Once again, arbitrage, pair trading.
Lots of discussion on this topic, profit/no profit, yes/no, etc.
But I can't find a solution to the technical issues.
I suggest that we discuss here ONLY technical issues, i.e. formulas, how, where, etc.
I for example calculate spread by dividing one instrument by another.
But what price to divide by which one is the question remains.
Logically, if the spread is widening, it means that the first instrument should be sold, and the second one should be bought. I.e. the price of the first symbol is Bid1, and the price of the second instrument is Ask2.
It turns out that we need two lines Bid1/Ask2 and Ask1/Bid2 to build the spread?
Am I right ????
Since your pair trading is based on the spread, you should check the following condition
bid>ask
In order to stay in the plus.
It means that you should sell an expensive currency pair and buy a cheap one simultaneously.
For example pound-1.33 euro 1.18. When prices equalize, you may cover
That's the formula.
Shalom !
Do brokers allow arbitrage? Is withdrawal possible?
Shalom !
Do brokers allow arbitrage? Is withdrawal possible?
As-salaamu alaikum, some brokers warn that if you are seen arbitrating, they will not count those trades.
Well, since your pair trading is based on the spread, the following condition must be met as a minimum to begin with
bid>ask
In order to stay in the black.
That is, you need to sell an expensive currency pair and buy a cheap one at the same time.
For example pound is 1.33 euro is 1.18. When prices level off, you may close.
That is the formula.
This is "long" arbitrage. I wanted intraday. spread relative to the MA of the same spread. On bars (M1) it looks good, even on tests it looks good, but when it comes to EAs, there are ticks and accordingly asc and bid. Then everything becomes more complicated.
Shalom !
Do brokers allow arbitrage? Is withdrawal possible?
In forex they probably do, in FORTS they don't.
Good afternoon,
I spent 2 years testing paired and multi paired currency pairs arbitrage trading, yes, generally in the plus side, but remember one thing, whatever the correlation of currency pairs (even if 95%), there is no co-integration in them.
I give you advice, if you want to trade pairs or multi-pair trading in forex, build a strategy on the currencies eur vs chf and aud vs nzd, all other currencies are little related to each other, do not even risk entering them, they may lead, but the news and one went down the other stands, even if they have high correlation.
Better yet, buy Forts, there is more cointegration, you may gather fewer pairs and the leverage is small, but you are safer there.
Good afternoon,
I spent 2 years testing paired and multi paired currency pairs arbitrage trading, yes, generally in the plus side, but remember one thing, whatever the correlation of currency pairs (even if 95%), there is no co-integration in them.
I give you advice, if you want to trade pairs or multi-pair trading in forex, build a strategy on the currencies eur vs chf and aud vs nzd, all other currencies are little related to each other, do not even risk entering them, they may lead, but the news and one went down the other stands, even if they have high correlation.
Better yet, buy Forts, there is more cointegration, you may gather fewer pairs and the leverage is small, but you are safer there.
Good afternoon,
I spent 2 years testing paired and multi paired currency pairs arbitrage trading, yes, generally in the plus side, but remember one thing, whatever the correlation of currency pairs (even if 95%), there is no co-integration in them.
I give you advice, if you want to trade pairs or multi-pair trading in forex, build a strategy on the currencies eur vs chf and aud vs nzd, all other currencies are little related to each other, do not even risk entering them, they may lead, but the news and one went down the other stands, even if they have high correlation.
My best advice is to start trading forts, there is more cointegration, but you can collect less pairs and the leverage is small.
Tell me, what technical tools do you use (expert advisors, robots) when trading arbitrage on forex?
And what is "cointegration"?
What technical tools do you use (advisors, robots) when trading arbitrage on the forex market?
What is "cointegration"?
Co-integration of 2 or more financial instruments is expressed by the existence of their stationary linear combination.
you can use a linear regression for the search and evaluation of a cointegrating instrument
In case of more complicated models a cointegrated portfolio is created from several financial instruments, e.g. an index and all the stocks it contains.
Sometimes a cointegrated portfolio may be built from 2 or more groups of instruments, e.g. from different sectors
it is important that the instruments have a fundamental rather than a random correlation
The first thing to do is to find the coefficients of linear relationship between instruments and calculate the spread
Let's saw the topic, anyone who is not lazy... to come to a common understanding and common denominations. I'm just lazy and bored of doing it :)
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Lots of discussion on this topic, profit/no profit, yes/no, etc.
But I can't find a solution to the technical issues.
I suggest that we discuss here ONLY technical issues, i.e. formulas, how, where, etc.
I for example calculate spread by dividing one instrument by another.
But what price to divide by which one is the question remains.
Logically, if the spread is widening, it means that the first instrument should be sold, and the second one should be bought. I.e. the price of the first symbol is Bid1, and the price of the second instrument is Ask2.
It turns out that we need two lines Bid1/Ask2 and Ask1/Bid2 to build the spread?
Am I thinking correctly????