Pair trading and multicurrency arbitrage. The showdown. - page 265
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the usual y=MathLog(x) is easier.
Thank you very much - I'll look into this too - I've already forgotten it...."regular y=MathLog(x) easier." .....
I'm still figuring it out, I'm using log2 until I realise what it is....
in this context, I know everything is elementary there - I'll be in the editor at the computer and F1 and that's it.... )
at least a little, even after years ) variants of TS began to turn to the code and even tests are already going on some Expert Advisors. )
Before that I traded without robots - it worked fine - spreads and short-term and medium-term!
you can do both. It's exactly the same thing, it's just different words.
as a more complex alternative, you can take the relative weights of currencies, I gave a formula above in the discussion. But there will be no fundamental difference
The usual y=MathLog(x) is simpler, there will definitely be no confusion with it
To moderators, and especially to grief-webmasters: your auto-translation removes formatting and especially citations (where is the quote, where is the phrase, where are the questions and answers). As a result, in translations the meaning is sometimes strictly backwards. Although it's probably right - let them learn Russian :-)
To moderators, and especially to grief-webmasters: your auto-translations have formatting and especially citations (where is the quote, where is the phrase, where are the questions and answers). As a result, in translations the meaning is sometimes strictly backwards. Although it's probably right - let them learn Russian :-)
it's not for this post )
as you write - it can't be so simple - when the counter and all from the maximum divergence at the right time and in compliance with ok conditions ... )
but one cannot exclude - summer is a favourable period of flat.... )
although the currencies are mostly fluttering among themselves.... )
but cannot be excluded - summer is a favourable period of flat.... )
:-)
yep, everything is quiet and calm and especially market-neutral news background :-) the world's strongest do not send each other anything but swear at each other.
---
but in general, the strategy has a market justification. The market works that way - to narrow the overall bundle. Those who have risen or fallen a lot are knocked off the pace and in a year everyone will come in at 4-7% with a small spread.
When you look at convergence/divergence you're actually comparing rates. A's pace is higher than B's - you see A and B diverging upwards.
it's not for this post )
as you write - it can't be that simple - when counter and all with maximum divergence at the right time and under ok conditions.... )
but one cannot exclude - summer is a favourable period of flat.... )
though currencies are mostly flat among themselves anyway.... )
similar picture should be on other natural periods, weeks, quarters.
But there are no clear boundaries there (a financial month does not necessarily start on the first day of the month and quarters in general are different for many people), there is no pronounced flat interval so that volatility does not interfere and volatility itself is almost uniform (volatility is twice as high as the trend on any periods, so you will not notice anything on its background).
Therefore, it is difficult to build a similar strategy there. And trading in weeks, "it's not about us, sir".
the same pattern should be true for other natural periods, weeks, quarters.
But there are no clear boundaries there (a financial month does not necessarily start on the first day of the month, and quarters in general are different for many people), there is no pronounced flat interval so that volatility does not interfere and volatility itself is almost uniform (at any periods volatility is twice as high as the trend, against its background you will not notice anything).
Therefore, it is difficult to build a similar strategy there. And trading in weeks, "it's not about us, sir".
) Therefore, it is difficult to build a similar strategy there. And trading in weeks, "that's not us, sir."
Lycos squeezed it!
By the way, here's part of "why you can't hold a position for long":
here is the above mentioned NZD JPY divergence at the moment:
you can see with your own eyes that it increased a little bit midday, but not by much. At the close in the afternoon a bit of a miscalculation.
But as of this morning, they are still leaders in the opposite direction.
and their momentum is going to be disrupted.
The bundle will start to narrow (and the profitability of previous positions will drop). And it will reverse on Monday
by the way, here's part of why you can't hold a pose for long:
here is the above mentioned NZD JPY divergence at the moment :
you can see with your own eyes that it increased a little bit midday, but not by much. When closing in the afternoon, a little bit was lost.
But as of this morning they (NZD,JPY) are still leaders in the opposite direction.
and their momentum is going to stall.
The bundle will start to narrow (and the profitability of previous positions will drop). And on Monday it will turn upside down
and their momentum will be off - interesting.... "beating" exactly the pace....
and their pace will be off - interesting.... "beating" exactly the tempo....
of course the pace...that is not to say that the NZD or JPY will somehow turn against the dollar or anything else long term will happen. It's just that the pace will slow down
A strong (strongest) appreciating NZD will appreciate more slowly and a weakly appreciating JPY will warm up a bit. If the news doesn't muck up over the weekend, the NZDJPY will look like a pullback on the NZDJPY cross. (this is another "by the way" without regard to any strategies, why it is better to be out of the market on weekends and holidays, so as not to get f*cked over).
of course the pace...that is not to say that NZD or JPY will somehow turn to the dollar or anything else long-term will happen. It's just that the pace will slow down
A strong (strongest) appreciating NZD will appreciate more slowly, and a weakly appreciating JPY will warm up a bit. If the news doesn't muck up over the weekend, the NZDJPY will look like a pullback on the NZDJPY cross. (this is another "by the way" without regard to any strategies, why it is better to be out of the market on weekends and holidays, so as not to get fucked over).