Pair trading and multicurrency arbitrage. The showdown. - page 310
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The problem lies not with the readers, but with the speaker. It doesn’t matter what I said; what matters is what they heard.
That is precisely why I recorded the figures on the indicator, whilst using the candlesticks solely for a visual overview of the pairs’ movements – and nothing more.
In that case, it would be best to exit positions based on the indicator as well. I realise this is all just ‘daydreaming’. But I’d like to find a solution – that is, to identify the right signal for exiting.
In that case, it’s best to exit positions based on the indicator. I realise this is all just ‘daydreaming’. But I’d like to find a solution – that is, to find the right signal for exiting.
exit where you entered.
I’m not a nursery teacher.
Well then, what’s the point of all this? No pain, no gain.
I’ve got some spare time – so I’m sharing my system.
A patron? Or an altruist?
The first indicator for entry; there is a divergence, but it has not yet been confirmed
Second – Spearman’s correlation; I previously used Pearson’s, but Spearman’s is more accurate – it does not take outliers into account
Third – change in equity from point to point
The point of the screenshot: you can see that equity moves in line with correlation; the screenshot shows AUDNZD-buy / CADCHF-sell
The pairs are poorly correlated over the long term, but are suitable for trading within a specific range
All in all, this is the picture that emerges. We see what appears to be a spread, so we enter the trade. But this entry does not generate a profit when the instruments converge.
This is because there is no common Y-axis. Each instrument has its own price scale . And simply superimposing the two charts on top of each other does not mean we have identified an arbitrage opportunity.
All in all, this is the picture that emerges. We see what appears to be a spread, so we enter the trade. However, this entry does not generate a profit when the instruments converge.
This is because there is no common Y-axis. Each instrument has its own price scale . And simply superimposing the two charts on top of each other does not mean we have identified an arbitrage opportunity.