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Triangular Arbitrage

  • #141
  • Jun 28, 2008 6:37am Jun 28, 2008 6:37am
Everyone,

What happend to everyone? I had to be away for over a week and I get back to find that this thread has gone quiet.

Bruce
  • #142
  • Jun 28, 2008 4:17pm Jun 28, 2008 4:17pm
lol bruce, that's standard forex factory operating procedure!
  • #143
  • Jun 29, 2008 4:55am Jun 29, 2008 4:55am
Quoting brucech
Everyone,

What happend to everyone? I had to be away for over a week and I get back to find that this thread has gone quiet.

Bruce
check post number 1 - the author got tired of the lack of constructive input I think. The number crunching and programming was way out of my league so all I could do was lurk - interesting concepts I thought
BTC Return This Year: na
  • #144
  • Jun 29, 2008 3:14pm Jun 29, 2008 3:14pm
Maybe he found a way to make it work effectively and is on his way to becoming a multimillionaire and wants to hide any remains of his strategy. Just a thought.
  • #145
  • Sep 2, 2008 8:53pm Sep 2, 2008 8:53pm
I use 3-way hedge Carry Trade and it is much better than the "2 way, 2 broker carry trade" that most know.

As you may not know it, some brokers charges more or less swaps on certain currency pairs such that, if you hedge them 3 way, you get positive swaps daily.

currently, there are 2 brokers out there where you can arb their swaps. Dont ask me which or someone will kill the goose that lay the egg.
  • #146
  • Sep 2, 2008 8:56pm Sep 2, 2008 8:56pm
Interesting BK.... apparently you have researched this to the Nth degree and found something that just about everybody overlooks. Love it.

Quoting BurgerKing
I use 3-way hedge Carry Trade and it is much better than the "2 way, 2 broker carry trade" that most know.

As you may not know it, some brokers charges more or less swaps on certain currency pairs such that, if you hedge them 3 way, you get positive swaps daily.

currently, there are 2 brokers out there where you can arb their swaps. Dont ask me which or someone will kill the goose that lay the egg.
  • #147
  • Sep 3, 2008 1:08am Sep 3, 2008 1:08am
For more information on this 3-way hedge carry, I am posting this screen shot, notice the highlighted pairs; it is showing a positive swap of $25 a day if you go Short GBPJPY, Long NZDJPY, and Long GBPNZD.

The risks is the cost of the spread and over time, this spread cost is overcome by the ever accumulating daily swaps. The beauty of this 3-way carry trade is, you dont have to move money from one broker to balance the accounts as the hedge is always balanced within the same broker.

Monthly ROI (excluding cost of spread) ranges from +5% to +20%! Obviously, the pairs I trade is not in this screen shot

*For info on 3-way hedge (or arb), dig up on FPI (Fractional Product Inefficiency)
Attached Image
  • #148
  • Sep 3, 2008 4:12am Sep 3, 2008 4:12am
Quoting BurgerKing
For more information on this 3-way hedge carry, I am posting this screen shot, notice the highlighted pairs; it is showing a positive swap of $25 a day if you go Short GBPJPY, Long NZDJPY, and Long GBPNZD.

The risks is the cost of the spread and over time, this spread cost is overcome by the ever accumulating daily swaps. The beauty of this 3-way carry trade is, you dont have to move money from one broker to balance the accounts as the hedge is always balanced within the same broker.

Monthly ROI (excluding cost of spread) ranges from +5% to +20%! Obviously, the pairs I trade is not in this screen shot

*For info on 3-way hedge (or arb), dig up on FPI (Fractional Product Inefficiency)
can u explain please, it also shows a -41.
  • #149
  • Sep 3, 2008 6:03am Sep 3, 2008 6:03am
If you go Short GBPJPY, Long NZDJPY, and Long GBPNZD, you get $25 a day.

If you go Long GBPJPY, Short NZDJPY, and Short GBPNZD, you get -3\41 as shown.

This carry chart is broker specific and does not apply to ALL brokers. So dont do it unless you fully understand FPI.
  • #150
  • Sep 4, 2008 8:50am Sep 4, 2008 8:50am
There are several Triangular Arbitrage Calculators available. I have one coded in VBA that runs an automatic mode as well as a manual.

We also run a black box application that trades on multiple FIX API compliant price feeds.
  • #151
  • Sep 4, 2008 10:03am Sep 4, 2008 10:03am
Quoting BurgerKing
*For info on 3-way hedge (or arb), dig up on FPI (Fractional Product Inefficiency)
so to enter the trade is not only calculate the spread with 3 pairs wich are a neutral position? Meaning, a average joe like me could not trade this?

and this broker is reliable?

thanks in advance
  • #152
  • Sep 4, 2008 10:44am Sep 4, 2008 10:44am
Is there a free online calculator to determine market neutral positions and appropriate lot sizes for FPI?
  • #153
  • Edited 12:18pm Sep 5, 2008 9:27am | Edited 12:18pm
For anyone who is interested, there is a very good post about this topic here:
http://forum.vamist.com/blog/theecon...p?showentry=10

Unfortunetly, that thread died about a year ago.

