Pair trading and multicurrency arbitrage. The showdown. - page 301
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Given the varying volatility of the instruments, it is, of course, incorrect to always close positions at the same number of pips. In that case, different profit figures in cash would need to be calculated for different combinations...
It is also advisable to include the condition ‘close all positions when the instruments cross’ in the code for the spread strategy.
Given the varying volatility of the instruments, it is, of course, incorrect to always close positions at the same number of pips. In that case, different profit figures in cash would need to be calculated for different combinations...
It is also advisable to include the condition ‘close all positions when the instruments cross’ in the code for the spread strategy.
The profit per 0.1 lot for each pair is $10; well, that’s been verified, so to speak.
If 0.2 lots = $20
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The panel immediately recalculates the lot size for the neighbouring pair; there’s no need to calculate it manually.