Spread trading in Meta Trader
A few words about the indicator.
Basic formula:
Spread[k] = iClose(Symbol_1,Timeframe,k) - iClose(Symbol_2,Timeframe,symb2Shift);
Can be thrown on any chart, but it needs to be loaded with the history of both instruments
Wrote a simple indicator to visualise spreads (attached).
Just by looking at the charts you can see dozens of great opportunities to open and close positions. But how much confidence can I put in such a chart? Is it realistic to open positions with these quotes?
(Quotes B., CFD spreads on GCG0 and GCZ9. They swear on their forum that the price of their CFD = the price of the real futures on the CME).
Would love to hear the opinions of spread traders, very afraid of stumbling across another pitfall =)
it's easy.
Simple, but expensive). It's easier to listen to the opinions of experienced traders.
The result of trading on demo Expert Advisor overnight. The first order 1 lot was opened/closed by hands, all other orders 0.1 lot by Expert Advisor.
| Summary: | |||||||||||||
| Deposit/Withdrawal: | 5 000.00 | Credit Facility: | 0.00 | ||||||||||
| Closed Trade P/L: | 288.40 | Floating P/L: | -7.00 | Margin: | 240.00 | ||||||||
| Balance: | 5 288.40 | Equity: | 5 281.40 | Free Margin: | 5 041.40 | ||||||||
| Details: | |||||||||||||
| Gross Profit: | 493.00 | Gross Loss: | 204.60 | Total Net Profit: | 288.40 | ||||||||
| Profit Factor: | 2.41 | Expected Payoff: | 3.56 | ||||||||||
| Absolute Drawdown: | 0.60 | Maximal Drawdown: | 60.00 (1.16%) | Relative Drawdown: | 1.16% (60.00) | ||||||||
| Total Trades: | 81 | Short Positions (won %): | 40 (45.00%) | Long Positions (won %): | 41 (60.98%) | ||||||||
| Profit Trades (% of total): | 43 (53.09%) | Loss trades (% of total): | 38 (46.91%) | ||||||||||
| Largest | profit trade: | 190.00 | loss trade: | -60.00 | |||||||||
| Average | profit trade: | 11.47 | loss trade: | -5.38 | |||||||||
| Maximum | consecutive wins ($): | 6 (37.00) | consecutive losses ($): | 2 (-2.00) | |||||||||
| Maximal | consecutive profit (count): | 190.00 (1) | consecutive loss (count): | -60.00 (1) | |||||||||
| Average | consecutive wins: | 1 | consecutive losses: | 1 | |||||||||
Spread trading is statistical arbitrage based on correlated trading instruments.
Part of this strategy is presented in this list.
Best Private Equity Investor 2009 Statistics
No entries found.
Not quite sure what you mean. As for the definition - totally agree. In my posts I mean trading exclusively calendar spreads.
Started testing on silver as well... Well, that's a bit of a smooth ride. In 1 hour:
| Account: 660337 | Name: sxdfsadf | Currency: USD | 2009 December 9, 18:57 | ||||||||||
| Closed Transactions: | |||||||||||||
| Ticket | Open Time | Type | Size | Item | Price | S / L | T / P | Close Time | Price | Commission | Taxes | Swap | Profit |
| 19406489 | 2009.12.09 17:41 | balance | Deposit | 5 000.00 | |||||||||
| 19406538 | 2009.12.09 17:42 | sell | 0.10 | sih0 | 17.800 | 0.000 | 0.000 | 2009.12.09 17:46 | 17.770 | -1.00 | 0.00 | 0.00 | 15.00 |
| 19406624 | 2009.12.09 17:45 | buy | 0.10 | gcg0 | 1142.8 | 0.0 | 0.0 | 2009.12.09 17:50 | 1141.0 | -1.00 | 0.00 | 0.00 | -18.00 |
