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
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DislikedThank you very much Bernd. By the way, Is this Arbomat the one which is called arbomat_diff_x1 that you used here: http://www.forexfactory.com/showpost...8&postcount=23 ???.Ignored
Dislikedwhat i like to see is a linegraph with the coefficients in the past.Ignored
if(IsTesting()){ // make a matrix that will record some things during a backtest Ri("pairs", pairs); RAssignStringVector(hR, "tmp", symb, pairs); Rx("testhistory <- matrix(nrow=0, ncol=pairs*2)"); Rx("colnames(testhistory) <- c(paste('c', tmp), tmp)"); }
if(IsTesting()){ // record some data during a backtest for later analysis Rx("testhistory <- rbind(testhistory, c(coef(model), regressors[now+1,])) "); }
if (IsTesting()){ Rx("save.image("" + SNAPSHOTS + "arbomat.R")"); }
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...Ignored
DislikedI wrote mt4R and these (example) EAs to lower the initial barrier and make it as easy as possible for people to quickly produce some working code that involves the usage of R and all its possibilities. I hope that I will not remain the only one who ever tries to write (and publish) some own code using the mt4R library.Ignored
DislikedHowever I was just wondering if you've ran any cointegration tests on these actual pairs i.e. Johansen test.Ignored
QuoteDislikedBecause from a logical or economics stand point I don't see how such a large basket will all contain cointegration relationships. I guess you could argue that the world market is inter-related etc. but for it to be statistical significant seems too far fetched.
Disliked(or keep the same relation at least long enough to make one or two trades, after which I make a new regression until I find something promising again).Ignored