Not the Grail, just a regular one - Bablokos!!! - page 215
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Made up a spread of three pairs. The channel can be as long as a year.
From home already, just monitoring at work. At the opening night I opened 1 lot sell CHFJPY 0.9 lot buy EURJPY and 0.1 lot buy CADJPY. Just to try it out. What can I say. I am sitting too long. The picture of the indicator will be in the evening. I will share the formula. It may be necessary to correct it.
/d1=x*d2+y*d3. d1 d2 d3 - movement of 3 pairs. When solving the system, it is desirable that x and y are positive and less than 1.
\1=x+y
IMHO, too simple. This is actually a cross eurchf trade.
It is a special case. The idea is that the sum of lots equals zero, i.e. the yen is not involved in the trade.
This screenshot is as of 1am. That is, the indicator is shifted by 17 hours.
And this is the freshly generated spread without a shift. I'm still figuring out how to trade. It's either a breakout or a bounce inside the channel. We'll see.
/* The idea is that the sum of lots is zero, i.e. the yen is not involved in the trade.
This is the right idea. I have already been hinted that the denominator is useful to zero out (usd, jpy). But the yen position is not exactly neutral.
sell chfjpy 1.0 lot is sell chf 100k and buy jpy 11.4679m.
buy cadjpy 0.1 lot is buy cad 10k and sell jpy 0.93837 million
buy eurjpy 0.9 lot is buy eur 90k and sell jpy 12.589020 mn.
For the rest we are looking at...
Four orders would be possible, but there is no clear third equation. That is why we have three for now. I mean, it's a very asymmetrical spread. I will bring this pack to zero and close it. I have an idea to shift the channel until the indicator leaves the channel on the zero bar. Before that, I tried to choose the longest channel possible. That is, whichever way the spread is traded, it will still cross zero. to sit it out. Drawdown so far is around $120.
Spread already crossed zero an hour and a half ago. Hopefully the spread will go down after all. As CHF was originally sold. I will leave it for the night. Closing will be on Equity equal to the total margin.
if(AccountEquity()-AccountBalance()>AccountMargin())closeall();Bablokos idea here. As I see it, no one has started correctly. I.e. First you need to express all pairs via deposit currency, then match them equally (equate) in price. ... Then apply them to one chart, then calculate lots, then make up a portfolio based on "statistical arbitrage" strategy, then look - what we get (I showed the portfolio indicator here from Surgeon), only then try it on a demo-....
The best variant is to write all indicators - pair mapping, spreads, channel, orders, equity for testing in MQL4 or directly in MQL5.
Bablokos idea here. As I see it, no one has started correctly. I.e. First you need to express all pairs via deposit currency, then match them equally (equate) in price. ... Then apply them to one chart, then calculate lots, then make up a portfolio based on the "statistical arbitrage" strategy, then look - what we get (I showed the portfolio indicator here from Surgeon), only then try it on the demo -....
The best variant is to write all indicators - pair mapping, spreads, channel, orders, equity for testing in MQL4 or directly in MQL5.
The portfolio indicator is not necessary. The price is more convenient to work with.
Closed with -123.