Basket trading, pair trading. - page 11
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Five-year: GBPUSD ^ (-0.1201) * USDJPY ^ 0.1821 * AUDUSD ^ 0.2978 * USDCAD ^ 0.4
Hrenushkin :-) is that you? :-)
put in a one-month recurrence window?
I've bluntly (in a toolkit posted a long time ago) put in an 8000 H4 multibar window. Some manual tweaking to get rid of unnecessary characters. And done.
P.S. By the way, I was surprised, that EURUSD has dropped out of the list. It was the first time I took such a big window.
Five years: GBPUSD ^ (-0.1201) * USDJPY ^ 0.1821 * AUDUSD ^ 0.2978 * USDCAD ^ 0.4
I've bluntly (in a toolkit posted a long time ago) put in an 8000 H4 multibar window. Some manual tweaking to get rid of unnecessary characters. And done.
P.S. By the way, I was surprised, that EURUSD has dropped out of the list. It was the first time I took such a big window.
Far from the practice of trading, quantiles laden with econometric models have been talking for years about the importance of cointegration, stationarity and other theoretical refinements.
The coefficients are bound to be dynamic. The main task is to find the relations which are inertial - they are destroyed relatively slowly (have time to trade them ONE time).
Coefficients at any window can be fitted according to any fictitious mathematical condition - a sort of "pulling the market on formulas". This is why one should not approach the process from the point of view of what type of a synthetic chart one would like to obtain, but from the point of view of the fundamentals - searching for market correlations.
And the search for relationships raises a lot of questions. For example, is it correct to regard the CAD as a BP of prices taken in a constant discrete time step?
Take EURUSD and USDCHF for example. They have been perfectly correlated for almost a year now. And this correlation will be shown by classical methods - analysis of regular (linear in time) cvp's.
Now imagine that EURUSD lags behind USDCHF by ~ one hour. The classical methods will show a weak correlation, even though it is huge.
P.S. I will not tell further my vision of this type of trading. I do not know much myself.