Pair trading and multicurrency arbitrage. The showdown. - page 173

[Sergey Chalyshev]

Renat Akhtyamov #:

I've been real for over 10 years.

even though it's none of your business.

;)))

Of course it's none of my business.

But I'm worried about you, 10 years of demo testing, you see triangles).

[Renat Akhtyamov]

Sergey Chalyshev #:

Of course it's none of my business.

But I'm worried about you, 10 years of demo testing, you see triangles).

If you're seeing triangles, sleep it off.

And I agree, listen to music before you go to bed.

;)

[Roman Shiredchenko]

Maxim Kuznetsov rate O(ln).

And in the logarithm chart they are all commensurable and close to each other in terms of fluctuations.

1.1 and can be easily recalculated to a different base or crosses (a cross is just the difference between lines).

1.2 in such a simple way you can display a pair on a "foreign chart", respecting the time reference.

1.3 synthetics a/ln(a)+-b/ln(b) will be identical to natural instruments in their properties

2. Of course the instruments have differences, which for relatively short intervals (a month or two or three)

can be expressed and calculated by constants. For major currencies, the constants are very close to 1.0.

3. not considered with O(log) tick_volume. In conventional charts: price deviations over time ~= sqrt(sum(tick_volume))

but the function accumulates errors in case of sharp movements and thus diverges on large timeframes.

3.1 If this dependence is not clearly traced in DC or there are no deviations during impulses - you are in trouble. Quotes are forged/synthesised

4. seasonals are not considered at all, at least intraday binding. Without it - there is no market in figures yet and everything is still about abstract data.

Having done 1-4 it will be possible to finally express pairs or currencies in relative normalised values (as fractions of a basket), start building robots and give them to NN/ML :-)

So I wanted to add to this post and to the branch to inform - andiii..... well - andiii...... ;-)

Like where the equity growth is under 45-60g to the horizon.... ;-)

Sps. For a summary of information...

Also - maybe it has already been discussed somewhere - I am doing on the starting robot while testing for a year for two years in general collection of statistics of differences in absolute values of points between two symbols - so far I came up with an idea through increments..... I haven't found any other way yet.... as prices are different and symbols are different in pure form do not overlap such as Eurobucks and Eurofund. I entered from afar ;-) first on mt 4 there are symbols.....

So, knowing the size of spreads, they can be counted in the ranges 100-200 200-300..... from 1000 pips are pips and their number in these ranges can already be estimated when to average - through how many pips and where to put the pips. For example.

In short, I look at the statistics.....

Entry on a pattern.

If, for example, for 3 years in the test there were up to 100 pips, it is 300 points. Then you can average the same volumes like with 20-30 pips entry and then 3 times to 50, 80 and 100 pips. If the spread is greater - then SL. Exit at the slope.

[Roman Shiredchenko]

Colleagues - who are not yet in nirvana.... ;-)

If anything, in addition to the basics in the robot here on 16 pages I think. There is also here in the archive - I will also look at......

h ttps:// www.mql5.com/ru/forum/122468/page221#comment_3220563

[Roman Shiredchenko]

Imho, this is how to trade gold-silver (according to the template), sitting out losses and not to worry.... degree 45-60 - already OK!!!!

;-)

Well - ka ;-) topik starter - there is a robot throw a report here for 12 months of such trading.

https://www.mql5.com/ru/forum/122468/page231#comment_3220667

Here to look at

торговые критерии на Вход/выход...

Symbol_1=GOLD
Symbol_2=SILVER
Inverse_correlation=0
VOL.PeriodATR=30
// Ind 2 Line+1
MA_slow=8
MA_fast=4
ma_method=3

applied_price=6

Zero_phase_at_trend=true (if Ind 2 Line+1 indicator changes its direction, we reset the signal).

Enter_on_Rollback=4 (Enter at the opening of a new candle, when the profit rollback is 4$).

The signal for entry is the beginning of convergence of MA lines in Ind. Ind 2 Line+1, then we wait for a pullback.

No averaging. No trawls. Exit: if the profit at the opening of a new candle >= 0.

[Roman Shiredchenko]

If anything I'm talking about the tester on MT 5- if there is a robot throw the report from the tester here for 12 months.... ;-)

With what trading conditions and robot of the main can here in attachment authualise in editable code.

Thanks.

[Alexander Pryakha]

Maxim Kuznetsov #:

It also depends on "from what point, to what, and how far in/out".

:-)

In principle, yes, everything is similar on the charts - AUD on top, EUR on the bottom....

and the dumbest question is"So what?"

When the strength indicator is ready, it is time to start writing a signal block - an algorithm for processing data from the indicator.
I could "help" in this.
I will not dwell on the minutiae, how to remove from 8 buffers the numbers for the last 15-20 candles, (and it is desirable to do it on two timeframes 1440 and 30 for example).
When the matrix of 320 numbers (8x20+8x20) is ready, sit down to write formulas.
You should start by determining the share or share of each currency.
after you understand what a share is and how to calculate the share of each currency in the total patties, with changing thickness of the channel, you should understand that the algorithm should include
4 variants of the set for cross1,cross2, gap1, gap2 depending on the width of the channel and what happens to the channel - compression (compression) or stretching (stretching).
Each of the 4 corzines has its own individual conditions.
e.g. buy a weak one or vice versa - as Friedrich wrote, "push a falling one". Was fällt, das soll man auch noch stossen!
in general 16 equations for each condition with prepared data you will need for successful work
8 equations for opening and 8 for closing orders.
4x2+4x2=16.

[Alexander Pryakha]

Я би мог в єтом несколько "помочь".
Не буду останавливаться на мелочах. 

And yes, I will add an explanation why not 2 baskets - buying and selling, but 4 pieces?
It should be noted that in the border areas, near the equator (channel width 100% - master_tradezone1=100 ),
and also in its compressed state
master_tradezone1<99.995
in this condition there is such a phenomenon as "mantissi :-))" stretching like spaghetti on parallel courses in a flat state and it is not clear where to put.
in these places the market maker is trying to lead you into the bush, and to test you....
... so these two corzines gap1, cross1 just work on sorting - they shoot elks and fix a small profit with rearrangement of the contents of this very corzine.
ie. there is no special earnings on them, although there is a small small drop in the plus.
On these corzines a set of orders is rearranged - and we wait for the emergence of an impulse, the operation "antikotlieta" and all sorts of other tricks.

[Renat Akhtyamov]

Grigori.S.B #:

Rena, stop posting pictures like that. Everyone has a carload and a cartload of them.
And there's no way to be sure they're fresh.

You have something to show - record a signal and remove all questions of doubters.
Be a man!

OK, here's your FREE signal

;)

[Sergey Chalyshev]

Renat Akhtyamov #:

All right, here's your FREE signal.

;)

It's showtime!

Public drain demo deposit!

Again, again, as always)