Pair trading and multicurrency arbitrage. The showdown. - page 148

 
Maxim Kuznetsov #:

if you can tell me what it shows and what it's for, I won't throw it away:

for reference, iATR lags by 1/2 period, LWMA by 1/3, Tma redraws at a depth of 20 bars.

I used to be an alpari pmm manager when the swiss 2014 went up. Then a lot of money was earned by my investors, and some managers slipped. When there will be results on yearly multicurrency indicators, please let me know. I think I will refrain from posting for now. I will wait.
Big brother is watching :-)
 
Well written
 

there is little left to do : at least "catch a falling knife": in all combinations ([+-]ABCD...) find the one that

1) exceeds the speed of light and

2) had a step dependence.

but now (1,2) has ceased to do so and walk towards it.

PS/ ideally, of course, to find the momentum and which knife will fly...but so far there are no good ideas about it :-(

 
mytarmailS #:
Well written.

I'd have to know what language it's in.

 
trampampam #:

There is no special formula there. If you want to get what he has on the screen "simply" build an indicator that superimposes the symbols he has on the screen with t.0 at 00:00. t.0 is reset daily. Only you need to "normalise" the values to the point value. I.e. if the chart symbol has a point value = 1, and the overlaying one has 1.25, then you need to multiply all movements of the overlaying one by 1.25. That's it. As soon as you normalise the charts, the volumes will be 1 to 1.

And the most important thing is that this Renat Akhtyamov was pestering a person in 2018 to find out the details of this TS, and now he can't even throw a link to others. Yuck to be like that....

here. thanks. It is more or less clear - only here probably all movements of the chart symbol should be multiplied by 1.25. Right?

Yes. By the way, I know this about volumes - there are variants of how to equalise them.... like one of them by volatility.... like a coefficient of atr.


 
Maxim Kuznetsov #:

you only read the topic very selectively ? :-)

1. courses always diverge. As soon as I opened a pair - so immediately and began to diverge.

2. Currency fluctuations are proportional to the logarithm of the nominal value. For simple traders - % of the price. The value is the same for all

2.1 as a consequence: in a logarithm chart - currencies move in the same scale

3. during a large period (a year or two or three) the divergence is only a few per cent.

3.1 during a long period of time the order of denominations A<B<C<D is likely to remain the same.

it is possible to count lots in inverse proportion to the log of the denomination, get weighted prices and project one graph on the other.

I don't think so... ;-)
Thanks. I will reread it. I'll dig it.
That on logarithms to normalise - it read and knew just forgot ... ;-)

Yes. You can do it through increments too....

I mainly traded calendar spreads - everything is already normalised there and is already encumbered ... ;-)
 
Maxim Kuznetsov #:

you only read the topic very selectively ? :-)

1. courses always diverge. As soon as I opened a pair - so immediately and began to diverge.

2. Currency fluctuations are proportional to the logarithm of the nominal value. For simple traders - % of the price. The value is the same for all

2.1 as a consequence: in a logarithm chart - currencies move in the same scale

3. during a large period (a year or two or three) the divergence is only a few per cent.

3.1 during a long period of time the order of denominations A<B<C<D is likely to remain the same.

it is possible to count lots in inverse proportion to the log of the denomination, get weighted prices and project one graph on the other.


This is where it's not clear at the end. How and what does it mean to get weighted prices?
 
Maxim Kuznetsov #:

if A B C exchange rates USDxxx (brought to a common base), then each of them fluctuates O(ln) .

when lots are taken in proportion to 1/ln(x):

+A/ln(A)+B/ln(B)+C/ln(C) ; you can use any +- signs, as well as the number of summands.

you get a synthetic "identical to natural", with minimal fluctuations (as in all)

and the general rules are also true for it: 1 point per minute is the speed of local light, and so on.

Thank you. For the explanation. I was too embarrassed to ask about the formula.... ;-)
In fact, it will be the equity chart of spread legs if you make it into an indicator......
I understand correctly, right?


And in general, this is my key formula-explanation of such a formula has not yet been.....

I am now throwing the conditions from the posts into my ts.
 
Maxim Kuznetsov #:

There is little left to do: at least "catch the falling knife": in all combinations ([+-]ABCD...) find the one which

1) exceeded the speed of light and

2) has a step dependence (accelerated).

but now (1,2) has stopped and is coming towards us.

PS/ ideally, of course, to find the moment and which knife will fly...but so far there are no good thoughts about it :-(

knives do not always ;-) fly before news and levels.
You can also look at history...
 
Roman Shiredchenko #:
only here probably all movements of the chart symbol should be multiplied by 1.25. Right?

No. If the movement on the overlay was 400 and the point value was 1.25 (400*1.25). How much will this movement be if we move it to a chart where the point value is 1.00 (400*1.25/1.00)?

We need to move all the charts to the same coordinate system.

If we move the chart with the cost of point 1 to the chart with the cost of point 1.25, then 400*1/1.25.

Reason: