For those who have (are) seriously engaged in co-movement analysis of financial instruments (> 2) - page 5
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There's a note at the very bottom, under the table. Read it carefully.
I read it carefully, what is obvious to you is not obvious to me, i.e. you have a specific case in the last two weeks?
I was hoping that maybe at least you had figured out why JPY pairs were chosen as anchors for T101
I don't know why we need a synthetic that forms a sideways trend with a channel?
Statistical arbitrage based on market correlations.
But, if you count the last two weeks, you get a portfolio like this:
How was it counted?
All *JPY pairs because they all have pips counted in Japanese yen, i.e. buckets to kilos are not compared.
I don't see anything wrong with having *JPY and *USD pairs in the portfolio.
Not to mention that reversing the poses for the entire portfolio is no easy task.
Simple.
I was hoping that perhaps at least you had worked out why JPY pairs were chosen as anchors for T101
the correlation between GBPUSD and USDJPY on higher TF is quite high, I suspect that was the reason for choosing GBPJPY as an anchor pair, as the "pure T101" used TF D1 analysis
Statistical arbitrage, based on market correlations.
Can you explain the concept?
Many people are already chattering it under their noses - but they don't know the definition.
;)
Here's a funny thing:
Anyone have any idea how it works and how stable it is?
Here's a quote from the anatomy:
This are H4 candles starting in march 2009 until today. The signs are wrong! minus is plus and plus is minus! (And the lot sizing factors might still be completely wrong).
Here's a quote from the anatomy:
The signs are wrong! minus plus and plus minus! (And many dimensions of factors can still be completely wrong).
another obscure variety of currency indices, there are economic indicators that are at least somewhere involved in the calculations, the same classic dollar index.
there's statistics on trade turnover between countries, which also have coefficients http://www.markit.com
and this is... just another know-how, which only works on history when adjusted accordingly, imho.
Can you explain this concept?
Does anyone have any idea how it works and how stable it is?
This is one of the results of MT4 interaction with R-project.
In this case the straight line is approximated through a linear multivariate regression of all incoming FIs on the build interval (shown).
I have read carefully, what is obvious to you is not obvious to me, i.e. you have a specific case in the last two weeks in mind?
I was hoping that maybe at least you understood why JPY pairs were chosen as anchors for T101
I took pairs like for T101 and recalculated them so the portfolio would breakeven within last 20 trading days.
There are different sets of pairs on the Internet. I have chosen the most stable and profitable set of those that have come across.
Pair
в
lots
pair
over 20
trading
.
The essence of this portfolio is to open simultaneously on all these pairs at specified lots and directions. And then, using a special Expert Advisor that closes all of them when the specified profit is reached, lock in the profit.
The portfolio will not live long - this has already been tested. I.e. sometimes it does not change for several days, if at the end of the trading day it shows a profit. But after the first losing day it will change dramatically.
These are the pies.
I took pairs as for T101, recalculated them so that the portfolio would breakeven within the last 20 trading days.
There are different sets of pairs on the internet. I have chosen the most stable and profitable set from those that have come across.