Once again, arbitrage, pair trading. - page 17
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It is clear that this error is caused by the discreteness of rounding trade volumes, but it should be understood that this is not pair trading, but ordinary directional trading, but with increased commission costs.
Same volumes everywhere - it is clear that this error is caused by discreteness of rounding of trade volumes, but one should understand that it turns out not to be pair trading, but usual directional trading, but with increased commission expenses.
with this volume there is nothing to adjust, yes, I will later on make a calculation from the point value in situations where it is possible.
the emphasis here is on a portfolio that smoothes out small differences in pip value
trade from maximum deviations, i.e. if even slightly directed, then with probability bias in +
stationarity of the portfolio at 1000 counts
shading - cumulative deviation of the entire model portfolio relative to the real value. A non-linear model could further smooth out this cyclicality, i.e. try to achieve a non-autocorrelated residual
the emphasis here is precisely on the portfolio, which smoothes out the small difference in point value
This "small difference" on minimum volumes can easily reach 50% or more. I.e. for example it is necessary to open 0.014, and opens 0.01 etc. Therefore, there is no need to be deceived by trading with minimal volumes - it is a normal directional trade, but with increased costs. Let me explain on the level of logic: let's say you bought EURJPY and sold EURCHF. Volumes of EUR are the same, i.e. it is the same as buying just CHFJPY.
If you were to look at the list of pairs you would see that their point value is the same in hundredths and thousandths
eurusd=eur/usd=commodity/cash
eurusd=eur/usd=commodity/money
и?
I have finalized the bot, for example, trading indexes pair, about 60% per annum... well, pure statarbitrage without any extra profits :)
I cannot achieve stability in currencies, coming back to the very beginning of the topic - in currencies it is very difficult to do pair trading, because there is no constant dependency
I have completed the bot, for example, trading indexes pair, about 60% per annum... well, pure statarbitrage without any extra profits :)
Stability has not been achieved with currencies. Coming back to the very beginning of the topic - it is very difficult to perform pair trading with currencies, as there are no permanent dependencies
With martin?
with a martin?
without increasing the lot, for every deviation on a trade if it goes against us, i.e. max 6 positions
I don't like this kind of strategy, I just did it for fun
The drawdown is in the 40% range, but if you run it since 2010, you might see a drawdown.