Statistical Arbitrage Trading by EA

very interesting, thanks for sharing.

I have some questions, if you don't mind answering. I used to do this years ago, but ran into the problem of how to correctly decide when there was a gap between the pairs. I used a tool to overlay the charts but if you moved it it would look like there's a gap when there really wasn't. How do you decide when there's a tradeable opportunity?

Fez

1. I don't use correlated pairs with overlay chart
2. I use cointegrated pairs
3. My English is not good and I don't know how to give you the detail about the strategy in proper English. What I can do is give you this link http://www.forexfactory.com/showthread.php?t=363198 to learn about the cointegration pairs trading.

Thanks,

"What is cointegration?

Actually cointegration is a pretty simple concept. Suppose that you analyze two FX pairs, P0 and P1, and find that you think that P0 is priced too low and P1 is priced too high. Suppose that you plan to hedge 1 lot of P0 against w lots of P1, planning to exit the hedge when the prices return to their correct value. Then your return will depend on the (current) Mispricing between the pairs hedged:

Return = Mispricing =M = P0 -w*P1

If the Mispricing is stationary, then P0 and P1 are cointegrated. This is the definition of cointegration.

Since P0 and P1 vary with time, M will also vary with time. If the distribution of samples of M is stationary, then the mean value will be constant. The standard deviation of M will also be constant. That means that M is mean-reverting. If you find a moment in time when M-mean(M) is large you can enter the hedge knowing that M will eventually return to it's mean, you can exit with a gain. Always!"

Day 7 done:
-Trading: 32 trades
-Pips: 191 pips
-Return: 1.3%

Day 8 done:
-Trading: 44 trades
-Pips: 157 pips
-Return: 1%

eurgbp.....sell at top, I'm so lucky......

I like what you are doing here. Allowing your trade explorer to do all the talking. And no talk of selling anything(at least not yet). I like that! keep it up bro!

Thanks.

eurgbp closed for +/- 40 pips.

New order buy eg & sell uj.

Close them all for +14 pips profit

Day 9 done:
-Trading: 32 trades
-Pips: 190 pips
-Return: 1.2%

Can you share this Ea ?

are you still running it hrwn47 ? Is it still successful ? I am trying to explore this field of stat arb also so keen to know if it still performs as expected.

yes let us know .. it is not possible to earn profit daily . in This kind of situation EA make loss suddenly

I am assuming that indicator on your GBPEUR is the correlation between the GBPUSD and EURUSD correct? I have developed stat-arb systems that trade on a daily time frame before.