Pair trading and multicurrency arbitrage. The showdown. - page 287
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Interesting framework: you measure the bias trend strength versus the 100% level and use above-average impulse as an entry signal, while reallocating positions through a differential when the threshold is crossed. It makes sense, but the robustness will depend on the stability of the cluster data and how the stop/limit grid adapts to changes in each pair’s relative share.
how the stop/limit grid adapts to changes in the relative share of each pair.
100% level is the average volume
Yes, the grid adapts and there you should make different grids for each phase of the volume,
Differential is just the switching of grids and this place can be not necessarily an equator.
All 4 grids touch the quator when switching the differential, but at the poles there are already two of them each.
At the quator there is either a transition of the impulse from positive to negative or its attenuation completely to zero.
But in each grid there are steps for adaptation. I don't know how to solve the problem without steps.
In calculations, the use of steps is like iterations when solving a problem: we performed the calculation, did the analysis, changed the conditions.
It is impossible to design this grid in your head, you have to draw it first and measure it with a ruler, and write the coordinates into the algorithm code.
It takes a long time, but it is quite solvable with certain navigation devices.
The more steps there are, the more accurate the grid will be. Collected such a grid for 24 steps, and it has 4 levels of visibility,
now decided to redesign a more accurate for 48 steps and 8 levels of visibility
For each step - its own conditions on the marks on which orders open and close and in what direction (lines in the figure above).
And the grid is not linear, and the coefficient of dynamism there is constantly changing depending on the level of the volume 50% or 150%,
grid expands or shrinks.
When switching the grids (with the well-known differential), nothing happens instantly - one or two orders from the basket may close, but the basket (or call it "grid") and its steps will change.
4 grids with steps are used:
1.Bearish trend: bearish grid trend (positive phase of the bearish impulse) CROSS2
2. Bearish trend; scourge grid correction (negative phase of scourge momentum) GAP2
3. Bearish trend; bearish grid trend (positive phase of bearish momentum) GAP1
4.Bearish trend ; bearish grid correction (negative phase of bearish momentum) CROSS1
So far, the maths is without stats.
The arbitrageurs are winning, they have something to show for it
Even those who have been trading for 22 years have woken up. But still, we are talking about profitable trading, not abstruse trading.
(I apologise at once.....) Yes, it is possible to make nonsense, to curl, so that it would be lazy to get into it, because there is no sense when there is no steith. And look, arbitrage.... All the stats speak only about the profit and profitability of the strategy !!!! Why read someone's rubbish when there is something to look at, isn't there ????)
So far, the maths is without stats.
The arbitrageurs are winning, they have something to show for it
What and where did they show?
Why read someone else's rubbish when ... your own is full of ))))
What and where did they show?
You're very attentive ;)
It's written here recently ...
I will ask a question in this thread, as it seems to be the most appropriate for the topic.
Does anyone know a ready framework/library in MQL5 for creating/maintaining synthetic positions? That is, for example, you need to open a basket +xA-yB+zC (lowercase - volumes, uppercase - instruments) in Expert Advisor. Then, let's say, we need to open a basket +qD-pB-rC, which will "spoil" the first basket on a real netting account, but the Expert Advisor should be able to close the first basket in its entirety.
I will ask a question in this thread, as it seems to be the most appropriate for the topic.
Does anyone know a ready framework/library in MQL5 for creating/maintaining synthetic positions? That is, for example, you need to open a basket +xA-yB+zC (lowercase - volumes, uppercase - instruments) in Expert Advisor. Then, let's say, we need to open a basket +qD-pB-rC, which will "spoil" the first basket on a real netting account, but the Expert Advisor should be able to close the first basket in its entirety.
Do you mean something like this: https://www.mql5.com/ru/articles/2646?
And we need routine operational support - open, close, trace integrity.
Portfolio Manager — EA for working with portfolios and superportfolios. It operates in conjunction with the portfolio indicator and allows opening and managing synthetic positions as well as has portfolio correction functionality and auto trading mode based on graphical lines of virtual orders
Well, Dreamers portfolio manager allows you to perform trading operations:
How do you propose to insert it into another Expert Advisor as a library, preferably with minimal rework?
It is a standalone tool for setting up and executing portfolio trading, not for ad-hoc acquisition of trading signals with arbitrary synthetics.