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Attachments: System to hedge every major dollar pair for profit / low DD
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System to hedge every major dollar pair for profit / low DD

  • #481
  • May 30, 2012 3:40pm May 30, 2012 3:40pm
Thanks Mwduke, I had posted this a few pages ago.

Please everyone trading baskets run it through this test before spending time trading it. Randomly pairing up baskets is a waste of time, as mentioned baskets that are not cointegrated will not be profitable using this method.

Quoting mwduke
I found a very simple walkthrough of how to run cointegration tests in R. I just used the CSV output data from my Metatrader 4 History Center, for two pairs, and it worked perfectly. It uses the ADF Test to give you a p-value for the "cointegration" of the two pairs (i.e., time series data) you enter. So far I've tested many combinations of pairs, and the cointegration test worked perfectly and was very easy to understand. Here's the link to the walkthrough:

http://quanttrader.info/public/testForCoint.html

You want the final p-value...
Skype: heliosphan187
  • #482
  • May 30, 2012 4:11pm May 30, 2012 4:11pm
Quoting Dirtybrown
Thanks Mwduke, I had posted this a few pages ago.
Oops, my bad. Sorry! Didn't mean to take credit where credit was not due...
  • #483
  • May 30, 2012 4:18pm May 30, 2012 4:18pm
No problem, the page count is getting high very quickly and thats probably my fault to an extent.

I'll make link index on post #1 for succintness.

Quoting mwduke
Oops, my bad. Sorry! Didn't mean to take credit where credit was not due...
Skype: heliosphan187
  • #484
  • May 30, 2012 4:37pm May 30, 2012 4:37pm
i got this error whenever i compile the abormat

2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;40:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;41:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;42:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;43:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;44:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;45:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;46:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;47:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;48:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;49:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;50:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;51:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;52:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;53:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;54:1;'extern' - unexpected external variable storage
2;66;CROGRA~1SIGTRA~2expertsarbomat.mq4;55:1;'extern' - unexpected external variable storage
2;116;CROGRA~1SIGTRA~2expertsarbomat.mq4;72:12;'(' - function definition unexpected
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;75:20;'symbol' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;81:4;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;82:8;'AUDUSD' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;83:8;'EURUSD' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;84:8;'GBPUSD' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;85:8;'NZDUSD' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;86:8;'USDCAD' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;87:8;'USDCHF' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;88:8;'USDJPY' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;89:4;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;90:15;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;91:10;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;92:10;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;96:8;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;98:7;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;98:14;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;107:4;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;127:16;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;128:11;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;129:10;'prices' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;129:29;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;131:10;'prices' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;134:24;'prices' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;143:19;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;144:30;'base_units' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;144:43;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;145:77;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;147:31;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;148:63;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;149:13;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;155:19;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;156:29;'base_units' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;156:42;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;157:77;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;159:31;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;160:63;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;161:13;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;167:19;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;168:69;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;170:31;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;171:63;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;172:13;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;178:66;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;179:10;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;185:65;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;186:67;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;187:13;'time_last' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;206:11;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;212:11;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;226:4;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;226:11;'back_bars' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;227:4;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;227:10;'now_bars' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;230:7;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;234:7;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;237:8;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;237:15;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;238:7;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;241:16;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;242:17;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;242:31;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;243:10;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;243:23;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;244:16;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;244:38;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;248:16;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;248:22;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;249:16;'prices' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;249:24;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;250:16;'regressors' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;250:28;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;250:35;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;251:16;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;251:22;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;252:14;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;253:13;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;254:15;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;258:16;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;259:19;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;260:29;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;261:10;'regressors' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;261:25;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;261:45;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;264:20;'regressors' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;264:32;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;264:38;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;269:15;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;276:8;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;283:8;'allow_intercept' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;292:8;'allow_intercept' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;293:29;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;295:25;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;298:4;'stddev' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;307:16;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;310:16;'this' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;311:10;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;313:10;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;313:21;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;317:24;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;318:10;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;318:20;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;318:37;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;326:10;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;326:20;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;335:4;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;335:31;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;335:72;'allow_intercept' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;336:4;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;336:13;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;337:16;'pairs' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;338:7;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;338:16;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;338:25;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;339:36;'base_units' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;339:49;'coef' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;340:78;'symb' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;342:12;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;352:21;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;355:19;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;359:8;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;360:90;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;362:18;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;364:23;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;364:29;'clr_below' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;364:40;'clr_above' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;366:8;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;368:49;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;370:29;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;373:21;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;373:33;'clr_spreadline' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;373:49;'clr_spreadline' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;374:46;'pred' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;378:42;'back' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;379:16;'ratios' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;383:8;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;387:8;'use_diff' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;395:7;'stddev' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;403:7;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;405:65;'now' - variable not defined
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;418:19;'time_last' - variable not defined









