Pair trading and multicurrency arbitrage. The showdown. - page 262
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It's a bit too easy :-) it doesn't work that way.
"those who are stronger during the day (from ~3:05) run away, c 19 trade inwards. those who ran up sell, those who ran down buy".
)
Yeah - yeah - that's what I meant..... it's like country indices can also be.... I haven't checked.....
It's a bit too easy :-) it doesn't work that way.
"those who are stronger during the day (from ~3:05) run away, c 19 trade inwards. those who ran up sell, those who ran down buy".
We wanted to write a range robot back then .)
only now I've matured to them...) and I'm writing and testing them.
the entry of the exit is essentially in the range - between the red and yellow line.....
and on MT4 it's not convenient.... on MT5 both on indicators and user symbols are OK!
from here.
"those who are stronger during the day (from ~3:05) scattered, c 19 trade inwards. those who ran up sell, those who ran down buy".
I've found something like this, who has scattered as much as possible - trade them in a slump!
Here is a metal theme ) also not yet tested - although now I don't know there is also a policy....)
They've flown away and won't fly back again...))
they've scattered and won't fly back...))
and those who have flown away and are supposed to roll back inside, obviously cannot be held for long, or they will scatter. The mentioned "night flap" is no longer than 3 o'clock the next day. From there the spreads start, and it is not known where to. If the profit is not raked out before 3, then close positions and fix the loss. 3:00 (though it depends on the DC belt) is the minimum of daily volatility/tickets/volumes of currencies, an obvious starting point.
and with currencies it's one thing and with metals and other exchange traded stuff it's another. They are different things. Among other things, currencies are round-the-clock, with known volatility in advance and strong mutual correlations.
and those who are scattered and should be rolled back inside, obviously can not be held for long, or they will scatter. The aforementioned "night flap" is no longer than 3 o'clock the next day. From there the spreads start, and it is not known where to. If the profit is not raked out before 3, then close positions and fix the loss. 3:00 (though it depends on the DC belt) is the minimum of daily volatility/tickets/volumes of currencies, an obvious starting point.
and with currencies it's one thing and with metals and other exchange traded stuff it's another. They are different things. Among other things, currencies are round-the-clock, with known volatility in advance and strong mutual correlations.
yeah... by the way - the time limit should be added too.....
Yes, it's probably wrong there - for excessive activity ) I just took a shower...))
I guess I understood the trick there - there was a site update and I updated the post with a link and my text and eventually clicked several times to update and the site like wait there is an update - and eventually apparently considered the robot that I duplicate the post.... )
thank you for noticing too...)
we can try, although the situation is like "the first pancake will go wrong" :-) the dollar has crushed everyone and is unlikely to calm down.
but for the sake of experiment - maximum spread by 19:00 between USD and JPY. It's just the day. The next close candidate is CAD and JPY
on the screenshot: on the top almost everything including metals, on the bottom - majors. Both of them to USD
If we act as planned, we should sell CAD, buy JPY and see what comes out in the morning.
I mean in demo SELL 1 USDJPY, BUY 1 USDCAD or cross SELL 0.72 (~1/USDCAD) CADJPY (I didn't mix up the volume in my haste)
I'll open both the majors and the cross. Then we'll see what is actually more convenient
we can try, though the situation is like "the first pancake will go wrong" :-) the dollar has crushed everyone and is unlikely to calm down.
but for the sake of experiment - maximum spread by 19:00 between USD and JPY. It's just the day. Next close candidate is CAD and JPY
on the screenshot: on the top almost everything including metals, on the bottom the majors. Both to USD
If we act as planned, we should sell CAD, buy JPY and see what comes out in the morning.
i.e. in demo SELL 1 USDJPY, BUY 1 USDCAD or cross SELL 0.72 (~1/USDCAD) CADJPY (I didn't mix up the volume in my haste).
