Rewrite code of the STD (of symbol) in the indicator and EA for the spread formula with the STD of returns instead

Input parameters

Symbol A

Symbol B

Sign of beta (1 for positive value and -1 for negative value)

Enter positions threshold

Exit positions threshold

Symbol A Lots

Symbol B Lots

Maximum loss in account currency

Maximum profit in account currency

Period for returns

Period of STD

Stoploss A (in pips)

Stoploss B (in pips)

The algorithm

Making a Robot on JForex which can take positions on several pairs trading at a time or one robot per pairs trading.

All calculations and trades take place at bar opening (when the first tick of new bar occurs at any symbol) and only close prices are used in calculations.

1. Calculate the returns of both symbols:

Return = (P – Pt) / Pt

P – close price of previous bar,

Pt – close price Period for returns bars ago.

2. Calculate standard deviations of “Close” prices for Period of STD bars for both symbols.

3. Calculate the spread using the following formula:

Spread = Return(Symbol A) / STD(Return(Symbol A)) - Return(Symbol B) / STD(Return(Symbol B))

4. Trading.

If the beta is positive:

If the spread amount at previous bar reaches Enter positions threshold (positive), send SELL market order for Symbol A and BUY market order for Symbol B.

If the spread amount at previous bar reaches minus Enter positions threshold (negative), send BUY market order for Symbol A and SELL market order for Symbol B.

If the beta is negative:

If the spread amount at previous bar reaches Enter positions threshold (positive), send BUY market order for Symbol A and BUY market order for Symbol B.

If the spread amount at previous bar reaches minus Enter positions threshold (negative), send SELL market order for Symbol A and SELL market order for Symbol B.

5. The EA should close both positions in one of the following cases:

                - total result of the positions reaches Maximum loss in account currency;

                - total result of the positions reaches Maximum profit in account currency;

                - the spread value at previous bar decreases to Exit positions threshold (in absolute value).

6.  Open a position for each crossing of a threshold, even if a position was opened before.

7. The EA will have to find all open positions, sort them by pairs, check whether a position in each pair is closed by stop-loss or not, if so - close another position of the pair...

8. Calculating the profit or loss for a pairs trading position independently for each position. If the trading account don't have enough marging, don't take the position, and put a message on the message box on the trading platform.