both the demo and live
2;75;CROGRA~1SIGTRA~2expertsarbomat.mq4;425:4;'time_last' - variable not defined
  • #485
  • May 30, 2012 4:55pm May 30, 2012 4:55pm
Post 1 updated.

Mediator and Xlitang: you guys cannot be appreciated enough for your work.


Quoting TheMaxx
I hope Mediator doesn't mind me posting these here (they seem to be GNU licensed), but there were two toys from his stevehopwoodforex.com thread.

Cointegration Search Engine.mq4 and Cointegration - Profitboard.mq4. Finding cointegrated pairs is a huge piece of the puzzle.

According to his first post, put "the EA Cointegration Search Engine into experts folder. And the Cointegration...
Skype: heliosphan187
  • #486
  • May 30, 2012 6:25pm May 30, 2012 6:25pm
Quoting xlitang
Let's try it again.
HI xlitang, This EA still has bug. I am trading all the usd pairs.

As soon as one of the currency pair value is 0, like AUDUSD is zero this morning, the trades opened and closed in few seconds and reopen trades again. This cycle repeats until I switch off the EA.

error message on screen is : AromatEA AUDUSD OP_SELL order send failed with error(0); no error.

MT4 build is 419.

I hope u can fix this bug and thanks for the effort to make it automated.
  • #487
  • May 30, 2012 6:53pm May 30, 2012 6:53pm
Quoting taipan99
HI xlitang, This EA still has bug. I am trading all the usd pairs.

As soon as one of the currency pair value is 0, like AUDUSD is zero this morning, the trades opened and closed in few seconds and reopen trades again. This cycle repeats until I switch off the EA.

error message on screen is : AromatEA AUDUSD OP_SELL order send failed with error(0); no error.

MT4 build is 419.

I hope u can fix this bug and thanks for the effort to make it automated.
Can you post all the pairs involved?
Follow me to the Promised Land
  • #488
  • May 30, 2012 7:37pm May 30, 2012 7:37pm
Also please check the journal tab may be another error message there..


Quoting taipan99
HI xlitang, This EA still has bug. I am trading all the usd pairs.

As soon as one of the currency pair value is 0, like AUDUSD is zero this morning, the trades opened and closed in few seconds and reopen trades again. This cycle repeats until I switch off the EA.

error message on screen is : AromatEA AUDUSD OP_SELL order send failed with error(0); no error.

MT4 build is 419.

I hope u can fix this bug and thanks for the effort to make it automated.
Skype: heliosphan187
  • #489
  • May 30, 2012 9:16pm May 30, 2012 9:16pm
Quoting xlitang
Can you post all the pairs involved?

Pairs involved are: audusd, eurusd, gbpusd, nzdusd, usdcad, usdchf and usdjpy.

From the AromatEA shows only audusd = 0 lot. The rest shows some lot sizes for which I cannot recall the lot sizes because currently using my friend's computer and not at home.
  • #490
  • May 31, 2012 5:11am May 31, 2012 5:11am
Make sure you've opened a chart for each of the pairs involved to ensure that the data has been downloaded for that pair. You don't run the EA on each pair, just open a chart to refresh the data. If the EA sees no data for a given pair it'll probably give it a 0 weight in the output.
You are in a maze of twisty little passages, all alike.
  • #491
  • May 31, 2012 10:30am May 31, 2012 10:30am
Hi all
i test this system on some Pairs, but don't find a Good pairs for Hedge
can you Introduction some good pairs for hedge??
  • #492
  • Edited 11:01am May 31, 2012 10:42am | Edited 11:01am
Attached Image (click to enlarge)
Click to Enlarge Name: nuc.jpg Size: 90 KB


All, here is my update on my live manual trade. nzdusd usdcad have hit the second deviation and I have closed the position as shown. This is arbomat demo on 1 hr data.

