Complex arbitration - page 3
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1. Correlations in trading themselves are absolutely useless.
A correlation is always a statement of a fait accompli.
Correlation can't tell you anything about future values, only what happened.
In order to trade, it is necessary to predict the price value at least 1 bar in advance with a probability of more than 50%.
If the system is based only on correlation principles, it will soon start losing profit.
I do not have experience in testing systems in the tester, but I can tell from my experience in testing systems in the real market:
If you want to use a system for real trading, you have to test it on a demo account for at least half a year!
Yes, it probably is, but...
1. If you analyse the increments of the difference in correlation coefficients between AUD/USD and NZD/USD for example, you will find a couple of patterns that have existed since 1999 (I don't have the minutes from earlier) and are easily detectable now. Yes, it will probably stop someday, maybe even tomorrow, but this risk is already among the kind of risks inherent in any business.
2. The worst (deliberately understated, in order to increase objectivity) average return since 1999, when tested on paper, with simulated requotes and slippages - 8.3% per month without reinvestment!!! I doubt that such a result can be considered a fit with history. And there is nothing to fit.
3. The risks are not mine.
P.S. - to the adviser Yuri Reshetov, as well as his understanding of the essence of arbitrage nor my TS, nor the adviser has nothing to do. And what I am talking about and what was discussed in his branch are different things.
1. If you analyse the incremental differences in the correlation coefficients between, for example, AUD/USD and NZD/USD, you will find a couple of patterns,
1. If you analyse the incremental differences in the correlation coefficients between, for example, AUD/USD and NZD/USD, you will find a couple of patterns,
On any timeframe. But to make it easier to understand how it can be used in trading, consider 30M or 60M.
Between AUD/USD and NZD/USD or between AUD/USD and T, and between NZD/USD and T?
Correlation between which values?
Between AUD/USD and NZD/USD or between AUD/USD and T, and between NZD/USD and T?
Between AUD/USD and NZD/USD. Just analyse the difference between the current and previous values of the ratios.
Here is an updated report on the same account:
A month has passed, but because of the lack of time I have missed many trading days because the possibility to allow the Expert Advisor to work normally from opening a position till closing appears only in its spare time. Now I can say for sure that the dynamics of correlation coefficient difference is stable and always repeats, though with a small difference, but with the same result. It does not matter which currency dominates and pulls the others. For example, the latest AUD and NZD trades have shown this very clearly: at the end of last week there was a significant rise in the NZD, while the AUD, closed almost within Friday's range. The loss at that time on three hedges (6 positions) was $2000 and a little bit and the main part of it was on AUD and NZD hedges. However, I was sure that if NZD didn't go for AUD, as it usually does, then AUD will definitely catch up with NZD in the middle of this week (I checked on the history since 1999). As you can see, already in the early hours of Monday the NZD was back to square one and fell lower, significantly outpacing the AUD in the fall. As a result: $420 on the NZD and $80 on the AUD. Same situation with EURUSD and GBPUSD. EURJPY and CHFJPY are still open, but I can confidently say that in a day or two and the difference in correlation will reach the opposite of the initial value, and then this hedge may be used for profit taking. By the way, you can wait as long as you want since the swaps amount is positive, but still you cannot wait long.
As for going on air. I can't say anything about broadcasting the results on the real account, but I will try to do it. At the moment we are busy with opening an account at the broker and providing all the necessary conditions for the stable operation of the terminal and EAs. By the end of the month, if everything goes according to plan, I will begin work on the real account.
...the dynamics of the difference in correlation coefficients are stable and always repeatable...
...the difference in correlation will reach the opposite of the initial value
May I ask: correlation of what to what?
And if it is not a secret, can you give us the absolute values of the correlation coefficients which are used to make a trade decision?