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Statistical arbitrage and pairs trading on Forex

  • #61
  • Jan 11, 2022 11:24am Jan 11, 2022 11:24am
but .... in your website forexpairtrading.com what is timeframe for calculate spread ? and .... in what timeframe must trade ? for spread between pairs there are some free tool online but if you change time the correlation change sometimes too much ....example usdjpy-audjpy is very ok in daily but totaly wrong in 15 min in your website variable of timeframe is not considered
  • #62
  • Jan 11, 2022 1:51pm Jan 11, 2022 1:51pm
Quoting tiago
Instead of refreshing the page all the time, is it possible to make the spread deviation chart continuous?? thanks brother
Hi, bro!
I think it possible, but I am not a super power front-end dev). I try it for next update. And you are right, it will be more suitable.
  • #63
  • Jan 11, 2022 1:54pm Jan 11, 2022 1:54pm
Quoting dokopy
{quote} Cointegration is not enough?
Do you have any reasons for trading this pairs? I think, this pairs not good enough. But of course, I will try add dkk in future.
  • #64
  • Jan 11, 2022 1:57pm Jan 11, 2022 1:57pm
Quoting valter65
but .... in your website forexpairtrading.com what is timeframe for calculate spread ? and .... in what timeframe must trade ? for spread between pairs there are some free tool online but if you change time the correlation change sometimes too much ....example usdjpy-audjpy is very ok in daily but totaly wrong in 15 min in your website variable of timeframe is not considered
I don't use timeframe as you think. I use M1 close price data and 20 days range. For spread calculation I use machine learning (linear regression). It takes more precise results.
  • #65
  • Jan 12, 2022 12:10am Jan 12, 2022 12:10am
Quoting analiteg
{quote} Do you have any reasons for trading this pairs? I think, this pairs not good enough. But of course, I will try add dkk in future.
I just want to find out why it's not appropriate. Both pairs go almost identical, only they are negatively correlated.
Please excuse the bad English via Google Translate.
  • #66
  • Jan 12, 2022 2:49am Jan 12, 2022 2:49am
My trading ideas for today

Pair1 Pair2 Spread

 

  1. audusd,euraud,2.01 BUY audusd and SELL euraud
  2. audusd,eurnzd,2.59 BUY audusd and SELL eurnzd
  3. gbpaud,nzdcad,-2.31 BUY nzdcad and SELL gbpaud

  • #67
  • Jan 12, 2022 3:09am Jan 12, 2022 3:09am
Quoting dokopy
{quote} I just want to find out why it's not appropriate. Both pairs go almost identical, only they are negatively correlated.
The pairs must have strong correlation (0.9 or -0.9) and coitegration (under 0.05).
For comfortable trading the spread for every pair should be minimal. The pairs with dkk have a wide spread. It is not convinient for pairs trading.
  • #68
  • Jan 12, 2022 8:27am Jan 12, 2022 8:27am
Can someone program a scanner to find best trading pairs with this trading strategy?
  • #69
  • Jan 12, 2022 9:02am Jan 12, 2022 9:02am
Quoting rebol6
Can someone program a scanner to find best trading pairs with this trading strategy?
Hi!
In work. Wait for some days.
  • #70
  • Jan 13, 2022 6:05am Jan 13, 2022 6:05am
Hi, everybody!
Recently I have made an update of my dashboard.
Now you can see pairs recommended for trade:
strong correlation > 0.8
strong cointegration < 0.05

The data is recalculated automatically every day. You just have to choose pairs from the list and check the spread deviation.
We are also working on an automatic check of the spread deviation for the recommended pairs. For several days I will be making edits and doing tests, the dashboard may be periodically unavailable or work slowly.
Do not be patient and everything will work out!

