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Forex Correlation Theory - page 3

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Stanislav Korotky
18231
Stanislav Korotky  
Marco vd Heijden:

This strategy only looks at tick volumes to discriminate between fast and slower moving markets.

This is combined with the trend strength to further discriminate between steady one way trends, and trends with a more limited amplitude.

Then the spreads are compared to calculate the final decision, a combination of the highest volumes, preferably in the same direction, with the lowest spread.

Then these results are sorted, and combinations are calculated to discover the higher odds cross combinations with the best set of conditions.

...

I presume you need very fast and reliable execution for the strategy to work, otherwise you can get one position open and for the other - off quotes and similar problems while price is moving against your spread.
Oleksandr Medviediev
1717
Oleksandr Medviediev  
Marco vd Heijden:
............

In the beginning i saw great losses which made no sense at all, but i never gave up on the strategy and improved it over the years,

Up to the point where it produces acceptable performance, of a quality that i find difficult to reproduce with any other given strategy.

Great attitude.  Any live results to support this approach?

Marco vd Heijden
Moderator
4751
Marco vd Heijden  
Oleksandr Medviediev:

Great attitude.  Any live results to support this approach?

Maybe if you give it a go.

Other then that, it's none of your business.

Stanislav Korotky:
I presume you need very fast and reliable execution for the strategy to work, otherwise you can get one position open and for the other - off quotes and similar problems while price is moving against your spread.

It is not as critical as you might expect.

In the primitive days i only had the robot that did a print out of the best deals and so i had to open the orders manually.

But even then, with seconds in between opening of the orders, the result were good enough to develop it further.

The core principle are the opposing positions they create a triangular hedge that stays 1/3 virtually flat.

In stead of long or short, you now get to extract profits from markets that are slowly moving away and towards one another.

Simply said you can profit in both directions due to the asymmetric nature of the structure.

Knowing this also brings piece of mind but you have to create new means of trailing the entire thing simultaneously, rather then handling single positions.

Stanislav Korotky
18231
Stanislav Korotky  
Marco vd Heijden:


The core principle are the opposing positions they create a triangular hedge that stays 1/3 virtually flat.

In stead of long or short, you now get to extract profits from markets that are slowly moving away and towards one another.

Simply said you can profit in both directions due to the asymmetric nature of the structure.

Knowing this also brings piece of mind but you have to create new means of trailing the entire thing simultaneously, rather then handling single positions.

Here is a EA implementing somewhat similar arbitrage strategy.
Frederic Metraux
513
Frederic Metraux  
Do you think a broker can reject the trades because it is arbitrage?
Marco vd Heijden
Moderator
4751
Marco vd Heijden  
Fred Metraux:
Do you think a broker can reject the trades because it is arbitrage?
You have to play by the rules i have seen many stories where all profits were canceled and certain ea's were banned from using.
Frederic Metraux
513
Frederic Metraux  
What do you mean "by the rules". Is triangular arbitrage not allowed because it takes advantage on a weakness of the broker's prices?
Marco vd Heijden
Moderator
4751
Marco vd Heijden  
Fred Metraux:
What do you mean "by the rules". Is triangular arbitrage not allowed because it takes advantage on a weakness of the broker's prices?

I mean you have to study your Brokers terms&condition VERY CAREFULLY and Thoroughly.

If it's not allowed, it's in there.

You can find stories on the net of brokers cancelling over 300k in profits because the trader allegedly breached their terms and conditions.

You have to read all of the small letters and do not skip anything.

To give you an idea, if i examine 100 Brokers, only 3 pass the test.

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