Creating and testing arbitrage strategies - page 4
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Note, in the lower graph the dots show: the blue dots are the sum of the symbols of the left bin, the red dots are the sum of the symbols of the right bin. Note: the yellow dots show just one graph: the correlation (delta) of the two baskets.
Yes, it's nice and impressive, but the question is still open: why do we need two baskets, if we can put everything in one.
I understand that then the familiar and very classic picture of two charts will cease to exist, and I'm sorry to upset you by the loss of such a familiar game of "confrontation between two instruments".
But maybe it's not a big loss? Calculations become much simpler, more convenient, and what is important - much more error-free.
Can I... can I... ...in chartbuilder? (I mean, you can see the result right away?)
All this is clear, but you don't need to. just divide the right one by the left one and graph this ratio. you will immediately see whether or not fish are there and exactly how many fish are there.
Or so, with the usual lines:
By the way, I never managed not to display empty values with lines.
DRAW_CANDLES does not clearly show empty values. DRAW_SECTION, on the other hand, does. DRAW_ARROW is more or less suitable, but even that has some artifacts at the bottom of the chart.))
>confrontation of two instruments
and there is the essence of arbitrage when "blue" plays with "red".
>The confrontation of two instruments
And that is the essence of arbitrage when "blue" plays with "red".
if you understand the simple truth that any arbitrage is a statistical arbitrage, then any arbitrage comes down to the construction of (one!) synthetic instrument fluctuating in a narrow channel with volatility exceeding the spread.
That's it. no blues and reds. // only greens ;)
If you understand the simple truth that any arbitrage is a statistical arbitrage, then any arbitrage comes down to the construction of a (single!) synthetic instrument oscillating in a narrow channel with volatility exceeding the spread.
And that's it. no more blue and red. // only green ;)
if you understand the simple truth that any arbitrage is a statistical arbitrage, then any arbitrage comes down to the construction of a (single!) synthetic instrument fluctuating in a narrow channel with volatility exceeding the spread.
that's it. no more blue and red. // only green ;)
green and in a narrow channel.
>with a volatility exceeding the spread.
it does not work because volatility is a spread!
that's it. it's not a big deal at all. :)
now. to estimate such a curvature, one should be careful with units of measurement.
Firstly, two lines should be printed - bid and ask of this synthetic instrument, secondly, the vertical scale should be sorted out, so that it would be possible to assess volatility in understandable (money) units.
like this.
// And the two-instrumental "classics" better be buried little by little. it only creates unnecessary complications and is useless. like - unintelligible syntactic sugar.
that's it. it's not a big deal at all. :)
now. to evaluate such a curvilinear instrument, one should be careful with the units of measurement.
Firstly, two lines should be printed - bid and ask of this synthetic instrument, secondly, the vertical scale should be sorted out, so that it would be possible to assess volatility in understandable (money) units.
like this.
// And the two-instrumental "classics" better be buried in time.
Bid-ask is in question.
The vertical scale is understandable:
>// and the two-instrumental "classics" better be buried slowly. unnecessary complications only from it. and no usefulness. like indecipherable syntactic sugar.
That's just me hiding the sums of the left and right baskets))
Here it is in full colour:
And anyway, you just need to get the display of baskets and correlation in the settings . Let them adjust it for themselves.
>with volatility exceeding the spread
it does not work because volatility is a spread!
Oh, shit. I'm in terminological trouble with these classics.
Volatility is the "bounce", the amplitude of oscillations in a channel, if you put it that way. while the spread is the difference between the bid and ask (offer) of a synthetic instrument.
both can be accurately calculated and graphically displayed.
// Let's forget about the "classic arbitrage spread" as the difference in quotes for two portfolios.