Correlation basket

Multi-Pair Statistical Arbitrage Expert Advisor for MetaTrader 5

Correlation Basket EA is a professional multi-pair trading system designed to identify temporary statistical divergences between correlated Forex pairs.

Instead of relying on a single currency pair, the EA analyzes relationships between multiple instruments and looks for situations where the price relationship between two correlated pairs moves significantly away from its historical equilibrium.

Key Features

Statistical Arbitrage

The EA uses historical price relationships and statistical analysis to identify potential pair-trading opportunities.

It calculates:

• Pair correlation

• Z-Score

• Historical spread deviation

• ATR volatility

• Market conditions

A trade opportunity is considered when the correlation between two instruments is sufficiently strong and the Z-Score indicates a significant statistical deviation.

Basket Trading

Each trading opportunity consists of two coordinated positions:

• One position is opened in the first currency pair.

• An opposite position is opened in the second correlated currency pair.

The objective is to trade the relative relationship between the two instruments rather than relying exclusively on the direction of the overall Forex market.

Z-Score Entry & Exit

The EA provides configurable Z-Score parameters:

• Z-Score Entry

• Z-Score Exit

• Emergency Z-Score

This allows traders to control how significant a statistical divergence must be before a basket is opened and when the relationship is considered sufficiently normalized.

Correlation Filter

The EA only considers pairs that meet the configured minimum correlation level.

This helps reduce low-quality pair combinations and focuses the strategy on instruments with stronger historical relationships.

Risk Management

The system includes several risk-management mechanisms:

• Fixed lot trading

• Optional percentage-based risk calculation

• ATR-based Stop Loss

• ATR-based Take Profit

• Basket Take Profit

• Basket Stop Loss

• Maximum number of simultaneous baskets

• Maximum spread filter

• Minimum time between trades

• Emergency divergence protection

Basket Protection

The EA monitors both positions continuously.

If one leg of a basket is closed unexpectedly, the EA can automatically close the remaining position to avoid leaving an unbalanced basket.

Fully Configurable

All major parameters can be adjusted directly from the EA inputs, including:

• Trading symbols

• Timeframe

• Correlation lookback

• Minimum correlation

• Z-Score parameters

• ATR parameters

• Lot size

• Risk percentage

• Basket profit/loss limits

• Maximum baskets

• Spread limitation

• Trading frequency

Default Instruments

The EA is supplied with a diversified selection of major and cross currency pairs, including:

EURUSD
GBPUSD
AUDUSD
NZDUSD
USDCHF
USDJPY
EURJPY
GBPJPY

The symbol list can be modified according to the broker and trading environment.

Recommended Usage

For initial testing, it is recommended to use the EA with a conservative fixed lot size and perform a thorough backtest before considering live trading.

The EA is designed for MetaTrader 5 and can be tested using the Strategy Tester.

For the most realistic evaluation, use historical data with real ticks when available and test across multiple market conditions.

Important Risk Disclaimer

Correlation Basket EA is a trading software tool and does not guarantee profits.

Financial markets involve substantial risk, and past backtest or live-trading performance does not guarantee future results.

Trading parameters should be adapted to the trader's account size, broker conditions, available liquidity and risk tolerance.

Always perform your own testing and validation before using the EA on a live account.

No trading system can eliminate market risk.