For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 12
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After all, add FI charts after OOS - you'll see that you can take a bigger profit there...
This is what the original FI looks like in the example above:
After applying the weighting factors:
Adding up all these charts, we obtain a synthetic with the minimum possible dispersion:
In this case among weights it appears that AUDUSD (0.3945) and EURUSD (-0.2231) stand out with large absolute values. I.e. in this case these two FI have the largest contribution. Let's compare this synthetic with the EURAUD cross:
It does. It can be seen that the synthetic in the basis used a flat (on the construction interval) on the EURAUD cross (only majors were analyzed during the construction of the synthetic). In this case it would be possible to earn more on Out of Sample only by using the channel breakdown strategy.
Afternoon,
I have recently came across Rbkforex's trading conditions and there they accrue fantastic POSITIVE swaps which allow earning money without playing. So I concluded that one should not carry money there because I doubt it is a serious company, but this is not the point. What has struck me - I quote, from the client agreement: "7.1 The company has the right to cancel executed orders of clients in the following cases: .... ... ... - An order opposite to the one opened (hedging) was created less than a minute after it was opened. Including, if 2 orders have been created in a "triangle" overlapping an open order."
An example of a triangle, as I understand it, is euro-ud sell, aud sell, euro buy (the total swap is not negative on forexclub, all three currencies are sold once, bought once), or on the same rbcforex - fuy buy, pound sell, yen sell (there the total swap will be positive at all). Do I get it right? So my question is this. If they (the Dets) are so hedged against it with client agreements, then a triangle could be a really powerful strategy??? What is the best way to use it then? Just fund all three when their total balance is negative, and close all three when their total balance is positive?
Afternoon,
I have recently encountered trading conditions rbcforex, they charge simply fantastic POSITIVE swaps which do not play, you can get the money, which can conclude that the money is not worth carrying there, because it is unlikely a serious company, but that's not the point. What has struck me - I quote, from the client agreement: "7.1 The company has the right to cancel executed orders of clients in the following cases: .... ... ... - An order opposite to the one opened (hedging) was created less than a minute after it was opened. Including, if 2 orders have been created in a "triangle" overlapping an open order."
An example of a triangle, as I understand it, is euro-ud sell, aud sell, euro buy (the total swap is not negative on forexclub, all three currencies are sold once, bought once), or on the same rbcforex - fuy buy, pound sell, yen sell (there the total swap will be positive at all). Do I get it right? So my question is this. If they (the Dets) are so hedged against it with client agreements, then a triangle could be a really powerful strategy??? What is the best way to use it then? Just fund all three when their total balance is negative, and close all three when their total balance is positive?
If spreads are positive, then a lock or a looped triangle is a sure win - a fork. I opened and immediately received a profit on the equity, i.e. equity will be higher than the balance. I closed and fixed it on balance.
With negative spreads, it's strictly the opposite.
hrenfx:
Синтетик перестраивается с приходом новых цен.
Suppose at some value the synthetic has opened a statarbitrage position. Over time the synthetic and the channel are rebuilt. Should we close the positions by the new value of the synthetic and the channel or do we not change anything before closing the positions?
It is because of the second point that the balance of this strategy is not straight up like a martin. I.e. it is not averaging. Positions can be closed both in profit and in loss.
It should also be noted that the synthetic can be built for intervals of different lengths. I.e., you could build a synthetic for a month interval and a synthetic for a day interval. And trade them on points 1-2. The monthly synthetic would change more slowly than the daily synthetic. Therefore, according to point 2 above, trading on a monthly synthetic would be slower than on a daily synthetic. But all according to the same rules.
The video clearly shows the moments when the synthetic starts going the wrong way on the OOS, and how the synthetic's rebuilds force the old synthetic's trends into a flat.
Once again, please note that all of the above rules are true for any synthetic construction method. But they will not work for all.
The basis of a synthetic is to use what distinguishes a real market from a random market. In a random market in general, any synthetic construction will not make a profit.
In a real market, only a synthetic that makes use of market correlations will make a profit. Beautiful synthetics can be constructed, but they will only be a stretching of the market into formulas and will in no way reflect the market itself.
Therefore, synthetics like this, with all due respect to the author, will not work at a profit.
It will not work. For it is pure empiricism without any theoretical justification.
No stone flower comes out. There is no guarantee that the "current optimum synthetic" will hang around in the channel you assume. And so, too, refills to the "current optimum" may sooner or later turn into trivial dilutions, which are fraught with danger.