Complex arbitration - page 4
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MForex, can correlation be calculated in more than one way?
SK. Let me repeat: the correlation of the absolute values of the currency triples in question, i.e. AUD/USD and NZD/USD, EUR/JPY and CHF/JPY, EUR/USD and GBP/USD.
It is not a secret, but it cannot be, because the trading decision is made not by the absolute values of the correlation coefficients (CC), but, as I said above, by the dynamics of their increments. Let me explain: if at the momentthe difference (D) between the current AC and the AC of the X-period is negative, which indicates a decrease in correlation, then the hedge opened at that moment on the pair in question is very likely to bring profit, because D becomes equal to zero after a while, and then it becomes positive (correlation increase) and then negative again. Outliers outside the average range of D oscillations will of course occur, but very rarely and so far the moments of such extrema have not resulted in a loss, though I do not rule out that they (D extrema) can cause a shift in the absolute value of the considered pairs. Because of this shift it becomes impossible to objectively estimate the correlation (which incidentally will be low) in a short time interval, therefore a hedge that survived such a shift will most likely be closed with a loss - but not always. My statement has transactions lasting for several days - there was a price difference leading to a sharp drop in correlation and appearance of a shift - but nevertheless these hedges were closed with profit. Generally speaking, this is the most complex moment of this TS.
I made a mess of it, of course, but it was the best I could do.
To put it simply, when AUD rises against the falling NZD, you should sell AUD and buy NZD. At some moment in future either AUD will fall more than NZD, or vice versa NZD will grow more than AUD. Of course, we are speaking about the distance travelled by one of the pairs, and not its absolute values. I hope it is clearer that way ;)
I managed to forward the whole week. Yes, it closed with two hedges, which are undergoing the shifts I have already mentioned. Now, let's check what will happen with them next week.
Below is the continuation of the statement, all of it cannot fit anymore, so I only put up the past week, the rest is above. By the way, no one pipsipser in forward testing, even demo, has ever shown me such results.
MForex, can the correlation be calculated in more than one way?
It is not the correlation that can be calculated, but the correlation coefficients, of which there are dozens (and therefore ways of calculating them).
SK. Let me repeat: the correlation of the absolute values of the currency triples in question, i.e. AUD/USD and NZD/USD, EUR/JPY and CHF/JPY, EUR/USD and GBP/USD.
It is not a secret, but it cannot be, because the trading decision is made not by the absolute values of the correlation coefficients (CC), but, as I said above, by the dynamics of their increments. Let me explain: if at the momentthe difference (D) between the current AC and the AC of the X-period is negative, which indicates a decrease of the correlation, then the hedge opened at that moment on the pair in question is very likely to bring profit, because D becomes equal to zero after a while, and then it becomes positive (correlation increase) and then negative again. Outliers outside the average range of D oscillations will of course occur, but very rarely and so far the moments of such extrema have not resulted in a loss, though I do not rule out that they (D extrema) can cause a shift in the absolute value of the considered pairs. Because of this shift it becomes impossible to objectively estimate the correlation (which incidentally will be low) in a short time interval, therefore a hedge that survived such a shift will most likely be closed with a loss, but not always. My statement has transactions lasting for several days - there was a price difference leading to a sharp drop in correlation and appearance of a shift - but nevertheless these hedges were closed with profit. Generally speaking, this is the most complex moment of this TS.
I made a mess of it, of course, but it was the best I could do.
To put it simply, when AUD rises against the falling NZD, you need to sell AUD and buy NZD. At some moment in future either AUD will fall more than NZD, or vice versa NZD will grow more than AUD. Of course, we are speaking about the distance travelled by one of the pairs, and not its absolute values. I hope it is clearer that way ;)
I managed to forward the whole week. Yes, it closed with two hedges that are undergoing the shifts I have already mentioned. Now, let's check what will happen with them next week.
This is one of those rare occasions when I'm at a loss for a better answer.
Better anecdote:
- Mum, Dad's fallen down the stairs!
- What did he say?
- Well... it's... um...
- You don't have to say any bad words.
- Nothing, then. :)
Anyway, I'll be quiet. No hard feelings, I hope.
Well, how can there be any hard feelings? :) It's a rare case indeed :)) And like I said, I haven't come across anything like it yet.
Last week's report. Bold is the trades which were opened in the previous report. Total floating loss was slightly more than -1500$ during the week, but I was sure that they will close with profit after a while.
Yes, there is one thing: computer was off from Tuesday until now, so these two hedges made more profit than they should have done with 24/7 computer turned on, because they would have closed earlier, with a total profit of about $100. But after they closed there were more trades, which would have brought the total weekly profit to $500 on the plus side.
Complex arbitrage is very interesting. I am also developing a similar Expert Advisor. I have put the GBPUSD group on demo test.
Interesting how you combine pairs in hedges.
Tell me, are you the same Paramon, whose system was famous on the Forex Club forum?
Complex arbitrage is very interesting. I am also developing a similar Expert Advisor. I am testing a group with GBPUSD.
Interesting how you combine pairs in hedges.
Tell me, are you the same Paramon, whose system was popular on the Forex Club forum?
With a lot ratio of 1:2, 1:1.5 and 1:2 respectively.
All swaps are positive.
For the calculations I use correlation coefficient (CC) between pairs, and iMA (simple moving average).
Ido not understand your approach to using correlation coefficient and entry point (i.e. it does not differ much from mine,
if its value is greater than 0.90 or less than 0.90 (It depends on the pair) ).
Although probably my way of calculating QC is different from yours, I tried a lot of periodicals, but I cannot find the pattern of your entries.
It was interesting to discuss your system, directly to the logic ICQ: 477-961-311.
So my holiday is over. The four trades I left unsupervised for the whole month closed with a profit of $300+. I am enclosing the report for the whole period of the forward demo.
In a nutshell the results are as follows:
54.84% on the initial depo for 1.5 months of working time.
By the way, the peaks and troughs of the balance curve do not need to be taken into account. Equity practically looked like a line connecting the points of this balance curve. You can check the opening and closing times of the trades in the attached statement.