I'll open both the majors and the cross. Then we'll see what is actually more convenient
What's up - what's up..... ) that's what my employers say ... )
There were no significant convergences, everything was still in the spread area, but it was clear from the beginning about the "first pancake".
I don't have time now, I will illustrate it later. In brief - it was necessary to enter by limits a little higher/lower and not by the market strictly at 19
What's up - what's up..... ) that's what my employers say ... )
due to circumstances (I slept through the whole damn thing) :) I did not close the positions by the appointed time of 3:00, and in the morning I also left them to see "if they would die".
as they were on the flat at the entrance at 19:00, they remained so all night plus or minus a little.
After 3:00 it started to shake a little bit, and with the opening of Europe the dollar continues to crush everyone...
but this is already a strong over-sitting, according to the initial plan - trading from 19:00 to 3:00 from the premise that
"the pair, which has collapsed to the maximum extent possible during the trading session, at least will not diverge further on a rolling flat, and it is quite likely that it will narrow".
we can write it off as "it was a bad day" - it was obvious in advance that the dollar was breaking.
and at the same time make intermediate conclusions:
* entering at the exact time of 19:00 is not the best idea :-) it is more effective to wait for a slight further drift, having determined in advance who we sell and who we buy.
* it is necessary to risk unusually large lots or frequent repetitions. Otherwise it's tears, not profit
although they're still hanging around each other.
on all screenshots: on top convergence/divergence of majors since yesterday morning, on the bottom movement of selected CAD,JPY. On the last one they are just aligned by the average price, to illustrate the divergences
due to circumstances (I slept through the whole damn thing) :) I didn't close the poses by the appointed time of 3:00, and in the morning I also left them to see "if they would die".
as they were at the entrance at 19:00, they remained so all night plus or minus a little.
After 3:00 it started to shake a bit, and with the opening of Europe the dollar continues to squeeze everyone....
but it's already a fierce over-sitting, according to the initial plan - trading from 19:00 to 3:00 from the premise that
"the pair that has collapsed as much as possible during the trading session at least will not diverge further on a rolling flat, and it is quite likely that it will narrow".
we can write it off as "it was a bad day" - it was obvious in advance that the dollar was breaking.
and at the same time make intermediate conclusions:
* entering at the exact time of 19:00 is not the best idea :-) it is more effective to wait for a slight further drift, having determined in advance who we sell and who we buy.
* it is necessary to risk unusually large lots or frequent repetitions. Otherwise it is tears, not profit
although they (CAD, JPY) are still hanging around each other.
on all screenshots: on top convergence/divergence of majors since yesterday morning, on the bottom movement of selected CAD,JPY. On the last one they are just aligned by the average price, to illustrate the divergences
Thank you, I have something to think about and work out an optimal TS and time in position if necessary and SL on equity also on optimals if necessary.... and entry time and so on....
due to circumstances (I slept through the whole damn thing) :) I didn't close the poses by the appointed time of 3:00, and in the morning I also left them to see "if they would die".
as they were at the entrance at 19:00, they remained so all night plus or minus a little.
After 3:00 it started to shake a bit, and with the opening of Europe the dollar continues to squeeze everyone....
but it's already a fierce over-sitting, according to the initial plan - trading from 19:00 to 3:00 from the premise that
"the pair that has collapsed as much as possible during the trading session at least will not diverge further on a rolling flat, and it is quite likely that it will narrow".
we can write it off as "it was a bad day" - it was obvious in advance that the dollar was breaking.
and at the same time make intermediate conclusions:
* entering at the exact time of 19:00 is not the best idea :-) it is more effective to wait for a slight further drift, having determined in advance who we sell and who we buy.
* it is necessary to risk unusually large lots or frequent repetitions. Otherwise it is tears, not profit
although they (CAD, JPY) are still hanging around each other.
on all screenshots: on top convergence/divergence of majors since yesterday morning, on the bottom movement of selected CAD,JPY. On the last one they are just aligned by the average price, to illustrate the divergences