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Simple High Profit low Drawdown Triangular Arbitrage

  • #321
  • Oct 17, 2017 3:49pm Oct 17, 2017 3:49pm
@speedyfx
I will do so.
I have developed a couple of test EAs on dukascopy, but not close to converting this EA over yet.
My idea is eventually to release all versions.
  • #322
  • Oct 18, 2017 4:56am Oct 18, 2017 4:56am
hello can ur ea work on mt4?
I tried back testing it but result comes nothing
  • #323
  • Oct 18, 2017 8:08am Oct 18, 2017 8:08am
@densol
Yes it will work on MT4 for forward testing, but not back testing.
MT4 is not capable of doing multi currency back testing.

If you want to see a back test result then use the MT5 EA on a broker that support MT5.

I suggest MT5 in any case seeing that it executes trades faster than MT4.
  • #324
  • Oct 19, 2017 10:00am Oct 19, 2017 10:00am
@jvbJacques
I have tested the strategy in MT5 with the configuration discussed in post # 315. These are the results.
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  • #325
  • Oct 19, 2017 1:28pm Oct 19, 2017 1:28pm
Hi @jvbJacques,
I was trying to find in previous post but didn't do it. Sorry if already posted. How do you know (or the EA) to enter buy-sell-sell or sell-buy-buy? If you look for trend ... wich pair do you look at? I want to try this theory by my own, maybe with some other pairs too, but is not clear for me how to choose in what direction should the trades be open.
  • #326
  • Oct 19, 2017 2:25pm Oct 19, 2017 2:25pm
Quoting artico01
@jvbJacques I have tested the strategy in MT5 with the configuration discussed in post # 315. These are the results. {image} {image} {image} {image} {image}
These results are false. The reason this is successful in the backtester is because the ticks are fake (interpolated) and/or not synchronized (MT5 tick sync is terrible). You will never get these opportunities IRL, and are arbing the backtester's inefficiency not the market's.
  • #327
  • Oct 19, 2017 3:54pm Oct 19, 2017 3:54pm
Quoting Nicholishen
{quote} These results are false. The reason this is successful in the backtester is because the ticks are fake (interpolated) and/or not synchronized (MT5 tick sync is terrible). You will never get these opportunities IRL, and are arbing the backtester's inefficiency not the market's.
It's true guys, don't waste your time with tick data optimizations, etc. At least not for a strategy that you expect to be long lasting.
Here's Tom with the weather.
  • #328
  • Oct 19, 2017 4:04pm Oct 19, 2017 4:04pm
Quoting OHLC
{quote} It's true guys, don't waste your time with tick data optimizations, etc. At least not for a strategy that you expect to be long lasting.
many tried to help them to show this fact. they will not stop.

even when you tell them that arbitrage experts cant be backtested or traded in demoaccounts for results, they will not believe you. they trade demo and backtest until the end of the world. i really dont understand why some people dont like to learn at least the basics first, and then start programming or trading. some things are impossible by math and in reality, but when not knowing the basics they cant see it.
  • #329
  • Oct 19, 2017 4:08pm Oct 19, 2017 4:08pm
Quoting dukas_trader
{quote} many tried to help them to show this fact. they will not stop. even when you tell them that arbitrage experts cant be backtested or traded in demoaccounts for results, they will not believe you. they trade demo and backtest until the end of the world. i really dont understand why some people dont like to learn at least the basics first, and then start programming or trading. some things are impossible by math and in reality, but when not knowing the basics they cant see it.
Traders are very determined and sometimes stubborn people. This is why they'll eventually succeed! It's just a part of the learning process but you're right, they would save themselves a lot of time by listening to more experienced people here.
Here's Tom with the weather.
  • #330
  • Edited 5:34pm Oct 19, 2017 5:06pm | Edited 5:34pm
Quoting OHLC
{quote} Traders are very determined and sometimes stubborn people. This is why they'll eventually succeed! It's just a part of the learning process but you're right, they would save themselves a lot of time by listening to more experienced people here.
you are correct, sometimes its just ok to try and try and thatswhy you can suceed by time or luck. but there are borders for this rule.
when there are impossible things in reality and against math, its not so smart to hold on this parts. having difficulties to see what is possible to do and not possible to do is most dangerous for wasting time in life. some things need to accept. and by learning basics first, then start programming or trading is best to save time, you can save at least 3-5 years by this. i have never seen only 1 really sucessfull trader without knowing near all basics.

a good trader should always see when he is not correct, because it can cost many money or more difficult even more time. and time is a value you get never back. thatswhy stubborn will be a big problem to need be solved to become a good trader.
  • #331
  • Oct 19, 2017 7:18pm Oct 19, 2017 7:18pm
Hi all,

I'm new to this forum but I've been trading for 30+ years. I traded volatility arbitrage in Asia for
many years for a few banks and prop desks. I know from my own experiences that it became a race for
the fastest systems. Sometimes paying hundreds of thousands /month for microwave data feeds.

