Statistical Arbitrage - page 2

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ContraTrader:
Sounds nice. Will write an EA for it.

Hey ContraTrader, when coding your EA, instead of closing the positions when they meet, try putting a trailing stop instead. Let us know how it goes I'm trying to improve mine. Maybe we can bounce ideas off of each other.

 

its gone very quite here all of a sudden....any developments?

 

Dear Friends,

What are best pairs for this method?

 

You are actually trading the EURGBP by doing so.

There's also a simpler method I thought of: Trading Long EUR\USD and Long USD\CHF - as these two pairs are correlative negatively. This way you are 'hedging' with a chance that sometime you will be proftiable. Actually, you are trading EUR\CHF. This is the reason this currency hardly moves.

 
The EA  does exist I made it before for an experiment .The thing is you will get kicked from brokers for using it , Maybe a few would allow it . Triangular Arbitrage EUR/USD, EUR/GBP, and GBP/USD . 
 
Victor Paul Hamilton #:
The EA  does exist I made it before for an experiment .The thing is you will get kicked from brokers for using it , Maybe a few would allow it . Triangular Arbitrage EUR/USD, EUR/GBP, and GBP/USD . 

Well said. That's about the "best" thing that will happen. There's a guy on another forum from way back when who ran a 200,000 USD triangular arbitrage EA on a live OTC forex account and bragged about it in the forum. His broker-dealer logged into the forum, said thanks for you for your confession, froze all of his funds, and clawed back all of his profits plus penalties to reimburse liquidity providers. If this had happened in a centralized exchange, he likely would have been investigated and prosecuted for market manipulation and banned from domestic public markets.

If anyone wants to hedge, just trade a front month futures contract versus the subsequent contract for the same symbol. Legally (but illogically), these are separate instruments unrelated to each other.

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