Pair trading and multicurrency arbitrage. The showdown. - page 319
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Well, perhaps Vitaly will explain himself why, when two ‘Buy’ or two ‘Sell’ orders are open, the system treats this as a hedged position.
His latest article states as much: ‘a reversal signal appears – a hedged combination is opened’.
Is that a question for me, or are you talking to mvf?
Yes, it’s for you, of course. Roman has already written an explanation. Roman, thank you very much.
Vitaly, I’ve been testing your Dual Z-Score indicator all day. You’ve prioritised it over the Bollinger Bands.
Am I right in understanding that if the Z-Score reaches the extreme zone, this is a signal to prepare to open positions?
Yes, of course. Roman has already written an explanation. Roman, thank you very much.
Vitaly, I’ve been testing your Dual Z-Score indicator all day. You’ve set it as a higher priority than the Bollinger Bands.
Am I right in thinking that if the Z-Score reaches the extreme zone, this signals that it’s time to prepare to open positions?
Not quite. I didn’t set it as a priority; I just arranged them in a way that’s convenient for me to use them.
The most labour-intensive part of the system is determining the movement of currency pairs, which is actually what I’ve been working on over the last few days to try and automate it somehow.
I’m somewhat familiar with the subject and can tell from the currency composition how they move, but since adding the euro and the pound – which weren’t there before – I sometimes find the movement confusing myself: ‘direct’ or ‘mirrored’.
I haven’t managed to automate it yet; in fact, you can see this too, because some of the ‘R’ buttons are pressed even though the pairs are moving in the same direction rather than in the opposite direction. In the current version, the determination is based on Spearman’s correlation.
So, the main task of Dual Z-Score is to determine the direction of pairs: direct or inverse; there’s an ‘R’ button , and if you press it, you can see from the lines how they’re moving – draw a conclusion and make a decision.
Main indicator: i-Spr_Signal, which confirms i-Spr_BB and the Equity indicator.
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Reverse (mirror) pairs are more complicated, I won’t argue with that, but the principle is simple: if they’ve risen and there’s a gap = 2 Sell; if they’ve fallen and there’s a gap = 2 Buy. This is precisely what guarantees hedging (insurance).
At the same time, use the Equity indicator to check where we are at the moment; use a short timeframe – 2–3 weeks is sufficient.
If you place a Buy and a Sell order whilst the trend continues, you’ll end up with two losses across both positions, and it will be very difficult to recover from them.
--
P.S. The system is simple; there are three conditions: a gap, confirmation from the Bollinger Bands, checking the equity indicator to see where we are in the cycle, and making Buy or Sell decisions . If all three conditions are not met, wait for another signal.
Not quite. I didn’t arrange them in order of priority; I just organised them in a way that’s convenient for me to use them.
The most labour-intensive part of the system is determining the movement of pairs, which is what I’ve actually been working on over the last few days in an attempt to automate it somehow.
I’m somewhat familiar with the subject and can work out how they move based on their currency composition, but since adding the euro and the pound – which weren’t there before – even I sometimes find the movements hard to understand: ‘direct/mirrored’.
I haven’t managed to automate it yet – though you can see this for yourselves, as some of the ‘R’ buttons are pressed even though the pairs are direct rather than mirrored. In the current version, the determination is based on Spearman’s correlation.
So, the main task of Dual Z-Score is to determine the direction of pairs: direct or inverse. There’s an ‘R’ button , and if you press it, the lines show how they’re moving – allowing you to draw a conclusion and make a decision.
Main indicator: i-Spr_Signal, which confirms i-Spr_BB and the Equity indicator.
--
Reverse (mirror) pairs are more complicated, I won’t argue with that, but the principle is simple: if the price has risen and there is a gap = 2 Sell; if it has fallen and there is a gap = 2 Buy. This is precisely what guarantees hedging (insurance).
At the same time, use an equity indicator to check where we are at the moment; use a short period – 2–3 weeks is enough.
If you place a Buy and a Sell order whilst the price movement continues, you’ll end up with two losses across both positions, and it will be very difficult to get out of them.
--
P.S. The system is simple; there are three conditions: a breakout, confirmation from the Bollinger Bands, checking the equity indicator at a given point in time, and making Buy or Sell decisions . If all three conditions aren’t met, we wait for another signal.
mvf358 #:
На сколько пунктов или долларов
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I’ve never actually looked at it and haven’t given it a second thought.
You’ve got your own highly profitable system, so why are you so interested in this one?
I’ve never actually watched it and haven’t given it a second thought.
You’ve got your own highly profitable system, so why are you so interested in this one?
I’ve never actually watched it and haven’t given it a second thought.
You’ve got your own highly profitable system, so why are you so interested in this one?