Please state the pros and cons of portfolio trading. - page 8
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OK, the portfolio we have at the moment - how to select the shares of the instruments in the portfolio?
Here is Leonid's simple example of a portfolio of two instruments. Here, theoretically, you can pick it up by eye. But what if there are more instruments?
A price line indicator for five instruments with an example of a setup for working on the US stock indices.
http://www.procapital.ru/showpost.php?p=865329&postcount=704
An upgraded version:
http://www.procapital.ru/showpost.php?p=1039699&postcount=1908
"Fractions of the instruments - in the commentary on the chart
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Perhaps this indicator (or rather a set of indices) would be a good idea = https://www.mql5.com/ru/code/10096
But all questions about it - only to the author! I am not an expert on it.
pair trading and spread trading is based on the immutability of correlation coefficients.
For pair trading, correlation is irrelevant.
For pair trading, correlation is irrelevant.
What does?
And what is?
Co-integration. And the wikipedia has a mistake :)
Quite a few books have been written on the subject of pair trading; some of them touch on the difference between correlation and cointegration.
Co-integration. And there's a mistake in wikipedia :)
Quite a few books have been written on the subject of pair trading; some of them touch on the difference between correlation and cointegration.
Have you ever seen an example of pair trading for two instruments that have the property of cointegration and, at the same time, have a low correlation?
Co-integration. And there's a mistake in wikipedia :)
Quite a few books have been written on the subject of pair trading; some of them touch on the difference between correlation and cointegration.
Co-integration. And there's a mistake in wikipedia :)
Quite a few books have been written on the subject of pair trading; some of them touch on the difference between correlation and cointegration.
And I doubt that cointegration in pure form exists in forex - it would mean a risk-free TS based on paired trading (for classically cointegrated series the spread is guaranteed to 0)