Spread trading in Meta Trader - page 125
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Строить процесс 1 к 5 значит строить его так x(i) = 5 * log(p1(i)) - log(p2(i)). В первый инструмент мы инвестируем в 5 раз больше денег. Это будет уже совсем другой процесс, чем в первом случае. Если мы всё расчитали правильно, то возможно этот процесс будет более устойчивым, чаще пересекать свой мин и не уходить от него в свободное плавание.
Смутное ощущение осталось после этой статьи. В частности, он приплёл туда фибоначи. А нафига? Нет никаких доказательств, что оно работает. Единственная зацепка - это психологический фактор, когда много народу одновременно ставят одинаковую сетку и одинаково действуют. Такой самосбывающийся прогноз. Но в спред-трейдинге никто кроме тебя не видит твой спред-процесс, никто не знает твои параметры, т.е. такого эффекта быть не может.
Ощущение компота из сухофруктов, по частям всё правильно, но всё вместе приторная попса.
I figured it out - he's building it 1:2 (roughly, as far as I understand this ratio "floats" a bit): 1 FDAX and 2 FESX (look at section 6.2, he calculated the spread unit ratio there)
only it is still not clear why he ended up with 1:5 lot ratio
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yeah, it's a tough topic these spreads... information is mostly in english
and everywhere at different levels of discussion - somewhere a very serious approach, and somewhere amateurish
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ok, i'll read more about it, maybe it'll make more sense
Information for reflection.
ZNM0 + ZBM0
An upward reversal of this spread line ( see bottom indicator) would correspond to the March seasonal trend chart for these German securities.
Did you mean to say "on these US bonds"?а кажись дошло до меня - он его строит 1:2 (примерно, насколько я понял этот коэфф. "плавает" немного): 1 FDAX и 2 FESX (обрати внимание на раздел 6.2, там он вычислил ratio для spread unit )
только все равно не понятно, почему в итоге у него получается соотношение лотов 1:5
I assume this is because the price of the contract differs by a factor of 2.5. That is, he trades 1:2 in money, but in lots he gets 1:5. I will have to look into it in details.
The main thing I'm saying is that the lot size automatically follows from the method of spread creation. There may be a million ways to build the spread process. There is no absolute right way. But if you've already built it somehow, then the issue of lot size shouldn't arise for you. All the questions and confusion about lot size in this thread is an attempt to turn the process upside down, because everyone already seems to have the process, but it's not clear how much lot to trade it with. The calculation of lots by "tricky" formulas leads to the fact that the spread is converged and there should be a profit, but in fact there is a loss. Manipulating the lot size changes the spread process, i.e. you think you are trading this curve, but you are actually trading something else because of the wrong lot.
Вы хотел сказать "по этим американским облигациям"?Yes, of course...
большое спасибо за полезную информацию.я вчера как раз открыл бай zn и селл zb.Rid,вы достаете эти графики на сайте,указанном справа внизу на картинке?нет ли у вас графика FGBL,FGBM,FGBS?спасибо
Yes, that famous website https://www.mql5.com/go?link=http://www.mrci.com/web/index.php/ just specialises in seasonal information.Unfortunately. - (with a few exceptions) all relevant information there is given only to paying subscribers.
For German papers I have nothing. Do a search. If you find any, you can bring them here.
There is some information freely available on various websites.
For example, here are some outdated (last year) charts of currency trends.
http://www.alpari.ru/ru/futures/516.html
(I took the coefficients as 1:80)
ne could dobavit Take Profit
posmotrite i pomogite yesli eto vozmojno
#include <stdlib.mqh>
#include <stderror.mqh>
extern double Lots=10;
extern int TralUp=11;
extern int EnterFiltr=6;
extern int InHistory=5;
extern double SL=0;
int StopLev;
int Tral;
double MA, MAP;
double Hich, Loch;
int i, CurTot, StopTot;
int OpenOrders()
{
Hich=High[Highest(Symbol(),NULL,MODE_HIGH,InHistory,0)]+(EnterFiltr+MarketInfo(Symbol(),MODE_SPREAD))*Point;
Loch=Low[Lowest(Symbol(),NULL,MODE_LOW,InHistory,0)]-EnterFiltr*Point;
OrderSend(Symbol(),OP_BUYSTOP,Lots,Hich,3,Hich-SL*Point,0,NULL,753,0,CLR_NONE);
OrderSend(Symbol(),OP_SELLSTOP,Lots,Loch,3,Loch+SL*Point,0,NULL,753,0,CLR_NONE);
// OrderSend(Symbol(),OP_SELLLIMIT,Lots,Bid+EnterFiltr*Point,3,Ask+2*EnterFiltr*Point,0,NULL,753,0,CLR_NONE);
// OrderSend(Symbol(),OP_BUYLIMIT,Lots,Ask-EnterFiltr*Point,3,Bid-2*EnterFiltr*Point,0,NULL,753,0,CLR_NONE);
return(0);
}
int start()
{
StopLev=MarketInfo(Symbol(),MODE_STOPLEVEL);
Tral=StopLev+TralUp;
CurTot=0;
StopTot=0;
for (i=0;i<OrdersTotal();i++)
{
OrderSelect(i,SELECT_BY_POS,MODE_TRADES);
if ((Symbol()==OrderSymbol())&&(OrderMagicNumber()==753)&&((OrderType()==OP_BUY)||(OrderType()==OP_SELL)))
{
CurTot++;
if (OrderType()==OP_BUY)
{
if ((OrderOpenPrice()+Tral*Point)<Bid)
{
if ((OrderTakeProfit()+Tral*Point)<Bid) {OrderModify(OrderTicket(),OrderOpenPrice(),Bid-Tral*Point,Bid+Tral*Point,OrderExpiration(),CLR_NONE);}
}
}
if (OrderType()==OP_SELL)
{
if (Ask<(OrderOpenPrice()-Tral*Point))
{
if (Ask<(OrderTakeProfit()-Tral*Point)) {OrderModify(OrderTicket(),OrderOpenPrice(),Ask+Tral*Point,Ask-Tral*Point,OrderExpiration(),CLR_NONE);}
}
}
}
if ((Symbol()==OrderSymbol())&&(OrderMagicNumber()==753)&&(OrderType()>1)) {StopTot++;}
}
for (i=0;i<OrdersTotal();i++)
{
OrderSelect(i,SELECT_BY_POS,MODE_TRADES);
if ((CurTot>0)&&(Symbol()==OrderSymbol())&&(OrderMagicNumber()==753)&&(OrderType()>1)) {OrderDelete(OrderTicket())}
}
if ((CurTot==0)&&(StopTot==0)) {OpenOrders();}
return(0);
}
zaraneye sapasibo!
privet
ne smog dobavit Take Profit
posmotrite i pomogite yesli eto vozmojno
#include <stdlib.mqh>
#include <stderror.mqh>
.......
zaraneye sapasibo!
No problem!
Write it like this :Instead of lines
( in external parameters add extern int TP=250; )
In the future, please do not put such questions here, but in the special branch https://www.mql5.com/ru/forum/111497
Leonid533 has posted currency difference (Common_Mod) and spread (SpreadCharts) indicators, which are on your and his screenshots, in free access (in this case on B. forum). In your screenshots both indicators are slightly updated, the first with a shaded area, the second with lot calculation. Is there any way to get them? Please. :)
"Leprecon Review #4 (March 2010) - article Quasi-arbitrage in mt4