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Pair trading and multicurrency arbitrage. The showdown. - page 18

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Roman Poshtar #:
I have found some errors in the calculation of the sliding. The spread is calculated using the mash marks. I threw all kinds of spread indicators into the furnace. Then there is a freezing of the zero point like cmillion + many other tricks on closing by parts, etc.

Spreads should be put in the filter, not in the furnace)))))

Valeriy Yastremskiy #:

Spreads should be put in the filter, not in the furnace))))))

I don't agree, I tried everything, the standard approach doesn't work. I will post a little later spread indicators that I found. From the indicators above I will pull out only lot calculation for 2 pairs. Since they should not be the same.

Friends who have Xeonchik, I will be glad to help in optimisation. I had a man, but he disappeared and does not get in touch. If you can help, please write in person.
Errors in the sliding calculation have been corrected. Checking
Roman Poshtar write in person.
Do you trade pairs with the same denominators?
Vladislav Vidiukov #:
Do you trade pairs with the same denominators?

I'm trying different variants

Roman Poshtar #:

I'm trying different options

What's the best way?
And so it turned out that if one situation has moves and enter, then during the first situation and until its closure there are more situations to enter by other criteria of the sliding. Apparently it will be interesting to use all of them at once.
Vladislav Vidiukov #:
What's the best way?

It's better to go inverse, for example EURUSD-USDCHF.

Roman Poshtar #:
I have found some errors in the calculation of the sliding. The spread is calculated using the mash marks. I threw all kinds of spread indicators into the furnace. Then there is freezing of the zero point like cmillion + a lot of other tricks on closing by parts and so on.

It is hardly possible to come up with something worse.

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