Will wait to see some consolidation at the 2nd deviation above mean before taking another hedge. No way to know how high the hedge will overshoot the 2nd deviation. However, price action will tell the story when it's ready to revert.
Skype: heliosphan187
  • #493
  • May 31, 2012 10:43am May 31, 2012 10:43am
Please read my last several posts on which pairs i'm trading before just blindly asking. Thanks
Quoting naser007
Hi all
i test this system on some Pairs, but don't find a Good pairs for Hedge
can you Introduction some good pairs for hedge??
Skype: heliosphan187
  • #494
  • May 31, 2012 12:24pm May 31, 2012 12:24pm
be careful this repaints or resizes, you name it...

a few hours after

Attached Image (click to enlarge)
Click to Enlarge Name: Sin título2.png Size: 86 KB


a few hours later

Attached Image (click to enlarge)
Click to Enlarge Name: Sin título3.png Size: 98 KB
  • #495
  • May 31, 2012 12:34pm May 31, 2012 12:34pm
Quoting joancb
be careful this repaints or resizes, you name it...
It is not repainting. Think about it.
What we have on R chart is the average close price of last 2000 (or whatever number of) candles and the deviations from it. Resizing comes from the fact that with every candle, the average changes. So, also deviation lines change place.
  • #496
  • May 31, 2012 1:43pm May 31, 2012 1:43pm
Quoting Indrek
It is not repainting. Think about it.
What we have on R chart is the average close price of last 2000 (or whatever number of) candles and the deviations from it. Resizing comes from the fact that with every candle, the average changes. So, also deviation lines change place.
that's right but everybody should know that if you enter at the second green line and it spikes like this, when it returns back to the line your floating profit/loss will not be at break even, it will be at DD.
  • #497
  • May 31, 2012 1:54pm May 31, 2012 1:54pm
Quoting joancb
that's right but everybody should know that if you enter at the second green line and it spikes like this, when it returns back to the line your floating profit/loss will not be at break even, it will be at DD.
that is absolutely correct your observation. this is what i call phase shift.
if you look at the lot coefficients you will see that they change accordingly with the shift. with this information you know which pair cause this shifting and how it influence the basket. this is one flaw of this system.
this is where trade- and ordermanagement meets
  • #498
  • May 31, 2012 2:42pm May 31, 2012 2:42pm
Mediator, is it correct to say that:

Higher cointegration = Less phase shift?



Quoting Mediator
that is absolutely correct your observation. this is what i call phase shift.
if you look at the lot coefficients you will see that they change accordingly with the shift. with this information you know which pair cause this shifting and how it influence the basket. this is one flaw of this system.
this is where trade- and ordermanagement meets
Skype: heliosphan187
  • #499
  • May 31, 2012 3:29pm May 31, 2012 3:29pm
Quoting Dirtybrown
Mediator, is it correct to say that:

Higher cointegration = Less phase shift?

Yeah, I believe so.
  • #500
  • May 31, 2012 4:07pm May 31, 2012 4:07pm
Quoting joancb
that's right but everybody should know that if you enter at the second green line and it spikes like this, when it returns back to the line your floating profit/loss will not be at break even, it will be at DD.
This is actually a very good observation. Yes, it is repainting because the sizes (as Mediator pointed out) have changed. Everyone who tries this should study the following video and think about the implications. (make particular note of how much / how little the sizes change during this test period).

Holy Grail??? Or Not!

Also spending a few minutes reading through the early pages in this thread on the origins of arb-o-mat might be informational:

http://www.forexfactory.com/showthre...=262827&page=4

One thing I'll point out to start the discussion rolling is regarding time. The chart you posted was off a 1 minute with 5000 bars. That is about 3.5 days worth of data. Can we realistically assume that the regressed spread of FX markets has a stable mean and the standard deviation over 3.5 days of data? Because, know it or not, that's the assumption being made with this model.
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