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Statistical arbitrage and pairs trading on Forex

  • #41
  • Jan 5, 2022 11:47pm Jan 5, 2022 11:47pm
Quoting Merka
{quote} could you please show spread gragh to understand how you entered?
Attached Image (click to enlarge)
Click to Enlarge Name: USDJPY-GBPJPY.png Size: 69 KB
The trading panel closed the deal automatically when the profit reached 3% of the balance. Although it was already possible to close it with hands, the spread got close to the zero line.
  • #42
  • Jan 6, 2022 7:17am Jan 6, 2022 7:17am
Explanations on the strategy
Inserted Video
  • #43
  • Jan 6, 2022 8:59am Jan 6, 2022 8:59am
Hi Analiteg,

I was wondering how you calculated the individual lot sizes for this pair trade?

Cheers

Lopau

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Click to Enlarge Name: screenshot.png Size: 96 KB
  • #44
  • Jan 7, 2022 4:45am Jan 7, 2022 4:45am
Quoting lopau
Hi Analiteg, I was wondering how you calculated the individual lot sizes for this pair trade? Cheers Lopau {image}
Hi!
I use the average of two coefficients: ATR and tick value.
I recently updated the panel, here is the new version.
Attached File(s)
File Type: ex4 forexpairtrading.ex4   15 KB | 671 downloads
  • #45
  • Jan 7, 2022 11:39am Jan 7, 2022 11:39am
Most suitable pairs to trade. Cointegration coefficient less than 0.05.
Attached File(s)
File Type: txt Cointegration.txt   10 KB | 690 downloads
  • #46
  • Edited 11:00am Jan 8, 2022 5:49am | Edited 11:00am
Thanks for the lesson to get the term cointegration for what I've always called correlation.

Emont is a Senior trader who I know has huge knowledge about co-integration trading from some years back maybe he will make inputs.

Meanwhile a dashboard of this strategy can simplify things a lot.

I know emont had a correlation dashboard years ago.
Without despair & distraught, focus on Patience to FRESH MOTiVES.
  • #47
  • Jan 8, 2022 8:12am Jan 8, 2022 8:12am
Quoting skyf
Thanks for the lesson to get the rm cointegration for what I've always called correlation. Emont is a Senior trader who I know has huge knowledge about co-integration trading from some years back maybe he will make inputs. Meanwhile a dashboard of this strategy can simply things a lot.
Hi, skyf!
Thanks for the feedback. I will connect with Emont.
  • #48
  • Jan 10, 2022 3:58am Jan 10, 2022 3:58am
Hi everybody!
My today trading idea: Buy AUDCHF and Sell EURNZD
Inserted Video
  • #49
  • Jan 10, 2022 4:00am Jan 10, 2022 4:00am
Most suitable pairs to trade. Cointegration coefficient less than 0.05.
Attached File(s)
File Type: csv 2022-01-10.csv   6 KB | 506 downloads
  • #50
  • Jan 10, 2022 4:27am Jan 10, 2022 4:27am
Trade Explorer removed?
  • #51
  • Jan 10, 2022 4:47am Jan 10, 2022 4:47am
Quoting lopau
Trade Explorer removed?
restart
  • #52
  • Jan 10, 2022 4:49am Jan 10, 2022 4:49am
Have you tried EURUSD and USDDKK? Any idea?
Please excuse the bad English via Google Translate.
  • #53
  • Jan 10, 2022 4:55am Jan 10, 2022 4:55am
Quoting dokopy
Have you tried EURUSD and USDDKK? Any idea?
No, I haven't. I don't use this pair (USDDKK).
  • #54
  • Jan 10, 2022 5:45am Jan 10, 2022 5:45am
Trading ideas for today. Cointegration less than 0.05, stationarity less than 0.01, Spread greater than 2.5 or less than -2.5.

  1. chfjpy,eurgbp,-3.84
  2. eurgbp,chfjpy,-3.52
  3. eurgbp,usdjpy,-2.89
  4. eurjpy,gbpusd,3.18
  5. eurnzd,audchf,2.71
  6. gbpusd,eurjpy,-2.91
  7. usdjpy,eurgbp,-3.19

You can test this pairs.

  • #55
  • Jan 10, 2022 6:34pm Jan 10, 2022 6:34pm
Analiteg my compliment very great job ... i have a question: if i put trade manager EA in two or more pair i must change megic number ? the EA take profit from % of account and stop loss the same .... this situation probably give problem and EA dont work proprely ? because if 2 or more EA are working the total of account change ... i hope you understand my basic english language ... thank in advance for your gentle answer.
  • #56
  • Jan 10, 2022 10:40pm Jan 10, 2022 10:40pm
Quoting analiteg
{quote} No, I haven't. I don't use this pair (USDDKK).
The correlation is almost 100%. Is it too much?
Please excuse the bad English via Google Translate.
  • #57
  • Jan 11, 2022 12:15am Jan 11, 2022 12:15am
Quoting valter65
Analiteg my compliment very great job ... i have a question: if i put trade manager EA in two or more pair i must change megic number ? the EA take profit from % of account and stop loss the same .... this situation probably give problem and EA dont work proprely ? because if 2 or more EA are working the total of account change ... i hope you understand my basic english language ... thank in advance for your gentle answer.
Hi! Yea, you should different magic number for every pair idea. For example, AUDCHF and EURNZD set magic 123, and for EURUSD and USDCHF set magic 321. And so on.
  • #58
  • Jan 11, 2022 5:37am Jan 11, 2022 5:37am
Quoting dokopy
{quote} The correlation is almost 100%. Is it too much?
We are looking fot not inly cirrelation, but cointegration.
  • #59
  • Jan 11, 2022 10:27am Jan 11, 2022 10:27am
Instead of refreshing the page all the time, is it possible to make the spread deviation chart continuous?? thanks brother
  • #60
  • Jan 11, 2022 11:01am Jan 11, 2022 11:01am
Quoting analiteg
{quote} We are looking fot not inly cirrelation, but cointegration.
Cointegration is not enough?
Please excuse the bad English via Google Translate.
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