I've read about Triangle arbitrage since 2006. I have a hard time believing that in 2017 something
like this is still profitable.

I would love to be proven wrong. Is anyone actually making money from this arb who is not part of a large bank etc?

I see the backtested returns......and I've driven down that road too many times........they usually don't don't come close to reality

Can anyone show me real money being made in 2017 doing this?
  • #332
  • Oct 20, 2017 2:38am Oct 20, 2017 2:38am
I have a system similar to the one of this topic.
E.g.: Eurgbp long
Eurusd short
Gbpjpy long
Usdjpy short

All pairs are traded with the suitable lot size, so the this basket are balanced. Everything (every pairs, and currencies) is hedged.

It is working in demo account. The basket can go to negative , and positive value. I can close the basket in profit.

My only question is: is it working only on demo account? (I haven't tried it on live) - Or will it work on live acc. like on demo?
  • #333
  • Edited 5:28am Oct 20, 2017 4:51am | Edited 5:28am
Quoting moncsicsi78
I have a system similar to the one of this topic. E.g.: Eurgbp long Eurusd short Gbpjpy long Usdjpy short All pairs are traded with the suitable lot size, so the this basket are balanced. Everything (every pairs, and currencies) is hedged. It is working in demo account. The basket can go to negative , and positive value. I can close the basket in profit. My only question is: is it working only on demo account? (I haven't tried it on live) - Or will it work on live acc. like on demo?
in backtest and demo you will get with all arbitrage systems extrem wins. easy, because you get wins that are not there in reality. most wins are in connection speed and to be faster then all other who do this. with some retail brokers (or even market makers) you will get even the problem to win and get the won money payed out, because any market maker will have your win as 100% loss same time and not one will accept this loss ( or loss values need to be small).

dont waste time with this systems in backtest or demo account, do it with small values in real account or dont do it. then you can judge for your own very fast.
because noone can know what system you trade (or software used), how many millions you put in in infrastructure or how is your connection to important people to get some advantages , so noone can say you if your system live traded will be winning system. all people can say: dont waste time with arbitrage systems in backtesting or demo trading, always do in real trading. if you judge arbitrage systems with no real account trading, then you can waste your time with many better ways.

so to sum up: do it in real live account or dont say anything about any arbitrage system (because anything what you do in backtest or demo accounts is worthless information and you start to be far from reality and lose time in a dream world). and like always: learning basics step by step first, then start trading or programming (this will save years on time and much money), thats only way you learn whats useless and impossible to do, and whats possible or whats need to be done at first to come to the point that it can be possible.

