Pair trading and multicurrency arbitrage. The showdown. - page 267
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"Take the corresponding segment of the logarithmic function and run a linear regression.
if we just took the tangent at the point (green line) we would get the 0-th triangle :-) where all total volumes are zero. ln(x)/dx = 1/x ; volumes in inverse proportion to the current price in the triangle cross and majors form 0. (how many pounds in one leg bought so many in the other sold. And so for the other two currencies, everywhere the total is 0)
and so we take the neighbourhood of the price and run a regression. We get a line, which is red in the figure. Its slope is our coeff for non-zero triangle lots. It does not differ much, but it differs. In the triangle equity is no longer 0 ;-)
with special points B1 B2 in which deviations are minimal (change of sign is possible in general), but followed by a sharp "spread". In a triangle there are 3 sides, each side has 2 special points, combinations of them are like 2^3 = 8 pieces. You can puzzle out what's going on there :-)
(spoiler: there is no grail, miracles don't happen...the price will eventually leave the range, the total Eqi will go to a random side; just near the pre-calculated bifurcations it will fluctuate).
visual and figurative: in a line chart, we usually draw the divergence of the equi in a triangle from the common point 0, but here we start the components just above/below 0 and know where they will converge....
by the way, and Friday's forecast OK.
and there's no forecast today)
because there was no cancellation; it was a Japanese holiday in Japan, the yen fell out. Without the yen and some news, the market went nowhere. There is no clearly defined active period, nor a separate flat after it.
any forecast will be a finger in the sky.
today seems to be better ;-)
(from 3 to 19 above, i.e. active trading day; from 3 below to this hour)
you can see, today the market worked normally and there is a pronounced flat and the beginning of pullbacks.
The leaders up for the day today are JPY and CHF. GBP is at the bottom (and the dollar is even lower - today everyone went up to the dollar, the dollar fell accordingly).
It would be possible to sell CHF to buy GBP, but since the dollar is strongly down today, we'll go with one leg of the deal.
We sell the maximum increased (CHF), against the minimum (USD). I won't even use the limit trawl, though it is necessary to do so.
classic counter-trend into a pullback.
it's not even sporting :-)
the blue line is the pound, the green line is the franc...
it's not even sporting :-)
the blue line is the pound, the green line is the franc...
Maybe there are times and places here where the chest is not so easily opened..... ) or maybe not.... )
Is just the right trading principle. In the hands of a trader - super.
At the same time it partly shows why TCs on a single instrument are doomed.
here is yesterday's GBPUSD as of yesterday evening :
the vast majority of counter-trend robots will go "SELL"...
but if you look at the market in aggregate, as we are doing now, the signal is "anything but GBP selling" https://www.mql5.com/ru/forum/448777/page267#comment_57606365.
Yes, the pound is up...or rather it's all up against the buck, and the pound is the weakest. It will be bought.
and indeed, that's how GBPUSD ended up:
and here is the result in the GBPCHF cross of yesterday's prediction : "franc sell, pound buy".
Probably "last dive", I'm tired of posting the same thing, and in the same face.
so today
at the top the usual volatile NZD,AUD
at the bottom also the usual CAD, JPY.
one more hour to make sure that there is a flat (you can even until tomorrow, so as not to collect swaps), all synchronized and you can sell NZD and buy JPY with closed eyes.
That is, on the NZDJPY cross it is not too far to open and start trawling SELLLIMIT NZDJPY limit.
Probably "last dive", I'm tired of posting the same thing, and in the same face.
so today
above the usual volatile NZD,AUD
at the bottom also the usual CAD,JPY
One more hour to make sure that there is a flat (it can be even until tomorrow to avoid collecting swaps), all synchronized and you can sell NZD and buy JPY with closed eyes.
That is, on the NZDJPY cross it is not too far to open and start trawling SELLLIMIT NZDJPY limit.
so what - ok we should continue!!! so we already have a tc and trade!!!
The indicator shows ok.
I reread and make a ts just like a quest ok something. Thank you!
Yeah. Cool. Looks like I'm in.
here already really went true trading signals - sppsb! and TC run-in!!!