Thoughts on some of the absurdity of multi-currency analysis. - page 5
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На данный момент не вижу слабых мест в логике рассуждений, что привел в первом посте. Абсурдность мультивалютного анализа на первый взгляд кажется бредом.
Бытует мнение, что идеальная стратегия обязана быть мультивалютной, точнее в логике принятия ее решений должна быть зависимость сразу от нескольких валютных пар.
И речь в данном случае не о стратегии арбитража.
I can see your point. Try looking at it from a different angle. For example, assume that movements of currencies (observed as indices) can have technical patterns (i.e. predictable. it does not matter what method, at this point. it is important that by analyzing the history of exactly the indices). The rest of the conclusions are up to you, you have a great kettle.
It is for this reason in particular that real cross spreads are always wider than major spreads. We are not talking about spreads that are shown even on the interbank, but real spreads with which trades are executed. And, accordingly, the spreads of synthetic majors (from crosses) are always wider than the spreads of real majors.
Not always, or rather not at all. I poked the PrintScreen at an arbitrary moment of time by the way during the low liquidity period of the currency market (about 4.00 MSK).
By the way, the volumes of crosses compare with major.
Не всегда, точнее не у всех. Ткнул PrintScreen в произвольный момент времени кстати в период низкой ликвидности валютного рынка (около 4.00 МСК)
И объёмы кстати у кроссов сравните с мажорами.
It looks as if the crosses are not USD-dependent.
It looks as if the crosses are independent of the USD.
Crosses are traded independently on ECN or via futures for example. Through the quid on the interbank. The dollar index is also traded independently, as a separate instrument. The spread on exchange-traded crosses and ECN is not formed through majors, but simply as a difference between the best bid and offer of any of the bidders. The real delivery of currencies does not take place; in fact, the cross rate contracts are traded directly with the exchange spread
If we stick to the paradigm that the market takes into account all available information (and expectations), i.e. the postulate of market efficiency we all hate, then we can construct an informational recursion: as soon as information about a certain profitable strategy enters the information pool, it becomes part of the probability trend of the market. To put it in a nutshell: Information that at a certain point it becomes clear (subjectively) that a certain strategy, e.g. on MACD, gives a positive mathematical expectation, is absorbed by the market to a certain (probabilistic) degree and then the arbitrage forces (who expect it and want to profit from it) tend to bring the mathematical expectation of that strategy to zero. Therefore based on this postulate (schnobel by the way) we can assume that crosses, no matter how much traders would like it, will tend to repeat the trajectories of corresponding majors. In other words: in an era when grandiose calculations are made in a thousandth of a second, MO strategies based on any regularities, theoretically, tend to zero as soon as they get into the information pool, a kind of devouring monster.
And the further the information processing technology develops the scarier the monster, i.e. the market. As a consequence of the market efficiency we can highlight the following: theoretically there are no strategies working for a long time (almost forever) with positive mathematical expectation. In other words, constant upgrading is required (we have to strain our brains periodically, and that's a pity, we love freebies).
And one more consequence, no matter how much crosses and their spreads persuade us to trade them, theoretically, it will be more rational to trade them with majors. If it is not so, then in all probability it is a lure for brokerage companies.
Very often in my AIASM complex I see a divergence of natural and synthetic pair from 2 to 8 bars in both directions. Even on the H4 TF.
That's a max of 32 hours!!! Not to mention M1...
After that the denial of multicurrency analysis is ridiculous to read.
Ivan, sorry...
And another consequence, no matter how much the crosses and their spreads persuade us to trade them, theoretically trading them through the majors would be more rational.
If this is not the case, then in all likelihood it is a lure by DCs.
If the experience is limited to DCs, then obviously yes. But there are also BROKERS, not just VCs with betting licences.
But it is not a sandbox with cent accounts and deposit from 1-10 dollars that is de facto casino for poor people.
Check out spread on any of the crosses through the majors on the screenshot above.
Multicurrency trading is less efficient than single pair trading. We spend more resources (trading/writing and maintaining the robot), but the result cannot be higher (the deposit is not multiplied by the number of pairs traded). It definitely refers to simultaneous use of several currency pairs by one or several systems (that work with their own currency pair only).
As for multicurrency analysis, it does not provide any advantage in detecting and applying movement patterns. Besides, it also cannot beat a simple monocurrency analysis (the simpler the trading system, the better). By efficiency I mean nothing else but the ratio of the result to the costs of obtaining it.
ECN and crosses:
CADJPY:
ECN and STP:
If your algorithms don't take noise into account, don't take information out of it about the double-joint, and if you trade without leverage, then yes, in that case the crosses can be bluntly derived from the major pairs.
BUT! To calculate the small moves (and with a leverage of 1:100 you trade small moves) you need NONE of the crosses, because they ALWAYS create movements, which move the major pairs.
For example, GBPJPY is not a cross in the usual sense of the word, but is in London a straight pair through which some of the main movement from the rich Japanese to the world currency, gold, credit and investment markets takes place.
So you have to be careful what you say here. If hundreds of banks open a bunch of correspondent accounts in crosses, trading in crosses, it means they see some benefit for themselves and for the client. It's not like they are idiots.
To downgrade a cross to the level of a stock index at all is short-sighted. Especially since the stock indexes have performed better than the major funds in 10 years.