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Oleksandr Art'omenko  
Example of using PCA Arbitrage 3X EA for a combination of effective "baskets" of assets for trading.
Asset combination:
Symbol 1(chart) - BA (Boeing Co.)
Symbol 2 - CAT (Caterpillar Inc.)
Symbol 3 - DE (Deere & Co.).
Risk size for the basket - $1250
Time frame - 5 min. Start - 01/01/2024

Backtest results. Set file in attachment.


Arquivos anexados:
BA_CAT_DE_5min.set  2 kb
Oleksandr Art'omenko  

I have marked the parameters that are sensitive to optimization. You can initially set ATR to 200 - 250, then the dependence on re-optimization will be less. Window and Alpha are quite stable over time, if Window is not less than 350-500. But if you want to trade frequently with Window less than 200 and Alpha less than 1, then re-optimization will be required.


Your broker's leverage margin matters.
The higher the leverage margin, the lower the "Risk Limit" parameter should be. In the examples given, the broker's leverage margin is 1:100.

For example, with a leverage of 1:1000, I recommend that you reduce the "Risk Limit" to 100 and regulate it separately with the TakeProfit parameter.


Also, it is very important to follow the rules:

The PCA Method in Practical Use: Guidelines and Criteria for Selecting and Ordering Asset Symbols

Oleksandr Art'omenko  
Oleksandr Art'omenko #:
Hello everyone!

Some additional information about the PCA Method can be found here.

Overcoming Market Noise: How PCA Method Transforms Trading Strategies and Risk Management.
This is a Set file for an example. Symbols: EURUSD - GBPUSD - AUDUSD. Account balance 50 000, 15 min timeframe, period -1 year.

Use "quality" data for real ticks, because complex math requires precision.
Thanks!

ATTENTION: Due to the update of EA version to 1.3 SET file is invalid. Do not use it.

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