Pair trading and multicurrency arbitrage. The showdown. - page 119
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Let them work, then. Let's leave them alone.
What's the point of your banter here?
Did you get drunk? )))
In the MO branch no one does it, you have fallen in my eyes Maximka.
You seem to be a competent person, pulling a rather complicated MO section, but in another branch you are doing bullshit )).
What is the point of your banter here?
Did you get drunk? ))
No one does it in the MO branch, so you have fallen in my eyes Maximka.
You seem to be a competent person, pulling a rather complicated MO section, but in another branch you are doing bullshit )).
Well, you and Rena have realised that a/b * b/c * c/a = 1, but what can we do with it if there are no deviations? And if there is a deviation, it is due to the absence of quotes for any of the pairs.
Exactly (in the ideal case). But we must (!) operate on the price and volume of three symbols (the case will not be ideal). As has been shown here.
But, as the author of the post correctly pointed out, that the volume of one of the symbols will need to be rounded. This means that we get an a priori sliding which is not a fact that will converge. We get a relationship between GBPUSD volume and EURGBP price. If EURGBP price is equal to GBPUSD volume (at the moment of pair opening) - then the sliding will converge.
If for you testing is stereotyping, then I am glad that I have at least a small but competitive advantage.
You see what the point is.
To start testing, you need to finish all calculations and construction.
This is not the final result, but further on a whole layer of application of different approaches opens up, tweaking other algorithms.
And what was shown here is only the basics.
A is worth 1.0, B 2.0 and C 3.0.
if A->(2000usd)->B->(2000usd)->B->(2000usd)->C->(2000usd)->A then of course the total sum is initially 0, right from the start, and it will remain zero forever; Here you can meditate, learn zen, but not trade.
but A->(3000usd)->B->(1000usd)->C->(2000usd)->A is a triangle balanced at current prices with a turnover of 6000, it is definitely not 0 and there are 2 of them; The triangle is oblique and if you remove inefficient residuals (3x1000usd) it is represented by only 2 deals A->B for 2000 and C->A for 1000. The residuals can be redistributed, and by the way the result will not be 4000 on 2000 :-)
in general, any "cyclic" triangle A->B->C->(A) is reduced to two transactions
You see the point.
To start testing, you need to finish all the calculations and construction.
This is not the final result, further opens up a whole layer of application of different approaches, tweaking already other algorithms.
And what was shown here is only the basics.
It seems to have been finished long ago, but the test results are not shown.
In general, it looks more like a psychologist's appointment than a discussion of pair trading.in general, any "cyclic" triangle A->B->C->(A) is reduced to two transactions
Why these conventions? Please give me an example on the data in this post. How do you replace three transactions with 2? And for it to be "balanced".
Why these conventions? Please give me an example on the data in this post. How do you replace three trades with 2? And for it to be "balanced".
Do you have problems with arithmetic when calculating lots?
where you show exactly 0 variant with the same volume on all leverages .
Do you have a problem with arithmetic when calculating lots?
where you show exactly 0-th variant with the same volume on all levers.
That's why most people here are so "smart" and everything stands where it stands. Someone wrote something without explanations and thinks that everyone will understand it now. Funny guys.
"Where you're pointing is exactly 0." Can someone whose fingers won't fall off to write a couple of sentences explain what a 0th variant with equal volume across all shoulders is?
If one pair is one shoulder, then the volumes are the same for only two out of three pairs.
What is the point...