Pair trading and multicurrency arbitrage. The showdown. - page 137

[Ivan Butko]

Since nobody wants to share profitable and stable pair trading, we can try to load all available currency pairs into the MT5 optimiser, take the currency strength indicator as a reference point and optimise

1) Pairs specifically (true/false)

2) Direction of each pair (buy/sell)

3) Lot for each pair

4) Total TP as a % of deposit

5) Cumulative SL as a % of deposit

6) Entry logic: some threshold when to open. Either Boolean or numeric

As a result, the optimiser will produce the best portfolios

[Maxim Dmitrievsky]

Look up the correlation matrix on the internet. Naked logic without knowledge doesn't go anywhere, does it?)

[Roman Sidorenko]

Ivan Butko pair trading, we can try to load all available currency pairs into the MT5 optimiser, take the currency strength indicator as a reference point and optimise

1) Pairs specifically (true/false)

2) Direction of each pair (buy/sell)

3) Lot for each pair

4) Total TP in % of deposit

5) Cumulative SL as a % of the deposit

6) Entry logic: some threshold when to open. Either Boolean or numeric

As a result, the optimiser will produce the best portfolios

I make a similar one, it looks like this https://youtu.be/TB1lAJayjZ4

[Ivan Butko]

Roman Sidorenko #:

I make a similar one, it looks roughly like this https://youtu.be/TB1lAJayjZ4

Oh, boy.

[Roman Sidorenko]

Ivan Butko #:

Oh, my God.

It's certainly worse in tick mode, but still

https://youtu.be/5Ao0EcSvObI

[Roman Shiredchenko]

Ivan Butko pair trading, we can try to load all available currency pairs into the MT5 optimiser, take the currency strength indicator as a reference point and optimise

1) Pairs specifically (true/false)

2) Direction of each pair (buy/sell)

3) Lot for each pair

4) Total TP in % of deposit

5) Cumulative SL as a % of the deposit

6) Entry logic: some threshold when to open. Either Boolean or numeric

In the end, the optimiser will produce the best portfolios

Wo. By the way, I was going to write something like this myself.... and even sketch it later....

Like a robot tied to the atr and two buttons for the user, preparation for the dough and the Dough button, as everyone likes..... and the optimiser, when pressing the 1st button, selects dynamic and adaptive values of input parameters on the optimiser..... it does everything by itself, like from the movement and range of motion of stmvolls..... and then after optimisation the user presses button 2 BABLO, and then the magic happens, the robot starts shearing money from a bunch of symbols from the market review, estimating the size of the deposit, opens positions by lots and shears on sliding and sklops on the ts high-pair..... ;-) something like this, to make both a pamm and a signal and put it in the market with two buttons half a screen each.... ;-) for 1,000,000 quid.

[mvf358]

Are there in nature two triangles which are carried to infinity tick by tick as if holding hands? And for example, every hour on their way meets an obstacle, they go round it and further carry on to infinity and so every hour. the interval can be any but stable ?

[Sergey Gridnev]

mvf358 #:
Are there two triangles in nature

There are no triangles in nature at all. There are tetrahedrons.

[Sergey Gridnev]

mvf358 #:
tick to tick into infinity as if holding hands?

That's love!

😁

[Maxim Kuznetsov]

once again, what is currency strength ?

here is a convolution of days in the range 0..1, shares in a hypothetical currency basket (there is a code above).

in terms of prices and fluctuations they are all about the same.

what currency parameter can be taken as "strength" ?