For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 28
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Explain what and why in your picture.
If possible, attach the source of the correlation indicator from the screenshot.
The correlation is the usual Pearson formula that many indicators use. It is only calculated from left to right in each new bar. The result is different, as you can see. I read Wikipedia and spent a week on obtaining the correct result. At first I often saw division by zero, but then it disappeared. Go ahead, it is an interesting topic.
The rest seems to be explained.
I'm familiar with the correlation...., that's why I want to see the source.
For the rest, what is the entry and exit criterion for the two instruments?
I'm familiar with the correlation...., that's why I want to see the source.
As for the rest, what is the criterion for entry and exit for the two instruments?
Obtain (achieve) the same correlation graph, combine the graphs of the pairs (red-green indicator) and create the maximum equity (lime-green indicator), changing the sign of deals of the red-green indicator. And you will be happy.
Criteria - look at the context or just change the signs of the trades (all options)
I think you should have a couple of instruments before you go for 3 or more pairs.
Here's my... Arbitrage. Equity lime at the bottom for 10 years minus the spread. This is in lieu of a single currency tester - for tuning.
By the way, I told you a long time ago that nobody has made up a normal correlation indicator yet. It should work like this (in blue), i.e:
//correlation is negative - growth(or decline) of R and growth(or decline) of L
//correlation is positive - growth(or decline) of R and growth(or decline) of L
//correlation closer modulo to 1 - strong relation, linear dependence
//correlation closer modulo to 0 - no relation
Here in the context of L is one pair and R is another.
Green and red - combined trades, charts on the pairs, and pink - equity of the trade
Alexander's handwriting is obvious. :)
The main question is which series depth to take.
A couple of questions about the drawing:
1. did you use fillings / reversals, or did you leave open positions?
2. As far as I understood, the deals were opened by the correlation indicator?
Alexander's handwriting is obvious. :)
I'm close to the correlation idea, I'm doing it too... the main question is how deep the rows should be.
A couple of questions about the drawing:
1. did you use any fillings/reversals or did you leave open positions untouched?
2. I understood that the deals were opened using the correlation indicator?
There are no refills, etc. That's Alexander's style. I have excluded them as I don't trade more than 10% of the deposit.
About the trades - right.
It is clear, though:
that there is a linear correlation in the triple EURGBP,EURUSD,GBPUSD - this is the basis of the strategy called arbitrage. So all that remains is to correctly calculate the correlation.
The best correlation equity result is obtained at 7-8 hour bars.
There are no fill-ups, etc. This is Alexander's style. I excluded them as I don't trade more than 10% of the depo.
About the deals - right.
It's clear though:
that there is a linear correlation in the triple EURGBP,EURUSD,GBPUSD - this is the basis of my strategy, which is called arbitrage. So all that remains is to calculate the correlation correctly.
On the last sentence I would say more, you can make baskets of dependent pairs based on USD, JPY, CHF, AUD... and make trades from those baskets from the outcasts. Of course, there are some nuances-private cases. :)
No doubt about it. Once you get normal equity on two pairs, you get the technology to work with the others.
Here is the Pearson correlation coefficient indicator (in red) for the 8 o'clock sliding window on H1:
What your indicator shows is a mystery.
At what values does your correlation indicator open-close?
Here is the Pearson correlation indicator (in red) for the 8 o'clock sliding window on H1:
What your indicator shows is a mystery.
At what values does your correlation indicator open-close?
I had that too... in the beginning. The point is to take and apply Pearson's formula for two series at the same time and get one graph and remember to bring the pairs to the same denominator.
--- At what values of your correlation indicator there is an opening-closing?
You can see if it is more than zero or less. Close and then... almost open.
Here is the correlation indicator shown above. It instantly calculates hundreds of thousands of CCs for any size sliding window. The readings coincide with the matrix packets 100%.
What counts for you is a mystery.