Triangular arbitration - page 2
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The size of the contracts should not be the same otherwise you will get a big move in the value of all Equity positions
You have misunderstood what I am talking about. The contract sizes for open trades in my algorithm are not all the same in order to eliminate the chatter on equity. I am referring to the contract sizes for the pairs in the broker specification.
Indicator - currency triangle ( by scriptong)
Indicator - currency indicator (by scriptong)
It's a bummer to not even have a lot setting
here found the best ratio eurusd buy 10000. usdjpy buy 13000. eyrjpy sell -10000
Are you in the right head? I mean checking multicurrency EAs in the MT4 tester?
Run the test and look at the log.
None. It is forbidden on this forum to discuss them, advertise them, etc.
Theoretically, any broker that meets the conditions would be suitable for this EA:
1. Contract sizes for all three pairs are equal
2. Minimal lot does not exceed 0.01.
3. There is no prohibition on arbitrage trades in the contract
I think the settings and lot sizes should not only take into account the specification, but also take into account the current volatility.
For example, - indicator calculation of size ratios of these three instruments, - when EURUSD=1, - left size without volatility, - right size with (ATR, per=144) volatility:
(If EUR and EURJPY relate approximately as 1:1 both there and there, for yen - the difference is quite significant, - EURUSD^EURJPY^USDJPY = 1: 1:1.35 and 1:1:2.28 !)
The settings and lot sizes, I think, should be taken not only with the specification in mind, but also with the current volatility in mind.
What is the point? This is not pair trading.
Here it is different, i.e. two pairs buy EURUSD and buy USDJPY are the full mathematical equivalent of buy EURJPY (synthetic pair). That is, when we open a sell EURJPY in addition to those two pairs, we lock the synthetic pair almost completely (a small error due to discreteness of lots). And if we lock, then the lots of both transactions should be as equal as possible, but to make even less mistakes, the volume of open positions for long positions must be larger than the volume for short ones in the currency, otherwise we lock on this currency to a certain disadvantage.
The essence of the arbitrage situation - this is the time when the synthetic transaction buy EURJPY and the real sell EURJPY spread is negative, i.e. in our favor. Thus, we lock the opposite transaction with a known profit. Then we wait for the opposite, i.e. when the spread becomes positive (we obtain additional profit) and close.
Theoretically it is possible to recalculate the lots of all pairs for any contract size, but it is easier to change broker.
What's the point? It's not paired trading.....
I see.
Yeah, I guess you have to pick a broker here. Because the channel, in which the line of total equity (on three open positions with sizes 0.1:-0.1:0.14) moves, has a width of approximately $5-7.
In any case, we should of course look online to see what happens!