Pair trading and multicurrency arbitrage. The showdown. - page 49
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logically and by way of brainstorming:
(further only for forex where all interfunctions are interfunctional) the more adjacent pairs are out of 2 σ the more probability of reversal. Non-adjacent pairs should be in a "bundle", i.e. go tightly.
no fantasy - it is just a sign of a local USD reversal. Zero fluctuations. (by the way, in electrical engineering there may be known suitable methods of detection).
it is even indisputable, like an axiom :-) all the spears around "what to count deviations from" and actually how.
PS/ to moderators: keep comrades with negative balance and autumn aggravation in check somehow
logically and by brainstorming:
(further only for forex where all interfunctions are interfunctional) the more adjacent pairs are out of 2 σ the more probability of reversal. Non-adjacent pairs should be in a "bundle", i.e. go tightly.
no fantasy - it is just a sign of a local USD reversal. Zero fluctuations. (by the way, suitable detection methods may be known in electrical engineering).
it is even indisputable, like an axiom :-) all the spears around "from what to count deviations" and actually how.
PS/ to moderators: keep comrades with negative balance and autumn aggravation in check somehow
why reversal and RMS in pair trading????
In pair trading, you trade a spread, not fluctuations around zero.
You can trade both the full spread and its increment.
learn your trade
Hey, everybody. These are the results so far. This is without automatic sliding calculation. Fixed entry at the sliding of 3000 pips at 5 digits. I will think how to calculate the average divergence for 1-3 months. I think it should be done separately for Sell-Buy and Buy-Sell.
Cps. At least you've written something down.... ;-)
You're welcome. Just no questions asked )
Here's more:
Next I'll post what I got with the automation.On a graph, it looks like this:
On a graph, it looks like this:
From a broad shoulder, free of charge :-)
in order to compare warm and soft, both warm and soft should be brought to comparable natural quantities and compared. (See physics and measurement theory.); and the unit of measurement should be the same, have a real/physical meaning and the scale should allow comparisons and desired transformations.
For financial instruments, the natural criterion of comparison is profitability.
Let's take and build graphs of profitability of investing USD. On the OX axis - time, on the OY axis - yield, multiples.
This is a log scale of relations - the absolute value is not important, the differences are important. We can move the graphs up down, combine them to come from one point (from one point in time) and visually compare the returns starting from a given point.
We will get a "bundle" - how the yields on currencies have changed since a given time.
take the majors and at
It seems to me that in pair trading it is necessary to trade not crosses, but pairs like GBBAUD NZDCHF, not AUDCHF NZDCHF.
Explain what you are basing this on. What is the connection between GBPAUD and NZDCHF?
With a broad shoulder, free of charge :-)
Thank you. I'll take a look.