Once again, arbitrage, pair trading. - page 13
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converted the sum of all spreads into standard deviations. If this trade is intuitive for 2 symbols, I don't understand how to use it for a group of symbols
i.e., for example, if z-score is greater than 2 sko or less than -2 sko then the spread potential for all instruments is higher? it turns out that this is so provided that the z-score chart itself is stationary
z-score is what?
shows the deviation in sigmas from the average
shows the deviation in sigmas from the average
I'll figure it out on my own, I found some articles on the subject... it's kind of a scientific thing to do.
converted the sum of all spreads into standard deviations. If this trading is intuitive for 2 symbols, I don't understand how to use it for a group of symbols
i.e. for example if z-score is greater than 2 sko or less than -2 sko then the spread change potential (potential profit) for all instruments is higher? it turns out that this is so provided that the z-score chart itself is stationary
you see, the chart itself is stationary. but if you trade based on the image, then from the boundaries to zero... Make a simple bot for a portfolio and run it with different lengths of the channel optimization period.
The main thing is that you can trade from the boundaries to zero... Make a simple bot for a portfolio and run it with different period lengths of channel optimisation.
I am still describing different trading options ) I will have to test a few of them.
While describing different trading variants ) I will have to test a few
I already ran the robot inside the channel. Now I am running it with the condition vice versa, if more than the middle buy if less sell, let's see what happens.... The tests take a long time, the code is not optimized.
It is much more interesting to just look at a bunch of 28 currency pairs and trade the extremes in the middle. But do not ration them among themselves, but just calculate which one has taken off the most and which has taken off the least, provided you have invested the same amount of money in each. This would be more interesting because I think it is right when money has to work.
Here's a pair, it should not be traded for convergence but vice versa) for divergence.)
Dear friends, don't waste your time.
The reason is that all your explorations into or out of the channel are just a mathematical interpretation of the market indicator .
All this happens one way or another because of the mathematical limitations of the instrument .
All these so to speak overheats can come out through any star beam so to speak ....
Dear friends, don't waste your time.
The reason is that all your explorations into or out of the channel are just a mathematical interpretation of the market indicator .
All this happens one way or another because of the mathematical limitations of the instrument .
All these so to speak overheats can come out through any beam of the star so to speak .
no one's arguing.)