I would love to discuss this in more detail with anyone who has experience, we can also do this in private via PM or email.
  • #154
  • Edited 6:22am Sep 6, 2008 3:28am | Edited 6:22am
Hi,

How manny days you have to keep the circle open to get positive? (spread-cost to be overtaken by daily swaps?) From what i've seen in your picture if you take the second entry GBPNZD...you would wait less than for the +25/day. (but basicaly long term +25 would overtake +22 and a fiew missing days)

Anyway kurka's strategy discussed before it's not about that, i researched all the summer the subject and got to the point where i trade only spikes predicting the direction and some sizes(targets) before happening. This is much more profitable than swap collecting .
It's interesting how those borkers can offer money to people, actuly it's their money what you collect . Seems to be a problem for that broker so "golden goose" as you say.

Thanks,
Victor
  • #155
  • Sep 6, 2008 8:24am Sep 6, 2008 8:24am
Yes. You are basically taking the broker's money. This is why BK does not want to share what broker he is using (which is understandable). If everyone jumped on this, the broker would figure it out and correct their swap rates.

Side note - interesting story:
I work at a large university here in the US. I was researching "covered interest arbitrage" and swap arbitrage and found several articles in financial publications about this topic (mostly from 10+ years ago). One of the authors of the paper turned out to be a faculty member in the next building to where I work. This guy has his PhD in finance, worked as a currency trader in banks, hedge funds, etc. (he knows his stuff). Anyway, I spoke to him briefly about this topic and he just laughed at me. His point was that its near impossible for any retail trader to make money in the currency markets. He said if you do make money, you have found a "glitch in the system" that will eventually be exploited to the point where you can no longer make money.

This is something I have always believed and it was scary to hear a professional echo this belief. So congrats to Burger King and anyone else who has found a way to "beat the system". Enjoy it while it lasts!


I feel very sorry for everyone who is trying to make money using moving averages and all these technical - price based indicators provided by your broker. Do you really think they would give you the proper tools to take their money? Its like a bank giving you the access codes to their alarm system. LOL
  • #156
  • Sep 6, 2008 11:38pm Sep 6, 2008 11:38pm
Quoting Zmax
It's interesting how those borkers can offer money to people, actuly it's their money what you collect . Seems to be a problem for that broker so "golden goose" as you say.

Thanks,
Victor
that is what i am thinking. Could this lastmor than 3 months? I Think sooner Bugerking account grows too much they will have a look at his statements and maybe they will not pay him... no?
  • #157
  • Edited 2:09pm Sep 13, 2008 9:43am | Edited 2:09pm
Hi,

I wanted only to ask a question, the thread is almost dead, hope anyone reads. I worked all the summer for this triangular arbitrage system kurka presented and i feel i'm very close to truth. I trade 99% only spikes and i feel that still there is a problem which i haven't found because it should be 100%. What i want to ask is:
Is there anyone that understands everything spoken in this thread and is interested to trade this informations and also wants to see my work? I'm out of time and need more live testers,more opinions, this system works only live btw. (you can't backtest)

If there is interest we could make a group or something and continue with this further. I can get the direction of the spike but the size it's aproximated by the triangulations and usualy is 1/4 - to 1/10 of the actual spike size so that would have to be improoved also. So if anyone interested please contact me.

I basicaly want to see people that participated in thread discussion.

Thanks,
Victor
  • #158
  • Sep 14, 2008 1:19pm Sep 14, 2008 1:19pm
Hi,

Yeah i know, there are lots of "golden egg gusses" but the problem is that it might change the swap before i have payed the cumulated spreads. Also some of those gusses change it on daily basis some ...not. Those that are more stable are not so profitable.

In my picture i made a simulation for 300$ acount and the daily return.

Thanks,
Victor
Attached Image
  • #159
  • Sep 24, 2008 11:07am Sep 24, 2008 11:07am
Quoting Zmax
Hi,

I wanted only to ask a question, the thread is almost dead, hope anyone reads. I worked all the summer for this triangular arbitrage system kurka presented and i feel i'm very close to truth. I trade 99% only spikes and i feel that still there is a problem which i haven't found because it should be 100%. What i want to ask is:
Is there anyone that understands everything spoken in this thread and is interested to trade this informations and also wants to see my work? I'm out of time and need more live testers,more opinions, this system works only live btw. (you can't backtest)

If there is interest we could make a group or something and continue with this further. I can get the direction of the spike but the size it's aproximated by the triangulations and usualy is 1/4 - to 1/10 of the actual spike size so that would have to be improoved also. So if anyone interested please contact me.

I basicaly want to see people that participated in thread discussion.

Thanks,
Victor

ZMAX:

Let me ask you a question: are you trying to execute trades on the entire ring? If so, this is going to be impossible with a retail broker. If I understand correctly, Kurka is only trading one pair out of the entire ring -- basically trading in the direction of the "inefficient" pair. Is that what you are doing? If so, it sounds like you're on the right track. Also, in reading your Post #158, if you are closing out your trades before the end of the trading day, why are worried about swap (unless you are trying to collect the swap).

Anyway, I sent you a PM.

CA1962
  • #160
  • Sep 25, 2008 3:18am Sep 25, 2008 3:18am
Hi,

I'm trading only the ineficient pair. Speaking in FPI terms 1 ring is 1 triangulation here. I have many triangulation that have 1 comon pair, that is the pair i'm calculating the value for.
About the swap that's something else it's not related to this strategy i only replayed to burgerking.


Thanks,
Victor
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