Pair trading and multicurrency arbitrage. The showdown. - page 306

[mvf358]

Renat Akhtyamov #:

You mean we’re trolling?

I can’t imagine that happening in a doubles match

Equity, dear Tralim. It seems there’s still a lot you don’t understand. You’re just showing off: ‘I’m this, I’m that.’

[Vitaly Muzichenko]

Sergey2134 #:
I got the colour a bit wrong ) On the histogram, these are the light green line and the orange line. Does their intersection signify something, like a signal?

I’ve reviewed the points where they cross – the entry points are very risky, and the direction is unclear

As you can see, we go into the red straight away upon entry. So you should only enter when the lines diverge

[Sergey2134]

Renat Akhtyamov #:

You mean we’re trolling?

I can’t imagine that happening in a doubles match

Please have a look at the guide in post no. 3049

[Sergey2134]

Vitaly Muzichenko #:

I’ve reviewed the junctions – the approaches are very dangerous, and the direction is not clear

As you can see, we immediately go into the red upon entry. So you should only enter when the lines diverge

Yes, I completely agree. Where do you start averaging from? What criteria do you use for the first averaging?

[Vitaly Muzichenko]

Sergey2134 #:

Yes, I completely agree. Where do you start with the averaging? What criteria do you use for the first averaging?

Averaging, if the pairs continued to diverge and the next entry signal appeared

[mvf358]

Vitaly Muzichenko #:
Averaging, if the pairs continued to diverge and the next entry signal appeared

There is too much variation in the spread between divergence and convergence in the pair. At times it might be $50, and at others as much as $600, whilst the indicator shows that the lines have converged, yet the equity will be well into the red. And it will never move into the black. Meanwhile, the indicator will continue to converge and diverge within a $50 range. And that will be an entirely different level. Your equity will hover in the red until the next major move in your favour, allowing you to lock in a $10 profit. I don’t think anyone is prepared to endure a loss of $600 just to make a profit of $10. At a loss of $50, you’ll already have psychologically cut your losses and excluded this pair from trading. And it’s not to blame.

[mvf358]

Based on my calculations, your EUR/AUD/GBP/NZD combination currently has a spread of 50–60 per cent. As far as I’m concerned, that’s pretty dodgy. Well, unless you’re really keen to make a quick 10 dollars by risking 200.

[Vitaly Muzichenko]

mvf358 #:
Based on my calculations, your EUR/AUD/GBP/NZD combination currently has a spread of 50–60 per cent. As far as I’m concerned, that’s pretty dodgy. Well, unless you’re really keen to make a quick 10 dollars by risking 200.

The spread is currently 8%.

[mvf358]

Vitaly Muzichenko #:

The spread is currently 8 per cent

We’ve got different PARROTS. Yours is very small; mine is a GIANT compared to yours. For mine to show 100%, I might have to lie in wait for a month, or perhaps even longer. I created it to measure my synthetics. But I reckon it’s fine for paired trading as well. Time will tell.

[mvf358]

Vitaly Muzichenko #:

The spread is currently 8 per cent

The spread between the British pound and the euro is currently $167, which corresponds to the 50–60 per cent range shown in the table