i can say this also in nice words, but the reality is this hard. if you put time in projects without any chance of sucess, you need to learn at least from this, that you really need to learn now the basics. trading is a hard world, 99% lose money and time for nothing, and 95% of this people only because they dont like to learn basics first ( or at least believe people who did learned it and think about this). people believe that 2+2=4, but that by math its impossible to win with this arbibtrage if you dont invest many money in infrastructure, this the people cant see. but both is same simple calculation and far from any subjective opinion.
  • #334
  • Oct 20, 2017 5:11am Oct 20, 2017 5:11am
mathematically it should go to win after losing in first of entery, but i don't think it be like this in real live trading because maybe sometimes it will below the account
  • #335
  • Oct 20, 2017 5:22am Oct 20, 2017 5:22am
Quoting dukas_trader
{quote} in backtest and demo you will get with all arbitrage systems extrem wins. easy, because you get wins that are not there in reality. most wins are in connection speed and to be faster then all other who do this. with some retail brokers (or even market makers) you will get even the problem to win and get the won money payed out, because any market maker will have your win as 100% loss same time and not one will accept this loss ( or loss values need to be small). dont waste time with this systems in backtest or demo account, do it with small...
Okay, I see what you would like to say. And I agree.
Just one last sentence: the showed system (by me, above) is not arbitrage, and not necessary extremly fast connection or any other technical fraud or...
  • #336
  • Oct 20, 2017 5:26am Oct 20, 2017 5:26am
Quoting moncsicsi78
{quote} Okay, I see what you would like to say. And I agree. Just one last sentence: the showed system (by me, above) is not arbitrage, and not necessary extremly fast connection or any other technical fraud or...
so you dont open all this order at same time? then its no good trading strategy, you could be do much cheaper by different way.
when you try to open all at same time, you do basket hedge arbitrage.
  • #337
  • Oct 20, 2017 5:41am Oct 20, 2017 5:41am
Quoting dukas_trader
{quote} so you dont open all this order at same time? then its no good trading strategy, you could be do much cheaper by different way. when you try to open all at same time, you do basket hedge arbitrage.
Of corse, I opened at the same time. But the fact in itself that we open more order at the same time, is not enough to say it is arbiratge -the brokers' point of view. As I know well... (Maybe I 'm wrong.)

But as you wrote above: don't waste our time and effort on such strategies!

EDIT: sorry, I uploaded a wrong pic before! Now is right.
Attached Image (click to enlarge)
Click to Enlarge Name: hedge.png Size: 8 KB
  • #338
  • Oct 20, 2017 5:45am Oct 20, 2017 5:45am
Quoting moncsicsi78
{quote} Of corse, I opened at the same time. But the fact in itself that we open more order at the same time, is not enough to say it is arbiratge -the brokers' point of view. As I know well... (Maybe I 'm wrong.) But as you wrote above: don't waste our time and effort on such strategies! {image}
you do then simple basket hedge arbitrage!
arbitrage is, when you buy 1 value cheaper (ok more expensive would be also negative arbitrage, but noone speaks about this, because its unimportant and noone tries to do) on one place and sell it higher on other place (the place can be other currency pair, other broker, other market, other style of creation ....). exactly that you do. you buy and sell eur, gbp, usd and jpy. you use differnet currency pairs for it, but you do nothing different then buying and selling this eur,gbp, usd,jpy.

by the way, in your picture is 100% no arbitrage! you dont buy at same time, so its simple trading, and even expensive trading, you could do much cheaper buy only buying aud and cad and same time 0,02 euro. so more with because of less costs. or is your connection with this broker so long ,that it needed so much time for open 4 currency pairs (because in 1 second all prices can be total different)? are you using metatrader 4? maybe you should use 4 terminals, that you can open 4 times the order at same time at least, you need to send information to buy to each terminal by pipe and sync all. but metatrader is no good platform to using arbitrage trading.
  • #339
  • Oct 20, 2017 5:50am Oct 20, 2017 5:50am
Quoting dukas_trader
{quote} you do then simple basket hedge arbitrage! arbitrage is, when you buy 1 value cheaper (ok more expensive would be also negative arbitrage, but noone speaks about this, because its unimportant and noone tries to do) on one place and sell it higher on other place (the place can be other currency pair, other broker, other market, other style of creation ....). exactly that you do. you buy and sell eur, gbp, usd and jpy. you use differnet currency pairs for it, but you do nothing different then buying and selling this eur,gbp, usd,jpy.
Thanks!

I will ask from brokers that this kind of strategy is acceptable or not, prohibited or not by terms and conditions of the company.
  • #340
  • Oct 20, 2017 6:00am Oct 20, 2017 6:00am
Quoting dukas_trader
...by the way, in your picture is 100% no arbitrage! you dont buy at same time, so its simple trading, and even expensive trading, you could do much cheaper buy only buying aud and cad and same time 0,02 euro. so more with because of less costs. or is your connection with this broker so long ,that it needed so much time for open 4 currency pairs (because in 1 second all prices can be total different)? are you using metatrader 4? maybe you should use 4 terminals, that you can open 4 times the order at same time at least, you need to send information...
The most important: I don't want to trade arbitrage or any other prohibited way! I never mind the connection time to the brokers' server - it is not important so much. (Okay, don't be so looooong, but normal/average connection time is enough.)My goal is to trade by the way is acceptable by any broker's terms and conditions.

I will ask them about this type of strategy.
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