Spread trading in Meta Trader - page 170
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Yes, here's a curious, rather profitable short-term currency tactic for tf=m15 (and I quote myself):
the "fundamental" justification for this spread :
.... ... ..
It turns out that this triple spread will only ever be traded in "6E (euro) vs (RP-DX)"mode . In doing so, the euro pound position RP (or EURGBP) is always strictly to one side and both DX and 6Epositions are always strictly to the other! This should be firmly remembered! Therefore, we will refer to this spread as follows for convenience:
RP (or EURGBP) - (6E+DX). ( end of quote).
Hello all! No comment!
Close positions of this triple spread with a small total profit at the upper limit of the
of the spread. Unfortunately, the profit is very small. However, this could have been foreseen upon entry.
on the scale (right) of total equity - at the current channel edge width. But the risk of such trading is insignificant as well...
Well, never mind! "It's a small thing, but it's nice!".
I should add that the false morning jump down the spread was caused by a different start of futures/currencies trading and not quite correct hairpin on the DX at the opening.
Quite profitable.
I started trading this methodology a little over a year ago - just when Fduch (thanks to him!) started this thread. I started to dig deep into it. Experimented. Dug through pages of the Internet on this topic. My own developments, ideas, working methods have appeared.
There are even good attempts of automated trading in calculating currency entries taking into account statistical arbitrage!
I`ve stopped losing money unambiguously. Now even if I sometimes close with a loss - I, nevertheless, am always confident in the final profit of the "reporting period".
... even when closing a loss at times ...
For short-term trading (m15, m30) - positions are closed strictly at the point of convergence of price lines of the analysed instruments, - regardless of the current total. Or - when the spread line - reaches the opposite border of its channel.
Of course, it is not always possible to timely detect the point of convergence (crossing of lines) on small timeframes (m15). Especially if it is crossed in the dead of night ..... Then I close in the morning, especially as the night flat allows me to do this.
Here is how, for example, yesterday evening entry closed this morning on currency "duo" RP-DX:
(Since these instruments run counter to each other, I set the DX price line in the price line indicator reversed (i.e., mirrored) for ease of analysis. And positions in this spread are always opened strictly to one side - both to buy or both to sell. Depending on the location of the RP price line)
For short-term trading (m15, m30) - positions are closed strictly at the point of convergence of price lines of analyzed instruments- regardless of the current total.
But this may not happen. I mean the price lines may never converge.
Or - when the spread line reaches the opposite edge of its channel.
In this case the loss may be VERY large.
Of course, on small timeframes (m15) we can't always detect the point of convergence (crossing of lines). Especially if this crossing took place "in the dead of night" ....
And it may not happen. I mean that the price lines may never converge.
The point is that a statistically based system is very important. Unfortunately, no statistical research is being carried out here (not in this thread, but on this resource in general).
It is possible to track software, isn't it?
1. This may not happen. I mean, the price lines may never converge.
2.In this case, the loss could be VERY large.
3. You can track it programmatically, right?1. But we are talking about short-term trading! - At timef=m15 after a strong divergence it always happens (as a rule) on the same day. In the worst case the lines will converge in a day!
But even in the worst case the loss is usually quite tolerable. I found this out as a result of months of online experiments. Of course, for those groups of instruments in which I've experimented. Currency futures, indices, and so on.
Just look for yourself - take a price lines indicator on the chart at tf=m15 and charge it - at least on triple spread RP-DX-6E, or on European indices:
On tf=30 (e.g. I work on CL-6C, SI-GC) - about the same. But here we need to gain some practical experience. Get a good hand. Because here it is desirable (unlike at m15) to assess the fundamental-seasonal resonances of commodity futures on entry/exit!
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2. You didn't quite understand my answer. Entry is defined as follows: the price lines have diverged strongly and are starting to converge. At the same time the spread line starts moving in our direction (for example) from the lower limit of the channel upwards. And I do not close the loss here, but the total profit - at the moment the spread line reaches the upper limit of the channel! - See my drawing on RP-DX in the previous post.
I.e., I look what happens faster? - Will the lines cross or will the spread reach the opposite boundary?
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3. Yes, of course. I posted Expert Advisors on the BROKO forum in my branch for free access. The Expert Advisor and its description I gave in Leprecon magazine in issue of May-July. The article Quasi Arbitrage in MT4 - http://forum.leprecontrading.com/viewtopic.php?f=92&t=897&sid=8863da90c0a3808ed12903d9b643c3f0
And "paired" and "triple" Trailing Stop Advisors. In the first post of my blog there is a kind of "glossary" with addresses of constructions - indices and EAs. http://www.procapital.ru/showpost.php?p=775025&postcount=1
On price lines an Expert Advisor also works quite well. I have not posted it yet. I am improving it now.