The potential yield of the instrument. - page 3
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they put three-storey formulas around )))
It's good, but I wish we had a script/instrument in the code before Leonid came and asked - where's the filature Zin?
Written in MathCad. Neutron, should make more sense to you.
P.S. The HTML code in the forum is not inserted correctly.
Written in MathCad. Neutron, should make more sense to you.
P.S. The HTML code in the forum is not inserted correctly.
Here is your result (see fig.) at 10 pips spread, maximum return is observed at 10 pips split step. This is what I claimed and what you disagree with...
It hasn't become clearer, mql4com. I'm not talking about the result, everything is clear here! I mean your proof...
Here is your result (see figure) with a 10 pips spread, the maximum return is observed with a 10 pips split step. This is what I claimed and what you disagree with...
It hasn't become clearer, mql4com. I'm not talking about the result, everything is clear here! I mean your proof...
Note that the profit in splitting 11 is equal to the profit in splitting 10.
against the yen the yen is the most upbeat as always
franc is down due to strong correlation
EURHKD is similar to EURUSD (Hong Kong is pegged to USD) therefore on the same level as EURUSD and USDDKK are twins
Neutron, I am attaching the original for better perception.
Here is your original (red line):
The blue line shows the analytical solution. Indeed, there is a mismatch between the solution and the modelling.
The analytical solution is based on the model of an "ideal" market, i.e. it is stationary and satisfies the martingale condition (it is random and you cannot make money on it). Perhaps the divergence is due to the nature of the non-stationarity of the real market. Obviously, the market is not a true martingale and there can be speculative actions aimed at speculative profit. Primarily, the real quotes show the properties of antipersistence, i.e. the quotes are counter-trendy most of the time. This is equivalent to the fact that the average leverage ZZ is slightly (by fractions of a point) smaller than 2H. In this case the optimum on the chart will be shifted to the right by this value. Perhaps you, mql4com, have detected this effect.
Of course such characteristic of market arbitrariness is integral and not very convenient for practical use (coming back to the topic of the topic). sab1uk, suggested to define a certain value, which allows us to characterize the instrument's prospect from the viewpoint of arbitrability. Such a value can be the deviation of the average leverage length from the nonarbitrage average value 2H that will directly obtain the average profit in points per one transaction (see picture):
We see that for the EURUSD pair the character of arbitrage for different trading horizons H, is mainly counter-trend (Profit<0) and the average value of the take exceeds the DC commission for H>45 points.
Actually this kind of indicator is the answer for the author of this topic. The only remark relates to the fact that this symbol characteristic cannot be expressed by a single number. This value is a one-dimensional vector and characterizes the arbitragerageragerage of a selected symbol on every trade horizon with the step of 1 point.