Pair trading and multicurrency arbitrage. The showdown. - page 321

 
Vitaly Muzichenko #:

I’m trying to replace the main one with a more informative one.

The bottom two

It’s not yet clear what the bottom one, Avto_Correlate, is showing.

Yes, making a simpler and more informative indicator is the right thing to do.

 
Sergey2134 #:

It is, of course, not yet clear what the bottom-most Avto_Correlate plot shows.

Yes, creating a simpler and more informative indicator is the right thing to do.

This is an attempt to determine the ‘direct/mirror’ correlation

At present, there are two options: Pearson and Spearman. They’re not bad, but they aren’t particularly suitable for our purposes.

Here are three different currency pairs, and the indicator shows their correlation – this is a very important point in pair trading: if we don’t know how the pairs will move, we could end up with either a quick profit or a long-term loss.

1. Unrelated pairs: A clear analysis of entry points is required, aided by the Equity indicator. At the moment, there may be either two positions in the same direction or two in opposite directions. Alternatively, do not enter and look for another signal


2. Positive: Buy/Sell or Sell/Buy


3. Negative: Buy/Buy or Sell/Sell


 
Vitaly Muzichenko #:

This is an attempt to determine the ‘direct/mirror’ correlation

At the moment, there are two options: Pearson and Spearman. They’re not bad, but they aren’t particularly suitable for our purposes.

If not Pearson or Spearman, then which correlation algorithm should we use? There aren’t that many scientific methods available...

 
Sergey2134 #:

If not Pearson/Spearman, then which algorithm is used to determine correlation? There aren’t that many scientific methods...

At the moment, it’s based on patterns from several candlesticks; there are a few ways to do that as well – I’m experimenting
 
Vitaly Muzichenko #:
At the moment, I’m using patterns based on several candlesticks; there are a few different ways to do this as well – I’m experimenting

It’s not great, I’ll say straight away; it’s just like a floating window

you’ll end up with the same optical illusion

 
Renat Akhtyamov #:

It’s not a great option, I’ll say straight away – it’s just like a pop-up window

you’ll get the same optical illusion

This isn’t the first time I’ve read that phrase from you.

Do you have problems with your eyes? Is your prescription off? “People tend to talk about whatever’s bothering them.”