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PZ Triangular Arbitrage EA MT5

A triangular arbitrage strategy exploits inefficiencies between three related currency pairs, placing offsetting transactions which cancel each other for a net profit. A deal involves three trades, exchanging the initial currency for a second, the second currency for a third, and the third currency for the initial. During the second trade, the arbitrageur locks in a zero-risk profit from the discrepancy that exists when the market cross exchange rate is not aligned with the implicit cross exchange rate. A profitable deal is only possible when a market inneficiency arises and execution times are small.
  • Easy to set up and supervise
  • The strategy is time-frame independent
  • Deals are completely hedged for a zero exposure
  • The strategy is neutral to gaps, swings and stop-hunting
  • Theoretically, is a zero-risk strategy
  • It is NFA/FIFO compliant

It implements a set of unique features:

  • You decide which pair set to trade
  • Adapts to spread and commissions
  • Implements an optional trade-expiration feature
  • Customizable price trigger and profit target
  • The EA can handle up to 200ms latency

It can trade any of the following pair rings:

IMPORTANT: Triangular arbitrage opportunities do not happen very often, which means the trading frequency of the EA is low. Also, high spreads and commissions decrease the trading frequency of the strategy. Please make sure to understand the strategy before renting, buying or posting an undeserved review. Thank you.

Usage Tips

  • Backtest in M1 HLOC or Tick Data Mode.
  • Load the EA on any chart, timeframe is irrelevant.
  • Trade with a very low spread broker from a good network point.
  • For netting accounts, the EA can only trade one pair ring at a time.
  • For hedging accounts, the EA can trade many pair rings simultaneously.
  • You don't have to worry about the Magic Number, the EA sets it for you.
  • Trade at least with 0.50 lots: this allows the EA to hedge deals with a 98% accuracy.
  • If you trade with less than 0.50 lots, the amount of trades closed at a loss will increase.
  • The purchase includes 99 activations because you might need to test lots of brokers.

Technical Information

  • The EA evaluates every 200 miliseconds, not every tick.
  • The EA only trades when the price discrepancy in the pair ring is above the combined spreads and commissions.
  • Therefore, higher spreads lead to less trading frequency and smaller spreads to higher trading frequency.
  • If one of the three trades fails to open for any reason, all the other trades are closed to avoid losses.
  • Trades are placed without stop-loss and take-profit: all trades are managed as a single one.

Input Parameters

  • Pair Ring: Select the pair ring to trade.
  • Symbol Name Suffix: Type the suffix of the symbol names of your broker. For instance, if EURUSD is named EURUSDfx, "fx" is the suffix.
  • Symbol Name Prefix: Type the prefix of the symbol names of your broker. For instance, if EURUSD is named mEURUSD, "m" is the prefix.
  • Trade Trigger: The minimum price discrepancy to trade, in pips.
  • Profit Target: The profit at which the deal is closed. This value must be below the trade trigger.
  • Expiration of trades: Optionally, you can select an expiration in time for the trades. It is effective to cut exposure if slippage has ruined the payoff.
  • Lotsize: Enter the lotsize for the first trade. The lots for the other two pairs are auto-calculated.
  • Slippage for orders: Maximum slippage on orders, in points.
  • Custom Comment: Comment for the orders.

    Important to know

    The price discrepancies that this EA hunts for do not happen very often and the EA can sit idle for days or weeks without trading, please be patient. Also note that there is substantial execution risk in employing a triangular arbitrage strategy for retail traders due to slippage and latency. For example, if the EA is trying to trade a price discrepancy of 6 pips paying a combined 4 pips in spreads, a combined slippage of just 2 pips among the three pairs will kill the payoff of the trade.

    Support and questions

    Use the helpdesk for questions or timely support. Write an email to: help@pointzero-trading.com


    Arturo Lopez Perez, private investor and speculator, software engineer and founder of PZ Trading Solutions.

    Nico Fini
    Nico Fini 2019.05.15 08:17 

    Nessun trades aperto in 1 settimana, mentre nei backtest risulta che avrebbe dovuto aprire 4 - 5 trades ogni giorno. Ho contattato il produttore e non ho avuto ne aiuto ne risposte! NON comprate questo Expert, è un furto!

    Version 12.0 2019.02.26
    - Added latency improvements
    Version 10.0 2019.02.26
    - Added auto magic number setting
    - Added more pair rings
    - Improved order management
    Version 6.5 2017.06.28
    - Improved order filling using actual filling prices
    Version 6.0 2017.05.17
    - Fixed bug affecting profit in pips
    Version 5.0 2017.03.14
    - Bug fix regarding order closing
    Version 4.0 2017.01.23
    - Magic Number is hidden (now automated)
    - Execution based on ontimer()
    Version 2.0 2016.11.24
    - Important bug fix. Please update.