's see what awaits us in October!
Good luck to everyone! --------------------- leonid553
Here is the archive with the expert indicator and inludes
I want to say right away that it is just an idea check draft, not ready-made solution
Here is a picture
AlpariFS-MT5 server
PS Pay extra attention to read comments in code.
I get a strange message when I upload - the folder has a wrong format or it is corrupted...
Re-download, please...
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The 32nd issue of the monthly Leprechaun magazine is now available.
http://www.lepreconreview.com/arhiv-jyrnala
The article PRIMES OF SEASONAL TRADING (October, 2012) p. 53. 53 - offers for consideration of promising mid- and long-term October pair entries on multi-year seasonal trends of some commodity and stock spreads, available for implementation in the MT4 trading platform of some brokerage companies. In addition, in response to numerous requests from our readers, we describe expected October-month seasonal movements of certain instruments in the commodities and stock market.
Here are just some of the anticipated entries:
(Good luck to all!)
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___Movements of commodity (oil) prices in October __
(fragments of seasonal overview)
Not so long ago it was thought that the holiday season in the USA ends in late August and early September and then the growth of commodities comes to a halt for a long time! However, in recent years there has been a slight seasonal upward trend in commodity prices from the first days of October!
Below is a graph of multi-year (3, 5 and 10 year) average seasonal trends in Light Sweet crude oil.
However, much more promising for medium-term October trading are the commodity products: XRB gasoline and HO heating oil (heating oil). The summer car season is over and demand for gasoline is down! People are preoccupied with current domestic problems. One such problem is heating in the coming autumn-winter period!
Consumers in early October continue to stockpile heating oil in advance - ahead of the coming winter. Therefore, in the first half of October, demand for HOX2 fuel oil usually outstrips demand for CL oil and XRB gasoline ! I should note that all of the above does not mean that the price of fuel oil will rise much. The rise (or fall) of commodity prices is largely due to the current world economic and political situation.
Again, the most interesting thing for us here is that we are absolutely indifferent as to which way the prices of raw materials will go! We are not interested in this! Because, here we can assume with great probability that, in any scenario, demand for fuel oil in October will outstrip demand for gasoline! In other words, the price of fuel oil will rise faster or fall slower than the price of gasoline! Thus, we have the following rationale to work in October. Since the middle of the first decade of October we will look for a technical opportunity to buy HO fuel oil and sell XRB gasoline at the same time!
That is, we buy fuel oil - gasoline spread: BUY HOX2 - SELL XRBX2 = 1:1 (November contracts).
Let me remind you that here (in contrast to the Forex market) the spread is not called an asc-bid, but a paired transaction, consisting of two opposite positions opened on related instruments. Such commodity spreads are much better seasonal, more reliable and less risky than single entries!
The average profit potential of such a October paired entry is up to +800 pips (ticks) on the commodity derivatives scale, that is approximately +3000 dollars per 1 contract spread (i.e. per 1 contract paired position)!
A graph of the 15-year averaged) seasonal trends in the HO-XRB=1^1 spread is shown in the figure:
You should hold the positions until the first days of the second decade of October. Or until you reach a total profit of +800 points (ticks) on the commodity derivatives scale. However, the fuel oil-banzine spread is a sufficiently volatile instrument, which allows (with some skill) working here on pullbacks by short-term (1-3 days) entries with small targets up to +150/+300 points of profit on the sum of two positions!
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(leonid553, analyst at Pantheon-Finance)
Invest777: - you forgot one important condition that I keep repeating (drumming into you) in my announcements for my short-term arbitrage entries XAG-XAU, DX - EURGBP on m30 and m15.
Be sure to close your position at a price line crossing (or when the spread line reaches the opposite limit of the channel) , with any current result! The lines on thesefrom any time will converge within 2-3 days, and the spread line very soon will also cross the channel - and at this closing the risks are reduced to a reasonable minimum.
Of course "there is no ideal", but with some skill such short-term arbitrage entries are quite possible to work calmly, without jumpiness - quite stably increasing profits, even at small rates.
With any current result especially on a lower timeframe it will be minus, at best it will be zero. Adequate spread starts at H1, which I see you also practice and put in the announcements, but looking at it we can clearly state that the correlation is not perfect, which means it is a time bomb, you just need to wait for the unfavourable moment.
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Invest777, - I'm not quite sure what you're accusing me of! That for almost a year (even more) I have been announcing here short-term paired entries (on m15 and m30), among which there was not a single losing one?
For tf=n1 - on the contrary, I do not recommend using this tactic at all! Moreover, by SI-GC=1:2 I suggest working only on TF=M30. And on EURGBP-DX=1^2 - not more than on TF=M15.
Yes, sometimes (very seldom) I switch to a higher TF when closing positions, but I don't recommend others to do it.
If you do not mind, show me an area in the observable history, where at these conditions with the specified spreads (m30 and m15 respectively) a very substantial loss, comparable to the loss of the deposit would take place. So that all present could see "this time bomb".
When I upload it says - the folder has a wrong format or is damaged...
Re-download, n
Just downloaded directly from website via FF + DMaster Successfully, the archive unzipped.
Just downloaded directly from website via FF + DMaster Successfully, archive unzipped.
Me, it won't... :-(
Via opera and DM:
I don't want to... :-(
Through Opera and DM: