This one also is interesting:
http://www.google.com/url?sa=t&rct=j...AzHq1VWHR5Zv_g
http://www.google.com/url?sa=t&rct=j...AzHq1VWHR5Zv_g
Simple Mean Reversion 621 replies
Pairs Trading: Reversion to the Mean 22 replies
Forward test of my new mean reversion strategy 11 replies
Question for synthetic and non-synthetic currency pairs 0 replies
Cointegration, Synthetic hedges, mean reversion in R, Tech Thread 0 replies
DislikedI've read through this thread and activated the arbomat on my computer and am creating an automatic system that tests for correlation and cointegration on HTFs to try to find where the optimal entries are across all currencies. Is there anyone out there still subscribing to this thread?Ignored
DislikedI've read through this thread and activated the arbomat on my computer and am creating an automatic system that tests for correlation and cointegration on HTFs to try to find where the optimal entries are across all currencies. Is there anyone out there still subscribing to this thread?Ignored
DislikedI believe cointegration simply does not work (anymore) on currencies. The work done here by 7bit and others is a great proof of concept and of great acedemic value and I'm sure can be applied elsewhere.Ignored
DislikedI believe cointegration simply does not work (anymore) on currencies. The work done here by 7bit and others is a great proof of concept and of great acedemic value and I'm sure can be applied elsewhere.Ignored
Disliked{quote} I'm not sure how cointegration work well for one set of markets and not another. I don't think that's the issue and I mean no disrespect. What's of issue is that cointegration works *some* of the time and not others. My experience is that the formulas we have are great for range bound activity but not trending markets. After all, all LM methods are based on the foundation that there is a central mean. This cannot hold true over longer periods of time. I read a fantastic explanation of unit roots as if they were describing a the flow of a...Ignored
DislikedExotics are very well co-integrated and stationary i.e USDSEK & USDNOK, USDCZK & USDHUF etc.. However the spreads of these in the retail market are so large that it makes it impossible to make decent profits when trying to arbitrage. All other pairs are not co-integrated like GBPUSD & EURUSD etc.. these sort of pairs are not co-integrated at all. I've run ADF tests on almost all tradeable pairs and there's 8-10 pairs exotics that are co-integrated, however again, spread is so large on both that it's impossible to profit well.Ignored
DislikedThe versions on my website are the currrent versions and I use then myself currently. They contain no errors (other than maybe the fact that the whole approach of using a linear regression and hoping for useful results might be flawed). I am still hoping that someone else (who is more experienced in R and in statistics than me) will take the existing code and replace the simple regression with something else or otherwise enhance the script and publish the modified version here. I am doing some experiments myself but have nothing ready for publishing...Ignored
Disliked{image} here's another experiment simply throwing all of the majors together. I run a custom VSA template on the spot dollar index using sigtrader. Seeing that it was in the middle of its range this morning before the NY stock market open, I entered the recommended arbomat trades while the price line was within 1 deviation of the blue center line. So far now, profitable.Ignored
Dislikedlibrary(zoo)
library(tseries)
back<-1000
now<-1
cthis <- 1
x <- scan("c:/regdata.txt")
regressors <- matrix(x,ncol=6)
regressand <- regressors[, cthis]
regressors[, cthis] <- rep(0, back)
y <- regressand
x <- regressors
model <- lm(y ~ x + 0)
summary(model)
stddev <- sd(resid(model)) coef(model)[-1]
//Plotting part
pred <- as.vector(predict(model, newdata=data.frame(x=I(regressors))))
curve <- rev(regressand-pred)
linea <- 0
lineb <- 0
plot(curve, type='l', ylab='', xlab='', main='', sub='', col='cornflowerblue') ......Ignored