Pair trading and multicurrency arbitrage. The showdown. - page 322
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The lower one – the Kendall calculation – produces rather high emissions
What if we increase the calculation period for the CC?
80. But that’s not the right algorithm; it’s not suitable for our purposes
150
P.S. There are currently four algorithms. Kendall’s, like Pearson’s and Spearman’s, is unsuitable
I opened two positions a month ago to test the ‘i-Equity’ indicator
As can be seen in the screenshot, a very large swap charge has been applied to AUD/CAD, but the indicator has also taken this into account
Current result = -19.33
Current result according to the indicator = -22.18
A difference of 2.85 is perfectly acceptable over such a long period
It’s not all that quick