Discussing the article: "Swap Arbitrage in Forex: Building a Synthetic Portfolio and Generating a Consistent Swap Flow"
Quote from the article:
Надежная стратегия требует надежных данных. SwapArbitrageAnalyzer использует прямое подключение к MetaTrader 5 для получения как исторических, так и текущих данных:
I don't understand how you get the historical SWOP data? The terminal does not provide them.
It would be interesting to evaluate retrospectively an approach where optimisation was done in a window every year and traded the result of it year or other period, and so for at least five years.
Quote from the article:
I don't understand how you get the historical SWOP data? The terminal does not provide them.
It would be interesting to evaluate retrospectively an approach where optimisation was done in a window every year and traded the result of it year or other period, and so for at least five years.
Great idea on Walk Forward. Swaps are taken current, but after all they can be calculated from interest rate differentials by downloading them through the World Bank using wdata.
Swaps are current, but they can be calculated from interest rate differentials by downloading them through the World Bank using wdata.
Without this data, it is difficult to talk about the effectiveness of the method at all.
The so-called swap will vary from forex dealer to forex dealer, it is often a way of taking an additional commission and has nothing to do with interest rates.
As a rule, the client and the forex dealer enter into a forward price change contract (transaction), which is not a swap contract.
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Check out the new article: Swap Arbitrage in Forex: Building a Synthetic Portfolio and Generating a Consistent Swap Flow.
The psychology of the market is playing tricks on traders. In pursuit of quick profits from short-term movements, most market participants completely ignore long-term structural opportunities. The swap is perceived either as an insignificant detail or as an annoying nuisance that requires closing positions before the rollover. This psychological barrier creates a systematic inefficiency of the market, which can be used to your advantage.
Technical traders focus on charts, fundamental traders focus on economic indicators. However, few people integrate swaps into a comprehensive strategy. Analytical data shows that less than 5% of retail traders purposefully use swaps in their strategies. This creates an arbitrage situation where a systematic approach to analyzing and optimizing swaps makes it possible to profit from market inefficiency.
Another factor is the complexity of calculations. Without specialized algorithms, it is almost impossible to optimize a portfolio taking into account all the parameters: the direction of trading, the size of positions, correlations between currency pairs and the interaction of market rate of return with swaps. That is why the development of a software solution like SwapArbitrageAnalyzer is becoming a key competitive advantage.
Author: Yevgeniy Koshtenko