Pair trading and multicurrency arbitrage. The showdown. - page 263

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Maxim Kuznetsov #:

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

Just let the 2 most extreme ones meet, when the euro-buck is between them. It seems to go well
 
Roman Shiredchenko #:

thanks there is a lot 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....

there's really a lot to think about...

in particular the resulting entry yesterday at 19:00 BUY USDCAD. Looking only at USDCAD I would never have done that, rather the opposite in SELL. And I would have been wrong.

Open the chart - it's very cool, a long wick that is asking for a hand to finish down, just frozen.

 
Maxim Kuznetsov #:

it's really something to think about.

In particular, the resulting entry yesterday at 19:00 BUY USDCAD. Looking only at USDCAD I would never have done that, rather the opposite in SELL. And I would have been wrong.

Open the chart - it's very cool, a long wick that is asking for a hand to finish down, just frozen.

OK. I'll have a look tonight... there was a good move on EURUSD and GBRUSD.

 
Maxim Kuznetsov #:


If we act as planned, we should sell CAD, buy JPY and see what comes out in the morning.

And it's a pity I closed positions (even though they are demos).

In exactly 24 hours JPY up, CAD down...between them would have been a profit :-)

That's how it "broke" in the end :-)

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you can try it again to see ;-) now the leaders from 3:00 JPY is up (i.e. sell it), NZD is down (buy it)....

1 lot USDJPY BUY, 1.68 NZDUSD BUY and (to compare with the cross) the same 1.68 NZDJPY BUY.


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on the screenshot - on top are the majors today since 3:00, on the bottom - how JPY,CAD have converged/diverged since yesterday evening.

PS. initially opened volumes incorrectly, the terminal is still inconvenient for manual trading, especially with a bunch of currencies, it's easy to make a mistake :-) everything turned out to be 1 lot. I had to add 0.68.
 
Maxim Kuznetsov #:
that's how it "broke" in the end :-)

very interesting and exciting....

no kidding....

 

This effect is probably due to the current conditions. At the opening it was not the JPY CAD pair that was the highest, the USD was on the top. During the day all were falling towards it until they completely collapsed.

And today the JPY CAD convergence "resonated" with the return fluctuation of the dollar. It turned out to be a back and forth spike.

I'll have to memorise it, then I'll figure it out and exploit it at my leisure.

"she likes to drink, we should take advantage of that."

 
Maxim Kuznetsov #:

this effect is probably due to the current conditions. At the opening it was not the JPY CAD pair that was the most important, the USD was on the top. During the day all were falling towards it until they fell down completely

And today the JPY CAD convergence "resonated" with the return fluctuation of the dollar. It turned out to be a back and forth spike.

I have to remember it, then at my leisure I'll figure it out and exploit it.

"she likes to drink, we should take advantage of that."


I said that the quid should be in the middle, as it averages them in the role of shepherd..In theory, if you normalise everything and find the difference between the quid and the average between the "leaders", then they will be with the guarantor to this range to close.I will finish my turkey I will definitely check.
 
I wanted to inform you that I play this theme myself in the robot - I think about it or according to the standard like year optimisation quarterly bidding. Then optimisation again...
The theme is such - that I do not build illusions about trading spreads and that they all positions are closed 100% in plus. That there may be slips. I mean that on the same values of variables and step there 2 3 averaging even on the initial lot without its increase is possible both in profit and in loss if news or other reasons of spread flatness.

Here is a picture there at the bottom of the arrows yes, the flat is ok, but it happens not always.....

And if the exit is at the crossing of the lines and MA spread - then several times in a row may be possible to exit to the loss.
There are similar pictures there... entries like I've been watching X - Y fluttering for a month already. And what if from borders.... )

OK for a week still OK and then not OK. And there is not enough dep to spill the spread flutter ok to average and minus 500 ) loss to take .... )
In order to avoid such a situation, it is necessary to set up all the actual ok and to calculate and set and to trade.
 

Here is in fact as a variant of interpretations and portfolios also now do - exceeded up MA spread - sale with averaging, fell down - purchase with averaging on the reverse crossing of MA spread on the step of the first entry - reversal of positions.

Here I wrote about such fives like them to arrange a meeting and that's all....)

and it is possible to check and test both by hand and by Expert Advisors....

 
Maxim Kuznetsov #:


you can try to repeat to see ;-) now the leaders from 3:00 JPY is up (i.e. sell it), NZD is down (buy it).

1 lot USDJPY BUY, 1.68 NZDUSD BUY and (to compare with the cross) the same 1.68 NZDJPY BUY.


At least they did not diverge in a bad way during the day. That is following the hypothesis "leaders of the day at least do not tend to repeat records".

After all, set a milestone at 19, wait for a minimum drift and only then open. Not strictly at the appointed time.

Even on the screenshot - if it was to wait for the first minimum "expansion / fluctuation" with NZD at the bottom, JPY at the top (it is as far as I understand the mechanics - trawl limit cross), it would be good:


As it is, it's all around zero chatter, didn't even bother to close.

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If you want to try again, today the leaders are: GBP up, AUD down. GBP to sell, AUD to buy. After 19, by trawling limits or who does not know how to trawl, then after any rising candle m1,m5 sell GBPAUD.

(purely in theory, that is not_tried, but it is logical and seems to be true) : we should also look where the dollar is in their divergence. If both gbp,aud are higher, i.e. rising against the quid, then you can do with one major leg and sell gbpusd. Correspondingly, if below, i.e. falling, then buy audusd. And when one is up, the other is down, then cross.

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on the first screenshot - on top is the divergence of majors for today, on the bottom is the divergence of yesterday's sample of nzd,jpy for 24 hours. The second screenshot is what would happen if we opened limits with the trawl.

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