| 19406626 | 2009.12.09 17:45 | sell | 0.10 | gcz9 | 1143.0 | 0.0 | 0.0 | 2009.12.09 17:50 | 1140.4 | -1.00 | 0.00 | 0.00 | 26.00 |
| 19407003 | 2009.12.09 17:57 | buy | 0.10 | gcg0 | 1141.3 | 0.0 | 0.0 | 2009.12.09 18:03 | 1139.4 | -1.00 | 0.00 | 0.00 | -19.00 |
| 19407004 | 2009.12.09 17:57 | sell | 0.10 | gcz9 | 1141.5 | 0.0 | 0.0 | 2009.12.09 18:03 | 1138.6 | -1.00 | 0.00 | 0.00 | 29.00 |
| 19406685 | 2009.12.09 17:46 | sell | 0.10 | sih0 | 17.770 | 0.000 | 0.000 | 2009.12.09 18:03 | 17.730 | -1.00 | 0.00 | 0.00 | 20.00 |
| 19406540 | 2009.12.09 17:42 | buy | 0.10 | siz9 | 17.650 | 0.000 | 0.000 | 2009.12.09 18:11 | 17.655 | -1.00 | 0.00 | 0.00 | 2.50 |
| 19407434 | 2009.12.09 18:10 | buy | 0.10 | gcg0 | 1136.8 | 0.0 | 0.0 | 2009.12.09 18:12 | 1136.3 | -1.00 | 0.00 | 0.00 | -5.00 |
| 19407435 | 2009.12.09 18:10 | sell | 0.10 | gcz9 | 1136.9 | 0.0 | 0.0 | 2009.12.09 18:12 | 1135.6 | -1.00 | 0.00 | 0.00 | 13.00 |
| 19407514 | 2009.12.09 18:12 | sell | 0.10 | sih0 | 17.690 | 0.000 | 0.000 | 2009.12.09 18:14 | 17.675 | -1.00 | 0.00 | 0.00 | 7.50 |
| 19407515 | 2009.12.09 18:12 | buy | 0.10 | siz9 | 17.655 | 0.000 | 0.000 | 2009.12.09 18:14 | 17.655 | -1.00 | 0.00 | 0.00 | 0.00 |
| 19407571 | 2009.12.09 18:14 | sell | 0.10 | gcg0 | 1136.7 | 0.0 | 0.0 | 2009.12.09 18:15 | 1136.0 | -1.00 | 0.00 | 0.00 | 7.00 |
| 19407572 | 2009.12.09 18:14 | buy | 0.10 | gcz9 | 1135.6 | 0.0 | 0.0 | 2009.12.09 18:15 | 1136.0 | -1.00 | 0.00 | 0.00 | 4.00 |
| 19407795 | 2009.12.09 18:19 | buy | 0.10 | gcg0 | 1132.0 | 0.0 | 0.0 | 2009.12.09 18:23 | 1129.4 | -1.00 | 0.00 | 0.00 | -26.00 |
| 19407796 | 2009.12.09 18:19 | sell | 0.10 | gcz9 | 1134.5 | 0.0 | 0.0 | 2009.12.09 18:23 | 1130.2 | -1.00 | 0.00 | 0.00 | 43.00 |
| 19407598 | 2009.12.09 18:15 | buy | 0.10 | sih0 | 17.645 | 0.000 | 0.000 | 2009.12.09 18:23 | 17.570 | -1.00 | 0.00 | 0.00 | -37.50 |
| 19407603 | 2009.12.09 18:15 | sell | 0.10 | siz9 | 17.655 | 0.000 | 0.000 | 2009.12.09 18:23 | 17.525 | -1.00 | 0.00 | 0.00 | 65.00 |
| 19407922 | 2009.12.09 18:23 | buy | 0.10 | gcg0 | 1129.4 | 0.0 | 0.0 | 2009.12.09 18:24 | 1129.6 | -1.00 | 0.00 | 0.00 | 2.00 |
| 19407923 | 2009.12.09 18:23 | sell | 0.10 | gcz9 | 1130.2 | 0.0 | 0.0 | 2009.12.09 18:24 | 1128.9 | -1.00 | 0.00 | 0.00 | 13.00 |
| 19407924 | 2009.12.09 18:23 | sell | 0.10 | sih0 | 17.565 | 0.000 | 0.000 | 2009.12.09 18:29 | 17.585 | -1.00 | 0.00 | 0.00 | -10.00 |
| 19407925 | 2009.12.09 18:23 | buy | 0.10 | siz9 | 17.525 | 0.000 | 0.000 | 2009.12.09 18:29 | 17.590 | -1.00 | 0.00 | 0.00 | 32.50 |
| 19407974 | 2009.12.09 18:24 | sell | 0.10 | gcg0 | 1130.0 | 0.0 | 0.0 | 2009.12.09 18:32 | 1132.1 | -1.00 | 0.00 | 0.00 | -21.00 |
| 19407976 | 2009.12.09 18:24 | buy | 0.10 | gcz9 | 1128.9 | 0.0 | 0.0 | 2009.12.09 18:32 | 1131.7 | -1.00 | 0.00 | 0.00 | 28.00 |
| 19408157 | 2009.12.09 18:29 | buy | 0.10 | sih0 | 17.585 | 0.000 | 0.000 | 2009.12.09 18:32 | 17.615 | -1.00 | 0.00 | 0.00 | 15.00 |
| 19408159 | 2009.12.09 18:29 | sell | 0.10 | siz9 | 17.590 | 0.000 | 0.000 | 2009.12.09 18:32 | 17.590 | -1.00 | 0.00 | 0.00 | 0.00 |
