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Pairs Arbitrage Correlation

The cross-correlation indicator calculates the relationship between the specified pairs for the previous period. Automatically selects the instruments with the highest and lowest correlation, displays them on a graph, calculates and visualizes the PAC criterion (Pairs Arbitrage Correlation) for pairs selected by the trader. The signal to open trades appears when the PAC levels specified by the trader are crossed.

Telegrams channel to discuss the preferences and suggestions of improvements: https://t.me/joinchat/FZd4EhXEiEnAx7sybTh01Q

There is also a trial version of the expert. Soon in mql5 market I will publish an expert trading on this strategy - crossing PAC levels with correlated pairs.

Main parameters

  • What pairs to analyze and plot on chart - the method of selecting analyzable pairs;
Next is a list of pairs for which the indicator shows a graph of PAC values
  • Main pair - main instrument;
  • First pair - the first instrument with minimal correlation;
  • Second pair - the second instrument with low correlation;
  • suffix - additional suffix to pairs names;
  • Amount of days for correlation - the length of the period to calculate the correlation, in days;
  • Stop at - period end time;
  • Lowest negative, % - minimal correlation for First pair;
  • Neutral, % - neutral correlation for Second pair;
  • Send e-mail if below levels crossed - send email in case of signal;
  • Level for sell - PAC level for sale tradings;
  • Close all sells - PAC level to close all sells;
  • Level for buy - PAC level to buy tradings;
  • Close all buys- PAC level to close all buys;
Next is a list of pairs by which the indicator calculates the correlation and from which it selects pairs according to the criterion
  • symbol 1 - USDCHF
  • symbol 2 - GBPUSD
  • ...

  • symbol 23 - NZDUSD

No reviews
Version 1.4 2019.09.13
Bug fixed in history period for correlation.
Version 1.3 2019.09.11
The code has been revised.
Version 1.2 2019.09.11
The code has been revised.
Version 1.1 2019.09.10
Informer was added.
Suffix set as a parameter.