Pair trading and multicurrency arbitrage. The showdown. - page 104

[Maxim Kuznetsov]

Grigori.S.B #:

I mean, we're just gonna keep draining like before.

For now, yes, but hopefully not.

and also about algorithm generation: trading algorithms should not be completely symmetric. More precisely, they must have a non-mirror type of symmetry (and there are more than 1 type of symmetry).

i.e. in the example with baskets, simultaneous launch of two opposite algorithms (buy basket, sell basket) does not lead to the fact that just one buys from the other and the total sum is guaranteed 0.

[Alexander Pryakha]

Maxim Kuznetsov #:

пока да..но надеюсь что нет 

ну и заодно про генерацию алгоритмов : торговые алгоритмы не должны быть полностью симметричны. Точнее у них должен быть не-зеркальный тип симметрии (а типов симметрии более чем 1)

то есть в примере с корзинами, одновременный запуск двух противоположных алгоритмов (купить корзину, продать корзину) не ведёт к тому что просто один у другого покупает и в общей сумме гарантийный 0. 

This is true, but not correct.
there is no simultaneous start, the baskets are switched on one by one, depending on how the thickness of the channel beh aves.

//DIFF for CROSSes und GAPs :-)
//GAP1
  if(css1_width < (css2_width+css3_width)/2 && css1_width < css2_width && 100*master_delta1<100)
  GAP1=1111;
  else  GAP1=0;
//CROSS1   
   if(css1_width > (css2_width+css3_width)/2 && css1_width > css2_width && 100*master_delta1<100)
   CROSS1=2222;
   else  CROSS1=0;
//CROSS2    
   if(css1_width > (css2_width+css3_width)/2 && css1_width > css2_width && 100*master_delta1>100)
   CROSS2=3333;
   else  CROSS2=0;
//GAP2   
   if(css1_width < (css2_width+css3_width)/2 && css1_width < css2_width && 100*master_delta1>100)
  GAP2=4444;
   else  GAP2=0;

[Maxim Kuznetsov]

Maxim Kuznetsov #:

otherwise balancing will be a loss to ourselves: initial portfolio 100k growth by 1% = 101k and we rebalance. Then a 1% drop and we are at a disadvantage from the initial value.

similar trick of spammer-spammers and signalers-deceivers...

The original alg. is traded through a virtual environment, and when the equi grows, it is locked directly or through other pairs.

So that when falling back, it does not turn out to be 0 or minus. It turns out to be "conservative", which is opened when it is necessary to show profit in the balance sheet.

Inside there is double counting, real equi and equi minus locks and trading with small lots. Outside, reasonable volumes per trade, balance growth and equity is leading.

[Vladislav Vidiukov]

Alexander Pryakha #:
There is also a strategy for very lazy traders, in the algo-trading mode. The theme is as follows: you trade the basket from the maximum width of the channel - from the point of reversal to the maximum compression. For the timeframe H4, it is somewhere one or two weeks to move.

At first you hammer in one side on channel compression, when it is equalised at 100% width, then you trade in both sides with the use of martin, but not evil martin, and it is opened only on the repeated signal. You use trailing stop and takekporofit, and at the maximum compression of the channel, you take a viprigit or sit further. There's no stop, no stop, just a take. The equity grows faster than the drawdown. By the end of the second week with a half-locked basket you come to the centre of the channel, and then you stop trading and sit until the channel expands to 100% again. Here on the screen is the result for today.

You can't trade with a martin

[Maxim Kuznetsov]

a little bit of foundation and about the importance of the real time clock:

Особенностью расчётов через CLS является то, что в отличие от традиционной схемы межбанковских корреспондентских отношений, в которой контрагенты по сделке переводят друг другу проданные валюты через свои банки-корреспонденты, контрагенты, использующие данную платёжную систему, осуществляют расчёты по своим сделкам через счета специализированного расчетного учреждения по конверсионным операциям — CLS Bank. Действуя по принципу PvP (платёж против платежа), CLS Bank осуществляет выплату купленной валюты только в случае получения проданной валюты. Данный механизм практически полностью устраняет риск потери основной суммы сделки^[4].

Bank founders have a multi-currencyaccount with CLS Bank and they directly send instructions to the bank to settle transactions, which are immediately executed. All other users of the system have to settle transactions through participants who have accounts with CLS Bank. For each currency, the time of exchange transactions is based on the local time of the currency^[4]. Payments through the bank take place in several stages. At 00:00 CET, dealers send detailed settlement instructions to CLS Bank. At 06:30 CET, on the basis of CLS Bank's instructions, it calculates the players' net position for each currency and sends all dealers the tables of scheduled payments. From 07:00 to 12:00 CET, the bank carries out all settlements.

During the operational day, CLS Bank can utilise the services of seven national RTGS systems. In Australia, settlements are carried out during a special evening session. Payments between user members and CLS Bank are made on a net basis, and between the bank and settlement participants on a gross basis^[3].

quote from https://ru.wikipedia.org/wiki/CLS_( payment_system)

it's about 50% (55-60 is claimed) of the total world currency turnover, the data may be outdated. But even 30 is a shitload

[Maxim Kuznetsov]

as a commercial idea - an "indicator" that will show a similar picture with periodic events, national and stock exchange sessions and transition of one to another +-10 hours would be a good thing.

Unlike others. Taking into account time zones and winter/summer transitions in general.

because that's more important than the SMA

[Vladislav Vidiukov]

By the way, if you buy and sell 2 crosses, and sell major, the balance will not be zero, for example, buy eurusd, sell gbpusd, sell eurgbp, the zero will eventually disappear

[Renat Akhtyamov]

Vladislav Vidiukov #:
By the way, if you buy and sell 2 crosses, and sell major, the balance will not be zero, for example buy eurusd , sell gbpusd , sell eurgbp, the zero will eventually disappear

because because...

In short, I'm reading and reading.

and my opinion is this.

no one has got it

[Roman Shiredchenko]

Renat Akhtyamov #:

because, um.

I'm reading, reading, reading.

and I'm like.

no one has moved in

from page 77 so far, it's business as usual:

https://www.mql5.com/ru/forum/448777/page77#comment_50177000

[Alexander Pryakha]

Renat Akhtyamov #:

because, um.

I'm reading, reading, reading.

and I'm like.

no one has moved in

Here is the distribution of baskets, see the diagram.

There's a stopper on the crossover, and a limiter on the gap.