| 19408304 | 2009.12.09 18:33 | sell | 0.10 | gcg0 | 1132.9 | 0.0 | 0.0 | 2009.12.09 18:38 | 1133.2 | -1.00 | 0.00 | 0.00 | -3.00 |
| 19408305 | 2009.12.09 18:33 | buy | 0.10 | gcz9 | 1131.7 | 0.0 | 0.0 | 2009.12.09 18:38 | 1133.5 | -1.00 | 0.00 | 0.00 | 18.00 |
| 19408295 | 2009.12.09 18:33 | sell | 0.10 | sih0 | 17.620 | 0.000 | 0.000 | 2009.12.09 18:39 | 17.595 | -1.00 | 0.00 | 0.00 | 12.50 |
| 19408297 | 2009.12.09 18:33 | buy | 0.10 | siz9 | 17.590 | 0.000 | 0.000 | 2009.12.09 18:39 | 17.620 | -1.00 | 0.00 | 0.00 | 15.00 |
| 19408562 | 2009.12.09 18:40 | buy | 0.10 | sih0 | 17.580 | 0.000 | 0.000 | 2009.12.09 18:44 | 17.525 | -1.00 | 0.00 | 0.00 | -27.50 |
| 19408564 | 2009.12.09 18:40 | sell | 0.10 | siz9 | 17.620 | 0.000 | 0.000 | 2009.12.09 18:44 | 17.525 | -1.00 | 0.00 | 0.00 | 47.50 |
| 19408488 | 2009.12.09 18:38 | buy | 0.10 | gcg0 | 1133.2 | 0.0 | 0.0 | 2009.12.09 18:48 | 1130.8 | -1.00 | 0.00 | 0.00 | -24.00 |
| 19408489 | 2009.12.09 18:38 | sell | 0.10 | gcz9 | 1133.5 | 0.0 | 0.0 | 2009.12.09 18:48 | 1129.0 | -1.00 | 0.00 | 0.00 | 45.00 |
| 19408749 | 2009.12.09 18:48 | sell | 0.10 | sih0 | 17.560 | 0.000 | 0.000 | 2009.12.09 18:48 | 17.555 | -1.00 | 0.00 | 0.00 | 2.50 |
| 19408750 | 2009.12.09 18:48 | buy | 0.10 | siz9 | 17.530 | 0.000 | 0.000 | 2009.12.09 18:48 | 17.560 | -1.00 | 0.00 | 0.00 | 15.00 |
| 19408747 | 2009.12.09 18:48 | sell | 0.10 | gcg0 | 1130.8 | 0.0 | 0.0 | 2009.12.09 18:49 | 1129.8 | -1.00 | 0.00 | 0.00 | 10.00 |
| 19408748 | 2009.12.09 18:48 | buy | 0.10 | gcz9 | 1129.0 | 0.0 | 0.0 | 2009.12.09 18:49 | 1129.0 | -1.00 | 0.00 | 0.00 | 0.00 |
| 19408763 | 2009.12.09 18:48 | buy | 0.10 | sih0 | 17.555 | 0.000 | 0.000 | 2009.12.09 18:51 | 17.520 | -1.00 | 0.00 | 0.00 | -17.50 |
| 19408764 | 2009.12.09 18:48 | sell | 0.10 | siz9 | 17.560 | 0.000 | 0.000 | 2009.12.09 18:51 | 17.510 | -1.00 | 0.00 | 0.00 | 25.00 |
| 19408824 | 2009.12.09 18:51 | buy | 0.10 | sih0 | 17.505 | 0.000 | 0.000 | 2009.12.09 18:53 | 17.525 | -1.00 | 0.00 | 0.00 | 10.00 |
| 19408825 | 2009.12.09 18:51 | sell | 0.10 | siz9 | 17.510 | 0.000 | 0.000 | 2009.12.09 18:53 | 17.510 | -1.00 | 0.00 | 0.00 | 0.00 |
| 19408870 | 2009.12.09 18:53 | sell | 0.10 | gcg0 | 1130.3 | 0.0 | 0.0 | 2009.12.09 18:54 | 1129.3 | -1.00 | 0.00 | 0.00 | 10.00 |
| 19408871 | 2009.12.09 18:53 | buy | 0.10 | gcz9 | 1129.0 | 0.0 | 0.0 | 2009.12.09 18:54 | 1129.0 | -1.00 | 0.00 | 0.00 | 0.00 |
| 19408881 | 2009.12.09 18:54 | buy | 0.10 | sih0 | 17.505 | 0.000 | 0.000 | 2009.12.09 18:55 | 17.525 | -1.00 | 0.00 | 0.00 | 10.00 |
| 19408882 | 2009.12.09 18:54 | sell | 0.10 | siz9 | 17.510 | 0.000 | 0.000 | 2009.12.09 18:55 | 17.510 | -1.00 | 0.00 | 0.00 | 0.00 |
| -45.00 | 0.00 | 0.00 | 334.50 | ||||||||||
| Closed P/L: | 289.50 | ||||||||||||
| Open Trades: | |||||||||||||
| Ticket | Open Time | Type | Size | Item | Price | S / L | T / P | Price | Commission | Taxes | Swap | Profit | |
| 19406682 | 2009.12.09 17:46 | buy | 0.10 | esh0 | 1086.75 | 0.00 | 0.00 | 1085.00 | -1.00 | 0.00 | 0.00 | -8.75 | |
| 19406684 | 2009.12.09 17:46 | sell | 0.10 | esz9 | 1091.25 | 0.00 | 0.00 | 1089.75 | -1.00 | 0.00 | 0.00 | 7.50 | |
