Pair trading and multicurrency arbitrage. The showdown. - page 123
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I hope that if you are convinced of the nonsense of the formulaE, you will write about it here. You seem to have some intellectual honesty, unlike the "teacher".
The easiest way to convince yourself that your opponents are right is to compare the magnitude of the triangle effect with the magnitude of the triple spread (and swaps) that must be overcome.
The triangle is brilliant, but it was invented not by me, but by the market.
But what should be done with it is the second brilliant idea, which has never been voiced here.
However, Roman wants to trade a pair, which has nothing to do with the triangle, although it is necessary.What exactly do you want to track? There are two problems there:
- NO sufficient sliding in the ideal case (when full balance, in the volume example means 1-1-0.8658);
- If we take a real example, we need to open a third position with either 0.86 or 0.87 volume. This creates an "artificial bifurcation", and it, in turn, may not converge;
The details are on the screen. Above is the ideal. Volume is balanced on each bar (equal to EURGBP price). On the bottom is the case where we took a volume of 0.87 for GBPUSD. The spread will converge at the moment when the EURGBP price is 0.87. And this may not be the case.
Specifically, make a program that monitors quotes from different brokers and looks for skews in triangles.
Ugh at you, you stinking dog...
Your favourite Prado takes a break from the simple Rena formula ))
When Rena shows her Prada pants, then there will be something to discuss.
Your topic has grown a lot.
Please tell me, as of today, have you managed to create a working algorithm of pair trading without resorting to averaging, martin or over-sitting?
I don't have a workhorse yet. I am constantly working on it. Tomorrow I will make an indyk with GPT )
Can you please tell me if you use averaging/martingale/overshooting in your method?
Or your method contains them when building a TS on it?
I don't use anything yet ))
Everything is only in development, as there are a lot of ideas to test, and it's all a lot of code.
But the initial postulate is in the correct construction of the triangle without any statistical errors, and this is already 80% of a successful outcome,
the rest of the refinement for any strategy, at least MO use, at least statistics, at least a hard stop with the rule of risk return, at least martin, at least pyramiding, at least trawl
what you build, that's what you get, there are many solutions for every taste and wallet.
Tomorrow I will make an indyk with GPT )
It takes a lot of matte and nerves.
- What the hell did you write?
- This code is in Python
- But I asked for mql
- Yes, you are right...
I don't use anything yet ))
Everything is only in development, as there are a lot of further ideas that need to be tested, and it's all a lot of code.
But the initial postulate is in the correct construction of the triangle without any statistical errors, and this is already 80% of a successful outcome,
the rest of the refinement for any strategy, at least MO use, at least statistics, at least a hard stop with the rule of risk return, at least martin, at least pyramiding, at least trawl
what you build, that's what you get, there are many solutions for every taste and wallet.
Does your method have something in common with typical pair trading: buy falling and sell soaring currencies?
And do you use regression in your method? (something from its formula or the formula itself).
It takes a lot of matte and nerves.
- What the hell did you write?
- It's Python code
- But I asked for mql
- Yes, you're right...
I've already learnt to read between the lines and ask the right questions )))))
Specifically to make a program that monitors quotes from different brokers and looks for skews in triangles.
you'd better re-read your own thread ;)