Pair trading and multicurrency arbitrage. The showdown. - page 320

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Sergey2134 #:

I’ve also given a lot of thought to this ‘spread percentage’ parameter – how far apart the instruments have drifted. To measure the spread, you need to have a common starting coordinate for the two instruments.

But in reality, these are two independent charts with different prices. And all we can measure is how far an instrument has moved up or down from its own level, on its own timeframe.

It’s an optical illusion. Isn’t that obvious?

Shift the starting point of the calculation and you’ll get a variety of divergences

 
Renat Akhtyamov #:

It’s an optical illusion. Isn’t that obvious?

Shift the starting point of the calculation and you’ll get a variety of results

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There’s no point in discussing it.

 
Vitaly Muzichenko #:

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There’s no point in discussing it.

If you don’t want to, that’s up to you.
 
That is precisely what we need to discuss. Because, judging by the forum’s history, clever people have already written an indicator showing the spread, and they’ve also written the Tandem expert advisor. And they’ve written a great deal; all of it required further refinement.
 
Sergey2134 #:
Tandem expert

That’s what we’ve been up to, and it’s never worked, which is why we end up with this sort of criticism. I don’t even want to discuss it – there are grown men talking here, and I’m not old enough yet to butt in on their conversation.


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