Pair trading and multicurrency arbitrage. The showdown. - page 60

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Renat Akhtyamov #:

complex, adaptive and powerful thing this triangle is.

If you run up, there's no profit in it.

It's very hidden, behind several barriers that have to be overcome.

Any wrong move, even a little bit wrong, and you'll be out of the money in no time.

especially with technology, which above try to make it look like the truth.

they're a drain, from the start.

because they have a standardised approach to trading.

Here it's not like that, it's new, it's not standard, it's practically from scratch.

a complete rethinking of the market has to happen first.

I think it's easier for newcomers to do.

How many gurus are here


 

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Pair trading and multicurrency arbitrage. Showdown.

Maxim Kuznetsov, 2023.10.12 15:59

You can clearly see that the yield on related currencies (close regionally and intertwined economies in general) is about nostril-a-nostril. EUR<->GBP and even more so AUD<->NZD

EURGBP and AUDNZD are scalping classics.

 
From one point is not interesting. Imagine the same picture, but not for 1000 days, but for three hours. Now move this three hour window, in each measuring the synchronicity. Then generalise this synchronicity. The result is a picture of the dependence of one and the other.
 
Aleksey Nikolayev #:

it is necessary to take the product of three exchange rates (for some it is necessary to take the inverse) and see that it is greater than one.

Not exactly like that. The task is to build a synthetic symbol, which can be traded by a flat TS in plus for a short time after the construction. And it is not necessary to be able to build such a symbol at any moment.


It is enough, for example, to be able to build it in the evening. In particular, evening cross scalping is the ability to build such symbols. Where in fact symbols are already built by quotation machines. I.e. you don't need to build EURUSD^(+0.5)*GBPUSD^(-0.5) yourself, but you can trade EURGBP at once.


With this formulation of the problem, classical triangles are a very special case. There you build such a symbol, which has the following events (not simultaneously): Bid>1 (Sell_Signal), Ask<1 (Buy_Signal). I.e. a very primitive flat TS.

 
fxsaber #:
It's not interesting from a single point. Imagine the same picture, but not for 1000 days, but for three hours. Now move this three hour window, in each one measuring the synchronicity. Then generalise this synchronicity. You end up with a picture of the relationship between one and the other.

they're all about...

If you take more samples, you get a picture like in the textbooks.)

or as in wikipedia (not everyone has textbooks handy) " correlation field 0.85". :


 
Maxim Kuznetsov #:

if you take more counts, you will get a picture like in textbooks :-)

or as in wikipedia (not everyone has textbooks handy) " correlation field 0.85". :

The task is to find a stable cloud. As a rule, such stability is achieved in the evening time, that is why it is scalped for many years.

 
Aleksey Nikolayev #:
A bit about the basics of arbitrage and the algorithm for finding chains.

In forex, chains for 2-4 vertices (currencies) of the graph.

  • 2 is a negative spread. For example, inside the aggregator EURUSD_Broker1_Buy and EURUSD_Broker2_Sell. Then the aggregator has a skew problem, which it hangs on other clients.
  • 3 - a classic three.
  • 4 is a very rare case to trade in a plus. Rather, it is indicative.
Therefore, there is no need to look for long chains. For a Tester with perfect execution - you can.
 
fxsaber #:

The task is to find a stable cloud. As a rule, such stability is achieved in the evening time, that is why it is scalped for many years.

A cloud of what?

 
mytarmailS #:

cloud of what?

|KK|>0.95.

 
fxsaber #:

|KK|>0.95.

correlations of what with what?

1...535455565758596061626364656667...236
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