| -2.00 | 0.00 | 0.00 | -1.25 | ||||||||||
| Floating P/L: | -3.25 | ||||||||||||
| Working Orders: | |||||||||||||
| Ticket | Open Time | Type | Size | Item | Price | S / L | T / P | Market Price | |||||
| No transactions | |||||||||||||
| Summary: | |||||||||||||
| Deposit/Withdrawal: | 5 000.00 | Credit Facility: | 0.00 | ||||||||||
| Closed Trade P/L: | 289.50 | Floating P/L: | -3.25 | Margin: | 120.00 | ||||||||
| Balance: | 5 289.50 | Equity: | 5 286.25 | Free Margin: | 5 166.25 | ||||||||
 | |||||||||||||
| Details: | |||||||||||||
| Gross Profit: | 515.00 | Gross Loss: | 225.50 | Total Net Profit: | 289.50 | ||||||||
| Profit Factor: | 2.28 | Expected Payoff: | 6.43 | ||||||||||
| Absolute Drawdown: | 5.00 | Maximal Drawdown: | 38.50 (0.76%) | Relative Drawdown: | 0.76% (38.50) | ||||||||
| Total Trades: | 45 | Short Positions (won %): | 23 (73.91%) | Long Positions (won %): | 22 (50.00%) | ||||||||
| Profit Trades (% of total): | 28 (62.22%) | Loss trades (% of total): | 17 (37.78%) | ||||||||||
| Largest | profit trade: | 64.00 | loss trade: | -38.50 | |||||||||
| Average | profit trade: | 18.39 | loss trade: | -13.26 | |||||||||
| Maximum | ($): | 4 (108.50) | consecutive losses ($): | 2 (-33.00) | |||||||||
| Maximal | consecutive profit (count): | 108.50 (4) | consecutive loss (count): | -38.50 (1) | |||||||||
| Average | consecutive wins: | 2 | consecutive losses: | 1 | |||||||||
The contest link opens.
About the demo: the kitchen cannot foresee even such simple things ahead of time. They will plug the gaps as they come up. That's the way it's always been.
The competition link opens.
About the demo: the kitchen is not able to foresee even such simple things ahead. Will fill the gaps as they are opened. They always have.
http://www.procapital.ru/showthread.php?t=20977
If I'm not mistaken, the fourth post from the top. Ruslan Smirnov comments on the CFDs in question in my posts. Do you think he is worth believing? By the way, have you noticed that for their CFD Ask = Bid ? There is only commission, which for some contracts is less than the value of one pip... How normal is it for CFD ?
P. S. Now the link really opens, thank you. And the Expert Advisor's profit is already 551 virtual $ =)
As far as I know, when trading on the real, the execution will be done at ticker prices with the postfix "#I" (i.e., you should focus not on the price "sih0", but on "sih0#i"), and the opening will be done by the uptick rule (i.e., the trade will be opened after the tick from the direction you want).
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Wrote a simple indicator to visualise spreads (enclosed).
Just by looking at the charts you can see dozens of great opportunities to open and close positions. But how much confidence can I put in such a chart? Is it realistic to open positions with these quotes?
(Quotes B., CFD spreads for GCG0 and GCZ9. They swear on their forum that the price of their CFD = the price of the real futures on the CME).
Would love to hear the opinions of spread traders, very afraid of stumbling across another pitfall =)