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Statistical arbitrage and pairs trading on Forex

  • #141
  • Jul 26, 2024 1:33am Jul 26, 2024 1:33am
Quoting Pazmin
I have been experimenting with pair trading strategy since before it gained attention on this forum, gathering insights and testing strategies. In 2021/2022, I struggled to develop the necessary code for MQL5 due to the absence of ADF, Half-Life, regression codes, and other essentials. Consequently, I turned to Python for testing until recently, when I discovered that MQL5 libraries now include all necessary components for strategy development and backtesting. Pair trading shows promise, but several factors must be considered, such as analysis timeframe,...
Hi Pazmin, just wonder how to solve the problem of exchange rate of cross currency pairs when you use Python to do the backtesting? Especially when you have lots of cross currency pairs to do the backtesting together, like NOKJPY/AUDCHF/AUDCNH/GBPNZD... ,because I think you should use the same pricing currency like USD to calculate the profit of trades when you need the exactly backtesting result.
  • #142
  • Nov 26, 2024 6:46pm Nov 26, 2024 6:46pm
Quoting qijinnian
{quote} Hi Pazmin, just wonder how to solve the problem of exchange rate of cross currency pairs when you use Python to do the backtesting? Especially when you have lots of cross currency pairs to do the backtesting together, like NOKJPY/AUDCHF/AUDCNH/GBPNZD... ,because I think you should use the same pricing currency like USD to calculate the profit of trades when you need the exactly backtesting result.
Hello,
It is important to work with pairs that have the same base currency, for example, AAAUSD/BBBUSD or AAAJPY/BBBJPY. When calculating profit in Forex, the difference between the entry and exit spread is used (for the exit spread, it's crucial to freeze the hedge ratio at the time the trade is opened). This difference is then multiplied by 100 if it's XXXJPY or by 10,000 if it is another base currency. This will give you the pips for the PnL.

The most important factor is the selection of pairs.
I am attaching some examples so you can observe them better. However, depending on whether it's a long or short spread, you should use an open-close or close-open spread.

(This strategy definitely cannot be done directly from MetaTrader; it must be done from Python and orders should be sent via the MQL5 SDK if you want to attempt to achieve something profitable.)
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Example.png Size: 47 KB
Click to Enlarge Name: Open-Close Spread.png Size: 48 KB
  • #143
  • Jan 10, 2025 10:38am Jan 10, 2025 10:38am
Hi everyone! Been following this thread for a while now and I've decided to work on a little something of my own:
Attached Image (click to enlarge)
Click to Enlarge Name: Screenshot 2025-01-10 at 1.26.10 PM.png Size: 33 KB
  • #144
  • Feb 6, 2025 9:22am Feb 6, 2025 9:22am
Quoting helioss
I'm waiting EURCHF / NZDUSD STATISTICS EURCHF / NZDUSD -------------------------------- T1 (pvalue) = 0.034 T2 (pvalue) = 0.010 Correlation = 0.819 -------------------------------- {image}

hello
I know this is an old post

I recently got into pair trading. I don't have the the Z-score tool. All the ones I downloaded on meta trader did not work. Kindly let me know if you still have access to the Z-score tool.

Thanks
Attached Image (click to enlarge)
Click to Enlarge Name: zscore.png Size: 13 KB
  • #145
  • May 1, 2025 2:58pm May 1, 2025 2:58pm
Hi guys i have been looking at stat arb pair trading for a while now, was focusing on stocks at first but is interested in scalping using stat arb pair trading in forex pairs.
  • #146
  • May 10, 2025 6:25am May 10, 2025 6:25am
Quoting fortyfive20
Hi everyone! Been following this thread for a while now and I've decided to work on a little something of my own: {image}
Hi,
Can you tell me more about this?
  • #147
  • Last Post: Jul 6, 2025 3:34am Jul 6, 2025 3:34am
Quoting Pazmin
Hi everyone, After a lot of time and work, I get to automate and run the first version of a bot based on pair trading, stationarity and cointegration. Today I get to run the first "stable version" and Im sharing some of my tests and results. -Im using 1440 periods of 1 minute, but previous to any calculation(ADF and others) I apply logarithm -My Entry, StopLoss and TakeProfit is based on deviations of Spread: For entry i use 2 deviations from the mean For SL i use 1 deviations from the entry And for TP 2 deviations from the entry or spread <> mean...
Did you continue with this? How are the results today?
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