Basket trading, pair trading. - page 14
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So, yes, but it's not that simple. I personally think that the cross chart is a pair correlation indicator.If the cross has pronounced trends, the strategy will fail. We need a perpetual flat, quite volatile. I've already racked my brains. But there is a way out, it seems to me.
Spread trading on these pairs implies buying one pair and selling the other.
What I meant was that to analyse the spread it is enough to look at the crosses.
In addition, arbitrage implies that spreads have a fairly stable channel, but looking at crosses we see that this is not the case.
And also instead of buying EURUSD and selling GBPUSD you can do with a single operation on their cross.
If you look at it from this perspective, arbitrage is self-defeating, on the other hand Aleksander's thread on 4 makes you doubt it).
What I meant was that to analyse the spread it is enough to look at the crosses.
Besides, arbitrage implies that the spreads have a fairly stable channel, but looking at the crosses we see that this is not the case.
And also instead of buying EURUSD and selling GBPUSD you can do with a single operation on their cross.
If you look at it from this perspective, arbitrage is self-defeating, on the other hand Aleksander's thread on 4 makes you doubt it).
If we go in 1 to 1, then yes, synthetic. But if you play with volumes, the picture is completely different.
By the way, synthetic is not equal to cross, tested. There is also a difference between two synthetics of one and the same cross. And the spreads are mammoth.
If you go in 1 to 1, then yes, synthetic.
Do you do the math? It's not synthetic.
If you go in 1 to 1, then yes, synthetic. But if you play with volumes, the picture is completely different.
By the way, synthetic is not equal to cross, it's proven. There is also a difference between two synthetics of one and the same cross. And the spreads are mammoth.
If they have different volumes, they obtain cross+position on the main pair. EURGBP+EURUSD, for example.
If we do not use the log scale, they are not equal, but proportional, and nonlinear distortions appear. With log scale - it has shown that they are equal with an error in the spread.
Can I give you an example of synthetic, I'm not sure what you mean. EURGBP through EURUSD and GBPUSD or EURGBP through EURAUD and GBPAUD. Is that what you mean?
In my opinion it is not correct to build a spread without logarithm, otherwise prices will be in different ranges.
I jumped to conclusions, it's a bit ambiguous...
EURSD / GBPUSD and EURGBP synthetic comparison:
- lower chart - spread between the two in 4-digit pips. Quite often there are "shapes" like the one highlighted in red.
-based on the M1-bar clots, with synchronisation.
EURSD / GBPUSD and EURGBP synthetic comparison:
- lower chart - spread between the two in 4-digit pips. Quite often there are "shapes" such as the one highlighted in red.
-based on the M1-bar clots, with synchronisation.
All the calculations, of course, were done on bids.
Is that a question or a statement?) We should, of course, build this all up on ticks. And this as an illustration that there are some arbitrage points. Without taking into account overheads and the quality of trade order execution, which can derail everything.
Is that a question or a statement?) We should, of course, base this all on ticks. And this as an illustration that there are some arbitrage points. Without taking into account overheads and the quality of trade order execution, which can derail everything.