Spread trading in Meta Trader - page 225
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Entered here and averaged here! (See the arrows on the second indicator and also the opening times of the orders)
Bottom line - profit! (See the green underline below right)
Beautiful trade, more active since November :-) taking on expa on mcl5!
Trade description - in the branch. Entries/exits - by indicator signals, arbitrage trading is done without stops!
The description of trading - in the branch. Entries/exits - by indicator signals, arbitrage trading is done without stops!
Plus analysis of "multi-year seasonal trends". For example, one-time manual or automatic data download from sites suggested by leonid553
Otherwise it won't be quite "that" strategy and again there will be "revelations" like this
...the myth will be dispelled )).
Of course it's much easier to manually adjust EA's performance, but only in real time. But to find and analyze areas where the "mechanical part" of the strategy + "seasonality" fail will be more difficult. Believe me. Whether "it" (finding and analyzing) is worth the cost of coding, I'm not sure.
SZY. With the "poverty" of spread options on MT4/5, probably the cost of the coding (especially temporal) will not pay off - you can "live" with what Leonid offers. But ... ahem ... on other platforms you could look for other spreads.
.....With the "poverty" of spread options on MT4/5, probably the cost of coding (especially the time) will not pay off - you can "live" on what Leonid suggests. But ... ahem ... on other platforms you could look for other spreads.
Well, if you want, you can find a DC with a good range of commodity instruments in mt4 and fractional lots. "As a last resort - to open 2-3 accounts with different brokerage companies! However, I have already moved away from automated spread trading. I use EAs only for opening/closing with given limits and for pair trawling! There is no point in using automated algorithms for long-term entries! It is easier to do it manually.
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Because of the current seasonal decline in US heating oil demand (fuel oil, ticker HO), - short-term contracts at the moment (from the third decade of October) are in less demand than long-term contracts!
Here is a graph of the multi-year (5 and 15 year) average seasonal trends of the HOZ2 - HOF3 fuel oil calendar spread (December - January):
The average seasonal profit potential of the spread to the middle of the first decade of November-month is over +400 points (1 pip=$4.2) according to the MRSI website (15-year averaging)
Let me remind that the most interesting thing for us here is that we do not care in what direction the prices of the primary instruments will go! We are not interested in that! Because, here we can assume with great probability that in any scenario, the demand for the long-range F3-contract of fuel oil in the analyzed time interval will be ahead of the demand for the short-range Z-contract! In other words, the price of F3 fuel oil will rise faster or fall slower than the price of Z fuel oil!
continuation follows
Here again I remind you that it is better to enter(SEL HOZ2 - BUY HOF3) in the midst of US commodity trading to reduce losses on the asc-last-bid of the long contract!
p/s Today at 18:30 Moscow timeframe US commodity inventory data release. Expect vigorous moves in commodities!
Found an interesting combination of triple spread instruments! Euro-Dollar Index (reverse) - SP500 Index. For short term entries.
The spread goes in a promising flat channel!
I'll find better settings over the weekend and post them here.
==========
As promised, let's start slowly. (Screenshot from mt4 DT Grandapital). M15 timeframe.
Last couple of days the triple spread line ESZ2 - (EURUSD-DXZ2) was still in the channel in active flat.
We see that the line of the spread here often repeats the movements of the mini SP-500 index(ESZ2), as it is the most volatile of the analyzed instruments. Thus, we work with this index against two other elements: ES against EURUSD and reverse DX
(Remind that the dollar index DX in both indices is reversed).
In other words, we will always enter: BUY ESZ2 - (SELL ERRUSD + BUY DXZ2 ) = 2^1^2 ,
or SELL ESZ2 - ( BUYERRUSD + SELL DXZ2) = 2^1^2 .
The spread line channel width is approximately $10-12 with the position size ratio of 0.02^0.01^0.02 (see the indices scale on the right, - in dollars)
It appears that we sort of "hedge" the movement of ESZ2 index by the sum of movements of DX dollar index and EURUSD pair.
The spread line channel width is approximately 10-12 dollars at a position size ratio of 0.02^0.01^0.02 (see the scale of the indicator on the right, - in dollars)
Indicator parameters(Ind_3line+1Mod and Spread_I3_env) for this ratio are shown in the figure:
( http://www.procapital.ru/showpost.php?p=818555&postcount=275 - download indices in free access. It is obligatory, after each start of mt4 to flick the tf "back and forth", so that the indices will self-adjust))
Let me remind you that our entry is realized at maximum of divergence of the red price line ESZ2 and arithmetic mean(cumulative) lilac. (total) lilac line,on the next bar after the beginning of their convergence (when the "beige" triangle turns to the right). The spread line should also turn from its local extremum(ideally - the spread line in this case should start crossing its channel boundary from outside to inside!)
And exit - strictly at the point of convergence (crossing) of the red price line ESZ2 and the arithmetic mean(cumulative lilac). (cumulative) lilac line. Or when the spread line reaches the opposite channel boundary. Positions are closed at any current result!
