Hi,
I am looking for someone to convert this strategy in Python to MQL5: QuantConnect.com - Embedded Backtest Results
The idea behind it is that, if you get two pairs of instruments that move in a similar direction (such as Gold and Silver), they will tend to revert to a mean that can be estimated using the Ornstein-Uhlenbeck Process. It is then used to maximize a log function.
There is a tutorial for it here: Tutorials - Strategy Library - Optimal Pairs Trading - QuantConnect.com
And the paper for the strategy is here: 1411.5062.pdf (arxiv.org)
A video with an explanation is here: ATC Workshop 7: Optimal Pairs Trading with Ornstein-Uhlenbeck modeling (1.5x speed rec.) - YouTube
"STEPS FOR TRADING:
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Estimate Ornstein-Uhlenbeck (OU) Coefficients (theta, mu, sigma)
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Note for paper: Theta- long-term mean, mu is the force pulling our values back to theta, sigma is noise
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Solve the Optimal Stopping problem, which gives us the best prices to buy and sell. This way we can buy low sell high
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b = optimal value at which we sell, d = optimal value at which we buy
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b > d, so we can buy low sell high
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Buy at the optimal entry, and sell at the optimal exit"
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