Pair trading and multicurrency arbitrage. The showdown. - page 296

 
Sergey2134 #:

Vitaly, could you please explain the indicator’s signals and tell me which one is the most important? I’ve had a quick look at it, and it seems the histogram is indicating a divergence between the instruments. But I need to know what the two yellow lines on this indicator mean in terms of the entry point.

Do pop over to my YouTube channel (link in my profile); there are trading videos and descriptions of the system there. If you have any questions, I’ll be happy to answer them.

I’ll also add all this to my blog later.

 
Vitaly Muzichenko #:

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Perhaps ‘Quality’ doesn’t quite sound right.

The signal, expressed as a percentage, indicates how much the pair has diverged from its historical trend; in the image, this is 36 per cent.

The figure 69 next to it indicates how many bars back the last probable signal was

The blue line shows the correlation between the pairs


As far as I can see, your pair-based strategy doesn’t really offer a signal, unless you’re just looking for a quick pip. 17.07 might be an option. But even that’s a bit iffy. However, there’s a caveat: which way the pairs will move.
 
mvf358 #:
As far as I can see, there’s no real signal in your pair option, unless you’re just looking for a quick pip. 17.07 was sort of an option. But even that’s a bit iffy. However, there’s a caveat: which way the pairs will move.
That’s not my indicator in the screenshot, and judging by the screenshot – the pairs are moving in opposite directions – you need to reverse the position and watch for divergence
 
Vitaly Muzichenko #:
That’s not my indicator in the screenshot, and judging by the screenshot, the pairs are moving in opposite directions; you need to reverse the trend and look for divergence

It’s simply not a continuous chart… the equity tends towards 0, especially if it’s periodically reset to that level. In the screenshot, it’s four periods apart

That way, you can declare any of them the ‘Holy Grail’ and save yourself the hassle of selecting pairs

https://vkvideo.ru/video-15755094_456283359

PS/ Come on, web monkeys! It’s a right pain to embed video clips

 
Maxim Kuznetsov #:
It’s not a continuous chart… the equity tends towards 0, especially if it’s periodically reset to that level.
So what’s the point of having such an indicator in the trading terminal?
 
Vitaly Muzichenko #:
So what’s the point of having an indicator like that in the terminal?

I’ve no idea, it’s not mine

I’m just calling it a property… because to the uninitiated, it really does look like a glitch

 
Maxim Kuznetsov #:

I’ve no idea, it’s not mine anyway

I’m just calling it a property… because to the uninitiated, it really does seem wrong

When there’s a signal on mine, I’ll repeat it, and you can check which is right and which isn’t.
 
Vitaly Muzichenko #:

A bit about the system

The second one from the bottom is the historical equity indicator.

1, 3 and 4 are the Bollinger Bands; I’m still getting to grips with them. All three are calculated using different formulas, but they look almost identical. For the system, you need to select one and add the rest to the ‘Basket’.

The first one from the top is the currency index; I didn’t have one before – or rather, I had lots of other people’s useless ones that calculated ‘who knows what’, so there was no point in using them

The second one from the top is the signal indicator and the most important one; the system is built around it, whilst the others are auxiliary

At the bottom right is an EA that opens and closes positions based on profit. It’s set up to convert the lot size of the second instrument to that of the first

Bloch will expand


He demonstrated an incorrect login – this is not a system login; you mustn’t do that.

The lines haven’t crossed for a long time – you need to wait for them to cross, and then enter the trade on the next signal

I’ll now move into profit by averaging down, or by trading other pairs.

The position opened in the video has now been closed.


 

I’ll continue with what you shouldn’t do when trading currency pairs:

If you already have an open position in a particular currency, the next pairs you trade should not involve that currency.

I don’t think I need to go into too much detail as to why – ultimately, you’ll either end up with a double lot for selling or buying a single currency, or, conversely, you’ll end up locking your position.


 
Vitaly Muzichenko #:

I’ll carry on with what you shouldn’t do when trading pairs:

If you already have an open position involving a particular currency, the following pairs should not include that currency.

I don’t think I need to go into too much detail as to why – ultimately, we’ll either end up with a double lot for selling or buying a single currency, or, conversely, we’ll end up in a lock.


It’s much simpler

That’s why


in other words, a ‘virus’ has crept into trading ;)

As a result, two currency pairs are being traded (AUDCHF && EURGBP)

and this isn’t based on the algorithm and hasn’t been analysed: the spread, lot sizes, the overall direction of EURGBP, and the interdependence

the trading outcome is unpredictable in this case