Attached Image (click to enlarge)
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  • #71
  • Jan 13, 2022 10:26am Jan 13, 2022 10:26am
Quoting analiteg
Hi, everybody! Recently I have made an update of my dashboard. Now you can see pairs recommended for trade: strong correlation > 0.8 strong cointegration < 0.05 The data is recalculated automatically every day. You just have to choose pairs from the list and check the spread deviation. We are also working on an automatic check of the spread deviation for the recommended pairs. For several days I will be making edits and doing tests, the dashboard may be periodically unavailable or work slowly. Do not be patient and everything will work out! {image}...
my compliments .... usefull work
  • #72
  • Jan 13, 2022 10:40am Jan 13, 2022 10:40am
what is this ?
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot (554).png Size: 114 KB
  • #73
  • Jan 13, 2022 10:59am Jan 13, 2022 10:59am
Quoting valter65
{quote} my compliments .... usefull work
Thanks a lot, valter65
  • #74
  • Jan 13, 2022 11:00am Jan 13, 2022 11:00am
Quoting valter65
what is this ?{image}
Its a complex number 0.000003
  • #75
  • Jan 14, 2022 12:00am Jan 14, 2022 12:00am
EURNZD and GBPCHF
TP 15%
SL 5%

Before
Attached Image (click to enlarge)
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After
Attached Image (click to enlarge)
Click to Enlarge Name: 123.png Size: 35 KB
Attached Image (click to enlarge)
Click to Enlarge Name: after.png Size: 44 KB
  • #76
  • Jan 16, 2022 5:07am Jan 16, 2022 5:07am
Since when do you plan to make this free and when do you plan to charge for using the service?
Do you have long term results?
I did code in the past something simular, it was also looking for 2 different currency and giving signals when the korrelation was bigger then a usual level but i have notice that sometimes it happen that this difference become bigger and bigger for some days, means if somebody is risk here more then he usual win, then it will not work
  • #77
  • Jan 17, 2022 12:01am Jan 17, 2022 12:01am
Quoting Tradingbase
Since when do you plan to make this free and when do you plan to charge for using the service? Do you have long term results? I did code in the past something simular, it was also looking for 2 different currency and giving signals when the korrelation was bigger then a usual level but i have notice that sometimes it happen that this difference become bigger and bigger for some days, means if somebody is risk here more then he usual win, then it will not work
Hi!
Now this is a completely free service. When the number of users starts to grow and the load on the server starts to grow, then it is possible that the service will become paid. But the fee will be small.
The idea behind the strategy is not just correlation. The correlation itself can change frequently. I additionally use cointegration and stationarity tests. All this is done using a machine learning algorithm.
This strategy uses stop loss. As a rule, the profit is 2 times the stop loss.
  • #78
  • Edited 6:00am Jan 17, 2022 5:04am | Edited 6:00am
Hello everyone!
Recently, I launched a telegram channel where information is posted on recommended pairs for trading for the current day. Also, I connected a bot that automatically checks the spread and sends a message to the channel when a trade signal appears.

Telegram channel link

How to use:
The message with recommended pairs looks like this.
Attached Image (click to enlarge)
Click to Enlarge Name: photo_2022-01-17_13-58-28.jpg Size: 49 KB

An excel file is also sent.
Attached File(s)
File Type: xlsx Recommended pairs.xlsx   18 KB | 485 downloads

You can select pairs from the list and periodically view the spread for them on the dashboard.

Remember the rules:

  1. If the spread was more than 2 and then became less than 2, then SELL pair2 and BUY pair1.
  2. If the spread was more than -2 and then became less than -2, then SELL pair1 and BUY pair2.


The bot sends a notification when the spread for pairs is greater than 2.2 and less than -2.2. We must wait until the spread becomes less than 2 or -2. Then you can open a deal.

Use the trading panel to open a trade.

  • #79
  • Jan 17, 2022 5:51am Jan 17, 2022 5:51am
Quoting analiteg
{quote} Hi! I use the average of two coefficients: ATR and tick value. I recently updated the panel, here is the new version. {file}
what's the formula for ATR coefficient? I mean, ATR and tick value are not related, aren't they?
  • #80
  • Jan 17, 2022 6:03am Jan 17, 2022 6:03am
Hi!
I ran several tests. ATR should not be taken into account. In the last post, I posted the final version of the trading panel.
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