Not the Grail, just a regular one - Bablokos!!! - page 383

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Renat Akhtyamov:

You've got a different picture on the cloze there. You get a very different picture on the opener.

But it doesn't change the essence of the matter.

I don't understand the physics of obtaining an arbitrage combination using your formulas.

You add the increment of another pair to the existing pair to get it again....

No,no,no,no,no,no,no,no,no,no,no,no,no,no,no,no.

   OpenClose1 = iOpen( Symbol1_Name,Period(),iBarShift(Symbol1_Name,0,Time[i]) );
   OpenClose2 = iOpen( Symbol2_Name,Period(),iBarShift(Symbol2_Name,0,Time[i]) );
   OpenClose3 = iOpen( Symbol3_Name,Period(),iBarShift(Symbol3_Name,0,Time[i]) );

   CurrentPoint1 = iOpen(Symbol1_Name,Period(),iBarShift(Symbol1_Name,0,Time[0]));
   CurrentPoint2 = iOpen(Symbol2_Name,Period(),iBarShift(Symbol2_Name,0,Time[0]));
   CurrentPoint3 = iOpen(Symbol3_Name,Period(),iBarShift(Symbol3_Name,0,Time[0]));

   double Delt1;
   double Delt2;
   
   // Кросс бай
   ZeroClose3 = CurrentPoint3 - OpenClose3;
   ZeroClose3 = ZeroClose3 * CurrentPoint2;

it's simple - there are no increments :)

 
Aleksander:

Nah, the openings.

it's simple there - there are no increments :)

There it is:

ZeroClose3 = CurrentPoint3 - OpenClose3;

And I got the same line, but it took me a while to figure it out:

ZeroClose3 = ZeroClose3 * CurrentPoint2;

To superimpose it on the chart, you probably have it next:

OpenClose1+ZeroClose3 или CurrentPoint1+ZeroClose3 ???

That's the question, isn't it?

Judging by the picture below, you have the first........... I like the second one for some reason

And here it's exactly by the cloze:

Aleksander 2018.04.22 11:18 RU

 
Aleksander:
I also want to know if you took into account the size of the cross - it has 100 pips of movement approximately = $140.06 ?

Yes, I know the ratio MarketInfo(Symb1,MODE_TICKVALUE)/MarketInfo(Symb2,MODE_TICKVALUE)=1.39945 (for EUR, for EURGBP we take 1.0) . EURGBP is an expensive currency.

The volatility is not clear yet. It varies too much in time.

 
Renat Akhtyamov: I do not understand the physics of the process of obtaining an arbitrage combination using your formulas.

You add the increment of another pair to an existing pair to get it again....

And then what do you compare - one pair with something unknown?

see - we trade delta and it also serves as a signal for placing orders - when to open trades when to close take stops trailing etc...

---

at 00:00 am you open 1 lot EUR-SELL and 1 lot CROSS-BY...

now each bar has a result of these trades - the Equity of open positions... this value will determine your further actions...

Since we start real trading at 9 am (Moscow time) - so we don't care about the specific value of the Delta - whether it's positive or negative ...

just at 9:00 am fix (remember) the Delta value, and open "real" deals with the required lots (while writing the indicator it's all virtual - just for calculations and checking the selected tools for suitability to use) ... Next, follow the Delta - if it has fallen by 10 pips from the initial (9 o'clock) - then Start closing the exposed "real" lots - count the results, take into account the spreads, etc... - If Delta has reached the upper level - enable trawl and track the situation when Delta starts to decrease - then close the "real" trades - again, calculating the totals for each instrument - asc bid on the opening time of closing, etc... calculate the total (we put all operations into a CSV file for double-checking)

that's more or less how we compare :) - or it's not what you're asking? :)

 

Aleksander:

...or is that not what you were asking? :)

Yeah, well, finish up above.

 
khorosh:

Yes, I know the ratio MarketInfo(Symb1,MODE_TICKVALUE)/MarketInfo(Symb2,MODE_TICKVALUE)=1.39945 (for EUR, for EURGBP we take 1.0) . EURGBP is an expensive currency.

The volatility is not clear yet. It changes too much in time.

varies of course - but two weeks is enough to calculate - notional daily average of the eur = 40 pips hi-lo - and the pound is 80 pips... eur's lot = 1 and pound's 0.5 - don't bother yet :)

ZS - and you do not complicate things there? - you have the 0th point of your line.... the prices of that bar's opener or clause are zero....

let's say after 15 bars - the cross showed Open15 - Open0 = 100 pips - and at the current (15th bar) the pound price = 1.4006 - then the specific value of the Cross on the 15th bar = 140.06 and not 100

and then its points Multiplied by the pound price of the next bar...

 
Renat Akhtyamov:

Yeah, well, finish the above.

didn't get it - I have OpenClose1 - CurrentPoint1 + ZeroClose3; (that's how you'll get the whole code out of me piece by piece :)

 
Aleksander:

I don't get it - I have OpenClose1 - CurrentPoint1 + ZeroClose3; (that way, you'll get the whole code out of my system piece by piece :)

Sash, I wrote your code myself a long time ago and I've been studying physics (in terms of formulas) for about half a day now.

Actually the highlighted is exactly what I'm writing about. This is not good.

Here's most likely how it should be:

OpenClose1 - (CurrentPoint1 + ZeroClose3)

the current instrument minus the calculated one - this will be the arbitrage delta.

By the way, the indicator will draw quite different curves

 
Aleksander:

of course it varies - but two weeks is enough to calculate - notional daily average of eur = 40 pips hi-lo - and the pound has 80 pips... eur's lot = 1 and pound's 0.5 - don't bother yet :)

If I understand correctly, 1.0 and 0.5 is if we trade EUR and GBP. And if we trade EUR+cross and GBP+cross, we should calculate the volatility coefficients for the major and the cross accordingly. Or did you give the coefficient exactly in relation to the cross?

 
Renat Akhtyamov:

Sash, I wrote your code myself a long time ago and have been studying physics (in terms of formulas) for half a day or so.

Actually highlighted is exactly what I am writing about. This is not good.

How is it not good? - We have two deals in the leg - 1) EUR sell and 2) Cross Buy...


OpenClose1 - CurrentPoint1 + ZeroClose3

it reflects the current situation - Openclose1 = 

ОpenClose1 = iOpen( Symbol1_Name,Period(),iBarShift(Symbol1_Name,0,Time[i]) );

and Currentpoint1 - Current price of the EUR - so profit is equal to = sale price - (minus) the current price - and this profit is added :) to the profit of the cross - we get the total profit of both financial instruments - Delta - Equity ...

what's not good about it?

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