It is desirable that the Ask-bid of all analyzed instruments in MT4 was "sane" (and not as in some brokerage companies), and "ideally" - stock (ie 1-2 ticks, not more)!
It is clear that the room for experiments opens here.
Instead of"Strong" (i.e. sp500) you may try to take another index. For example YMZ2 (mini Dow) or NQZ2 (mini Nasdaq) ... Or you could take the European indices (Dax FDAX, FTSE FTSE, EuroDow FESX, Euro Dow-Stock FSTX, etc.) instead of the Euro or instead of theNasdaq. And in doing so, "optimise" the position size ratio to "corral" the spread line into an almost horizontal predictable channel. Or take not three, but more instruments. And, the dollar index DX - "at any rate" (imho) must be among the analyzed instruments!
There is a lot of work here!(than, by the way, not a subject, e.g. for a thesis?). And (for a start) to simplify the system and to "quickly become profitable" in such arbitrage trading - we can do so:
(to be continued)
Indicator parameters(Ind_3line+1Mod and Spread_I3_env) for this ratio are shown in the figure:
( http://www.procapital.ru/showpost.php?p=818555&postcount=275 - download indices in free access. It is obligatory, after each start of mt4 to flick the tf "back and forth", so that the indices will self-adjust))
Let me remind you that our entry is realized at maximum of divergence of the red price line ESZ2 and arithmetic mean(cumulative) lilac. (total) lilac line,on the next bar after the beginning of their convergence (when the "beige" triangle turns to the right). Thus, the spread line should also turn from its local extremum(ideally - the spread line in this case should start crossing its channel boundary from outside to inside!)
And exit - strictly at the point of convergence (crossing) of the red price line ESZ2 and the arithmetic mean(cumulative lilac). (cumulative) lilac line. Or when the spread line reaches the opposite channel boundary. Positions are closed at any current result!
It is desirable that the asc-bid of all analyzed instruments in MT4 was "sane" (and not as in some brokerage companies), and "ideally" - stock (i.e. 1-2 ticks, not more)!
It is clear, that the room for experiments opens here.
Instead of"Strong" (i.e. sp500) you can try to take another index. E.g. YMZ2 (mini Dow) or NQZ2 (mini Nasdaq) ... Or to take the European indices (Dax FDAX, FTSE FTSE, EuroDow FESX, Euro Dow-Stock FSTX, etc.) instead of the Euro or instead of theNasdaq. And in doing so, "optimise" the position size ratio to "corral" the spread line into an almost horizontal predictable channel. Or take not three, but more instruments. And, the dollar index DX - "at any rate" (imho) must be among the analyzed instruments!
There is a lot of work here!(than, by the way, not a subject, e.g. for a thesis?). And (for a start) to simplify the system and to "quickly become profitable" in such arbitrage trading - we can do so:
(to be continued)
Thanks, Leonid. I will try it...
leonid553:
Let me remind you that the entry is realized here at the maximum of divergence of price lines of the analyzed instruments, on the next bar after the beginning of their convergence (when the "beige" triangle turns the tip to the right). The spread line should also turn from its local extremum (ideally - the spread line with that should start to cross the boundary of its channel from outside to inside!
=========================And exit - strictly at the point of convergence (crossing) of price lines. Or when the spread line reaches the opposite channel border. Positions should be closed at any current result!
..... To simplify the system and "quickly become profitable" in such arbitrage trading (for the beginning), you can do the following
(continued)
Take not a triple, but a non-standard double spread, such as "Triple Spread - Dollar Index (Reversal)", i.e. ESZ2 - DXZ2= 1^2, like this:
I marked with arrows all entries by the signals that took place over the past 2-3 days! Profitable among no (with strict adherence to the rules set out by me in the pre-post).
Let me remind you that DXZ2 is set "reversed" in the indices, because the instruments want to go inversely! And at a paired entry here we simultaneously sell (or simultaneously buy) both instruments! Depending on the positioning of the price lines between them!
Apparently, this tactic should be automated by itself for these instruments. Moreover, the risk is very low. At the ES-DX=0.01^0.02 the spread line channel width is only 6-8 dollars, no more! Losses on asc-bid and on commissions would cost half a dollar at most (with exchange-quoted asc-bid, as in mt4 Grandcapital). I think this kind of automatic algorithm is much more promising than any other pipsqueak tactic with, often, questionable prospects...
The only problem is the impossibility to use iCustom function because it is impossible for multicurrency indices. We will have to insert calculation of the spread channel and price lines in the Expert Advisor's code. Well it's not really hard, maybe it's just too tedious...
If you are too lazy to do it - this is what the "Jobs" section on top of the menu is for.
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Parameters of indicators for non-standard paired spread ESZ2 - DXZ2 = 0.01^0.02 are shown in figure:
Indicator parameters for non-standard paired spread ESZ2 - DXZ2 = 0.01^0.02 are shown in the figure:
Leonid, if the instruments are reversed in the settings, should be ESZ2 + DXZ2 or -ESZ2- DXZ2
That is, both instruments are either buy or sell.