Pair trading and multicurrency arbitrage. The showdown. - page 39

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Vitaly Muzichenko #:

I don't know what kind of technology you're measuring with.

I thought that the pair AUDJPY - NZDCHF should be traded against AUDCHF - NZDCAD.

Vitaly Muzichenko #:

There is an equity indicator at the bottom and you can see from it that the pairs go +-

Equity is the same price, but it starts from zero from the moment of opening a trade, don't you agree?

My upper chart is just two equities from two synthetic instruments.

and the bottom chart is just the difference between the two equities.

Vitaly Muzichenko #:

Gap from zero at the initial point - spread when opening positions

The initial point - for me it is where the linear regression algorithm has fitted two requisites between each other.

If the equity continues to go around zero, then there is a linear relationship - "cointegration", if not, then earnings is not possible because the pairs will go to infinity and there is no point in betting on the return to zero.


Vitaly Muzichenko #:

P.S. Well and lastly: the theory and clever words like cointegration and other - theory, and to practice has nothing to do with it. Those who want to earn, will earn, the rest will throw clever words from the Internet.

Well, this is ridiculous... the fact that you do not know the basic (generally accepted) concepts in arbitration, my words now kind of became from this "smart" and "theoretical" ))

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I don't understand why your instruments' requisites coincide while the charts don't coincide at all, how do you calculate requisites?

 
Renat Akhtyamov #:

let's assume that all goods have increased in price by the same percentage - by 100%

matches from 1 to 2

bread from 30 to 60

Now calculate the correct sliding scale

and it's obvious to anyone that they're not going to fit back together.

They didn't come back together!

 
Aleksandr Zinskii #:

There commission and tax practically eat up everything and the leverage is small. everyone has been through it. the annual interest is not high 30% and that is if everything goes as it should.

And how much per year? 30-60%, or even more 100% - not enough? Without the hassle of input and output. True, it's not paired and not arbitrage, but here, in fact, it's not about them.

 
JRandomTrader #:

They never split up!

Yeah.

so it turns out that the author of the branch wrote an EA with a profitability of almost 0 (zero).

and if you think about it?

I asked him for a picture of the indicator for a reason, so that the TF would be MN1.

and he doesn't seem to be able to do it. No, he doesn't.....

still waiting for something from us, though he does not react to our tricky questions that lead us to the path of truth ;)
 
Renat Akhtyamov #:

Okay, don't argue.

Your basic mistake is not understanding the essence of the issue.

I always like to prompt with leading questions.

Whoever can answer will know what I mean.

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let's say that all goods went up in price by the same percentage, 100 per cent.

matches from 1 to 2

bread from 30 to 60

Now calculate the correct sliding scale

and it's obvious to anyone that they're not going to fit back together.

You're giving leading answers. Are you trading now? Are you trading in the plus side?

 
Renat Akhtyamov #:

I asked him for a picture of the indicator for a reason, so that the TF would be MN1.

and he can't do it, he can't do it....

He is still waiting for something from us, although he does not react to our tricky questions that lead to the path of truth ;)

Hi. What picture? Maybe I missed something? I try to answer questions ) Sort of.) And I'm not expecting anything, just asked to share thoughts and strategies who knows what.

 
After reading the last I came to the conclusion that it is necessary to somehow develop an algorithm that will select the ideal variants of bundles in which the equity goes around 0. And then rely on God that this relationship will remain in the future or exit on the loss after 2-3 knees. I think I understand correctly?
 
Roman Poshtar #:

Hi. What kind of picture? Maybe I missed something? I try to answer questions ) Sort of.) And I'm not expecting anything, just asked to share thoughts and strategies who knows what.

In this thread I asked

in brief, work out the maths, or you won't wait until the sliding collapses, there will come such a moment ;)
 
Aleksandr Zinskii #:

You're giving leading answers. Are you trading now? Are you trading in the plus side?

Wait for the tests.

I'm sure it's still going to happen and we'll see.

I don't trade this system, it was a long time ago and not bad:


 
Roman Poshtar #:
After reading the last I came to the conclusion that it is necessary to somehow develop an algorithm that will select the ideal variants of bundles in which the equity goes around 0. And then rely on God that this relationship will remain in the future or exit on the loss after 2-3 knees. Did I get it right?

I gave one good pair that "goes", what prevents you from checking?

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