Pair trading and multicurrency arbitrage. The showdown. - page 37
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Before shouting about the lack of cointegration "mum's experimenters" should dump the results of cointegration tests here
test results are just like backtest results, beautiful only on history.....
here's my old algorithm for finding combinations of pairs...
======== ==================================
two legs of an arbitrage TS is either one pair or a combination of several pairs.
before the blue vertical line is the reality in which we are now looking for parameters in it, and after the blue vertical line is the future unknown to us.
x1 = NZDUSD
x2 = GBPNZD + USDCAD
and so on
Well, naturally, there are "no fish" in such a set of assets. It is a dumb search of assets without a functional relationship.
Well, naturally, there are "no fish" in such a set of assets. Stupid overshoot without a functional link.
in the left part there is a functional relationship 100 times more than in your ridiculous example with AUDUSD-NZDUSD.
in the left part there is a functional relationship 100 times more than in your ridiculous AUDUSD-NZDUSD example.
Index arbitrage, not a childish search of currency pairs.
You, mum's experimenter....
Index arbitrage, not a childish overreaching of currency pairs.
You, mum's experimenter...
AUDUSD-NZDUSD is index arbitrage? )) ))))
This example was given as an example of convergence of pairs with actual lack of cointegration.
This example was given as an example of pair convergence in the actual absence of cointegration.
And I, in turn, showed that from the point of view of statistics it is most likely an illusion, and showed a counter example.
It is like evaluating a TS by 5 trades instead of 5000.
The trouble is that it does not take into account the piecewise cointegration that can be found on different symbols, with varying degrees of success. For example, with a tie to macroeconomic events or moon phases. To something common to 2 or more symbols.
Otherwise, it turns out that every day should be sunny, and if it's not sunny, it's the end of the world.
Indices are an example of almost no piecewise cointegration, so they are the easiest to start with.And I in turn showed that from the point of view of statistics it is most likely an illusion, and showed a counter example.
It's like evaluating a TS by 5 trades instead of 5000.
Man, of course it is an illusion - there is NO cointegration between these two pairs!
You have been shown where to look for it - where there is a functional dependence. For example, in indices.
We walked, walked, went back to the beginning....
Geez, of course it's an illusion - there is NO cointegration between these two pairs!
You have been shown where to look for it - where there is functional dependence. For example, in indices.
Walked, walked, walked, went back to the beginning....
Ahh.
I didn't know you reposted that picture, it looked like you were being stupid in that post, and it didn't say anything about indexes in that post....