Pair trading and multicurrency arbitrage. The showdown. - page 139

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Alexander Pryakha #:

In the basket of currencies, if we talk about automatic trading of the basket of currencies for 28 pairs -
currencies in each of the 28 pairs - as many as two pieces, therefore - the algorithm that makes a decision on the signal to open/close the sale or purchase of currency - must be against the movement of the base of the total pool.
If the pool swells more than 115%, for those who swell - it is necessary to become on compression.
If the tendency of compression is less than 85%, it is necessary to stretch the channel - to inflate the bubble.
I would like to introduce a utility for MT4, which shows the width of the channel
if you have the CCFp indicator
from the post of this branch https://www.mql5.com/ru/forum/448777/page99#comment_50338194
immediately understand the numerical value of the total width of the channel and what to do with the multi-currency basket

I apologise wildly. The volatility of the corridor of 28 currencies is 30% ?

 
mvf358 #:

I apologise profusely. The volatility of a corridor of 28 currencies is 30% ?

No, it's about 10 pips each - up to 300 pips for the whole patty.
Volatility depends on risk. The risk can be 1.5% (leverage 1:5) or 60% (leverage 1:200).
 
Alexander Pryakha #:
No, somewhere around 10 pips each - up to 300 pips for the whole cutlet
Volatility depends on risk. The risk can be 1.5% (leverage 1:5), or it can be 60% (leverage 1:200).

And how often are the spreads and shifts ?

 

Who has the time and skill to do a useful thing for everyone?

1. accurately calculate statistics:- the probability of change of N-th bit in the binary representation of the quote, starting from the highest. (it's a histogram, which all have approximately similar looks, but not identical: shifted to the right-left and by a miserably wider/lower)

2. come up with (or jointly calculate somehow) a multiplier that will more or less equalise the histograms.

You can call it - binary pip, technical volatility. It is also a lot multiplier for volatility alignment.

PS/ I just have a deadline on my own affairs, and I'm only a commentator for a week or even two - I won't have time for the code; but the thing is necessary and will be useful to everyone.

 
mvf358 #:
are sliding and shifting?

somewhere a couple of times a week for H4 you can catch a basket for channel compression.
Yesterday the sliding was up to 110%, now the channel width is 101% - there is nothing to catch yet.

 
Alexander Pryakha #:


I would like to make a utility for MT4 .

And yes, I forgot to tell you - Big Brother utility signals to the global MT4 terminal.
You can view global variables by pressing F3
. So, anyone who wants can build an Expert Advisor for automatic trading.

  case 0:

       {  

   major=(int)GlobalVariableGet(StringConcatenate("bb_trend06_",symbol));

       break;

       }
 
Alexander Pryakha #:

somewhere a couple of times a week for H4 it is possible to catch a basket for channel compression.
Yesterday the sliding was up to 110%, now the channel width is 101% - there is nothing to catch yet.

Good day.With channel volatility of 3% with total risk of 28% and with the prospect of a plus 2%. It's like a sapper. Without the right to make a mistake. If the movement hangs for a week, it's not realistic to make a plus.

 
mvf358 #:

Good day. With the channel volatility of 3% with a total risk of 28% and with the prospect of a plus 2%. It's like a sapper. No right to make a mistake. If the movement hangs for a week, it's not realistic to make a plus.

Volatility is not the main thing, but the risk per order. All orders have the same risk, which means different lots. There is no sense to hold the basket for a long time, at 110-115% you can get compression, sit for 12 hours, see at the channel width of 100%, and sit smoking. The channel is not stretched for a long time, usually it is quickly deflated to 100%, and you can get much more than 2%. For trading you need a large depo, or centovik at $500, then it is quite comfortable to trade.
For depo 50000 orders should be opened to risk 5% on the basket, for example chfjpy 0.39, nzdcad 0.72, usdcad 0.48 audnzd 0.68 - lots are different.
 
Renat Akhtyamov #:

I'm sick of looking at the research

here's the right indica


Good luck!

---

ahahahahahaha

© new-rena

So still trading multidirectional? Sell/Sell, Buy/Buy? I'm stuck on unidirectional ones.

 
I'm afraid to go to bed. So many things came to mind during the night. I'll check it out.)
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