Discussion of article "Statistical Carry Trade Strategy"
Hi Ruslan
I just wanted to know if it does open trade at all ?
and thank you for your article about carry trade .
JCB
Hi ruslan
thank you for article
I am not math expert ,but pretty sure that the whole calculations are wrong
double averagex = open1[0]-open1[100] / 100;
what I expect is the summation of all the open prices from 0 through 100, divided by 100
besides, the following formula
y = 2 * x + 1
does not seem to be true.
Can anyone with more knowledge in math justify me?
There is an error in the message box :
MessageBox(recomendation,"Not recommended", 1);
To be replaced with :
MessageBox(recomendation + " ...Not recommended", 1);
So to get the message not recommanded
Post scriptum : it is not an error, the "not recommended" is the title of the box, but on an black screen, it is not seen.
The "return(0);" should be all deleted
For this part
if(b>0) { Print("###", _Symbol+" = ",a," * "+secondpair+" + ",b); } else { Print("### ",_Symbol+" = ",a," * "+secondpair+" - ",MathAbs(b)); }
here are the result I get :
2019.04.06 15:41:15.077 StatisticCarryTrading USDCHF,Daily: ### USDCHF = -0.9075968272144176 * AUDUSD - 0.0001681237443192841
2019.04.06 15:41:20.802 StatisticCarryTrading USDCHF,Daily: recomendation Average daily profit: 1.681237443192841 points
2019.04.06 15:41:19.539 StatisticCarryTrading USDCHF,Daily: recomendation Correlation coefficient: -0.212986151589174
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New article Statistical Carry Trade Strategy is published:
An algorithm of statistical protection of open positive swap positions from unwanted price movements. This article features a variant of the carry trade protection strategy that allows to compensate for potential risk of the price movement in the direction opposite to that of the open position.
Author: Ruslan Lunev