Statistical Arbitrage Trading by EA | Forex Factory

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Statistical Arbitrage Trading by EA

  • #1
  • First Post: Edited Nov 16, 2014 2:55am Nov 9, 2014 12:40pm | Edited Nov 16, 2014 2:55am
It is a statistical arbitrage trading based on co-integration between currency pairs. All trades are done automatically by EA.

Track Record:
Week 1:
- Total trades: 405 trades
- Total pips: 1166 pips
- Total return: 17.6%
If You Can't Join Them, Beat Them!
  • #2
  • Nov 10, 2014 6:12am Nov 10, 2014 6:12am
Day 1 done:
-Trading: 68 trades
-Pips: 307 pips
-Return: 11.8%
If You Can't Join Them, Beat Them!
  • #3
  • Nov 10, 2014 7:50am Nov 10, 2014 7:50am
Good Job! Great trades! Whats the strategy? EA?

Thanks
  • #4
  • Nov 10, 2014 3:44pm Nov 10, 2014 3:44pm
Very nice.
Just an idea: You could perhaps do slightly better to avoid trading cointegrated pairs with a common currency. Buying audjpy and selling nzdjpy could be more elegantly executed with buying audnzd, in this way you don't have to pay the spread twice.
All the best,
k
  • #5
  • Nov 11, 2014 3:59am Nov 11, 2014 3:59am
Day 2 done:
-Trading: 28 trades
-Pips: 101 pips
-Return: 0.8%

I think it more safe if I use 0.01 lot per $1000 balance and daily target is 100 pips. will increase the lot size per $1000.
If You Can't Join Them, Beat Them!
  • #6
  • Nov 11, 2014 4:04am Nov 11, 2014 4:04am
Quoting investguy
Good Job! Great trades! Whats the strategy? EA? Thanks
Thanks.
It is co-integrated strategy. we compare to instrument, we buy the under value instrument and sell the over value instrument. There are a lot material you can read over google.
If You Can't Join Them, Beat Them!
  • #7
  • Nov 11, 2014 4:07am Nov 11, 2014 4:07am
Quoting kprsa
Very nice. Just an idea: You could perhaps do slightly better to avoid trading cointegrated pairs with a common currency. Buying audjpy and selling nzdjpy could be more elegantly executed with buying audnzd, in this way you don't have to pay the spread twice. All the best, k
It is not always like that, sometime I buy both audjpy and nzdjpy. But, thanks for the idea.
If You Can't Join Them, Beat Them!
  • #8
  • Edited 10:24am Nov 11, 2014 10:01am | Edited 10:24am
The Key here its how exactly do you calculate cointegrated, wich TF do you use, how many periods, etc..
Also, if you use mt4 functions or external programs, and how many "gap" or diference see to enter trade.

If you can help with this info then It will be great help.
Thanks in advance.
  • #9
  • Nov 12, 2014 4:25am Nov 12, 2014 4:25am
got connection problem with the demo account.
on the live cent account currently floating profit +/-300 pips
Attached Image (click to enlarge)
Click to Enlarge Name: live.PNG Size: 70 KB
If You Can't Join Them, Beat Them!
  • #10
  • Nov 12, 2014 5:25am Nov 12, 2014 5:25am
Day 3 done:
-Trading: 70 trades
-Pips: 186 pips
-Return: 1.4%
If You Can't Join Them, Beat Them!
  • #11
  • Nov 12, 2014 8:22am Nov 12, 2014 8:22am
Quoting hrwn47
got connection problem with the demo account. on the live cent account currently floating profit +/-300 pips {image}
Now the profit of the live account is up to +430 pips.
I still experimenting this. This EA could become crazy someday......ohhh i'm too scare for the day to come
Attached Image
If You Can't Join Them, Beat Them!
  • #12
  • Nov 12, 2014 12:42pm Nov 12, 2014 12:42pm
Quoting hrwn47
{quote} Now the profit of the live account is up to +430 pips. I still experimenting this. This EA could become crazy someday......ohhh i'm too scare for the day to come {image}
mantap mas bro, keep up the good works..
kalau saya pribadi belum ada rencana membuat trading journal sebelum berjalan beberapa bulan

live account-nya ga sekalian di-share mas?
Let the market comes to you!
  • #13
  • Nov 12, 2014 1:55pm Nov 12, 2014 1:55pm
Quoting ciptard
{quote} mantap mas bro, keep up the good works.. kalau saya pribadi belum ada rencana membuat trading journal sebelum berjalan beberapa bulan live account-nya ga sekalian di-share mas?
Ntar aja mas bro....malu masih cent account hehe
If You Can't Join Them, Beat Them!
  • #14
  • Nov 12, 2014 9:42pm Nov 12, 2014 9:42pm
Hi Hrwn47, where did you get this EA? I am looking for this type of triangular arbitrage scanner EA.
  • #15
  • Nov 13, 2014 10:05am Nov 13, 2014 10:05am
Quoting maxvbeaudin
Hi Hrwn47, where did you get this EA? I am looking for this type of triangular arbitrage scanner EA.
it is not triangular arbitrage scanner EA.
If You Can't Join Them, Beat Them!
  • #16
  • Nov 13, 2014 10:47am Nov 13, 2014 10:47am
Day 4 done:
-Trading: 57 trades
-Pips: 48 pips
-Return: 0.2%
If You Can't Join Them, Beat Them!
  • #17
  • Nov 13, 2014 10:53am Nov 13, 2014 10:53am
Could you give more details about the system?

Thanks
  • #18
  • Nov 14, 2014 10:32am Nov 14, 2014 10:32am
Day 5 done:
-Trading: 182 trades
-Pips: 525 pips
-Return: 2.9%
If You Can't Join Them, Beat Them!
  • #19
  • Nov 16, 2014 2:41am Nov 16, 2014 2:41am
Week 1 summary:

  1. Total trades: 405 trades
  2. Total pips: 1166 pips
  3. Total return: 17.6%

Next week will change some setting, one of the setting I change is the combination of pairs trades.

Attached Image (click to enlarge)
Click to Enlarge Name: Week 1.PNG Size: 20 KB
If You Can't Join Them, Beat Them!
  • #20
  • Nov 16, 2014 8:27pm Nov 16, 2014 8:27pm
Day 6 done:
-Trading: 41 trades
-Pips: 197 pips
-Return: 1.4%
If You Can't Join Them, Beat Them!
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