Co-integrated pairs trading system | Forex Factory

Options

Go to
Permalinks
Print Thread

Related Instruments

EUR/USD, GBP/USD, NZD/USD, USD/CAD, USD/MXN, AUD/USD

Similar Threads

Platforms with an integrated Center of Gravity indi? 26 replies

MBTrading integrated with Mt4 38 replies

FFCALendar integrated to this EA request 1 reply

!! quick question about mbt and integrated charting. 10 replies

Integrated forex factory news results into meta trader 4 2 replies

Attachments: Co-integrated pairs trading system
Exit Attachments

Co-integrated pairs trading system

  • #1
  • First Post: Edited 9:10pm Dec 4, 2016 6:23pm | Edited 9:10pm
Inserted Video



Steps:

1. Choose two pairs (Ex. USOIL UKOIL, EURUSD GBPUSD, USDCAD USDMXN, AUDUSD NZDUSD)
2. Calculate linear regression slope coefficient SLOPE=∑(y/x)/n where y = pair 2, x = pair 1, n = sample size
3. When current slope (y/x) moves to far from SLOPE (∑(y/x)/n) enter
4. buy asset that rose less or fell more and sell asset that rose more and fell less

EXAMPLE

SLOPE = 3.4
ASSET X = 50.2
ASSET Y = 145.3
Y/X = 2.8944223108

2.8944223108<3.4 So buy asset y, sell asset x

if Y/X>SLOPE buy x sell y
if Y/X<SLOPE buy y sell x

If you guys want me to release my ea tell me...
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #2
  • Dec 4, 2016 6:32pm Dec 4, 2016 6:32pm
just updated the text with example trades
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #3
  • Dec 4, 2016 8:14pm Dec 4, 2016 8:14pm
Quoting aroxalot
just updated the text with example trades
Do you have any statistics?
My Threads: Trading is as simple as 1-2-3, Highest Open / Lowest Open Trade
  • #4
  • Dec 4, 2016 8:50pm Dec 4, 2016 8:50pm
Quoting TooSlow
{quote} Do you have any statistics?
Of what kind? If you want, i can compute the slope ratio for two assets
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #5
  • Dec 4, 2016 8:54pm Dec 4, 2016 8:54pm
Quoting aroxalot
{quote} Of what kind? If you want, i can compute the slope ratio for two assets
No, not that kind.
More like frequency distributions showing if A then B occurred C% of the time.
My Threads: Trading is as simple as 1-2-3, Highest Open / Lowest Open Trade
  • #6
  • Dec 4, 2016 9:01pm Dec 4, 2016 9:01pm
Quoting TooSlow
{quote} No, not that kind. More like frequency distributions showing if A then B occurred C% of the time.
Those can be computed using normal distribution, here is cumulative equation, this will be what you want:https://wikimedia.org/api/rest_v1/me...d67f9fe5f524ea

µ is the expected value
sigma is standard deviation of residuals

plug it into a graphing calculator
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #7
  • Dec 4, 2016 9:19pm Dec 4, 2016 9:19pm
Quoting TooSlow
{quote} No, not that kind. More like frequency distributions showing if A then B occurred C% of the time.
Here is a picture, just compute std dev of residuals
Attached Image
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #8
  • Dec 4, 2016 11:03pm Dec 4, 2016 11:03pm
Attached Image (click to enlarge)
Click to Enlarge Name: TooSlow.png Size: 48 KB


Something more like the above.
Frequency distribution for the range of the 16:00 bar for USDJPY.
Over the last 600 bars, 25 occurred at 16:00.
Range between 10-19 occurred 32% of the time.
My Threads: Trading is as simple as 1-2-3, Highest Open / Lowest Open Trade
  • #9
  • Dec 5, 2016 12:18am Dec 5, 2016 12:18am
Quoting aroxalot
just updated the text with example trades
Thanks for sharing, Can you release the sample excel on the video ?
  • #10
  • Dec 5, 2016 12:19am Dec 5, 2016 12:19am
Quoting TooSlow
{image} Something more like the above. Frequency distribution for the range of the 16:00 bar for USDJPY. Over the last 600 bars, 25 occurred at 16:00. Range between 10-19 occurred 32% of the time.
The Graph is a frequency distribution, you have to plug variables in, but it will tell you if you do the CDF to compute probability of the slope being a certain number of standard deviations from the expected value.

See: https://en.wikipedia.org/wiki/Normal_distribution
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #11
  • Dec 5, 2016 12:25am Dec 5, 2016 12:25am
Quoting ken331
{quote} Thanks for sharing, Can you release the sample excel on the video ?
yes, I will prep the sheet: https://docs.google.com/spreadsheets...it?usp=sharing
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #12
  • Dec 5, 2016 4:30am Dec 5, 2016 4:30am
Hello, is there an EA to test this strategy? regards
  • #13
  • Dec 5, 2016 1:59pm Dec 5, 2016 1:59pm
Quoting blueopal
Hello, is there an EA to test this strategy? regards
Yes, and If you like I can release it.
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #14
  • Dec 5, 2016 2:02pm Dec 5, 2016 2:02pm
I've received a rather ungrateful comment and dislike on the youtube video from someone upset the system doesn't provide "enough return" so if everyone could please upvote the vid to counter the efforts of this person, I would appreciate it greatly.
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #15
  • Dec 5, 2016 2:24pm Dec 5, 2016 2:24pm
Yes, if you can release would be great! Thanks !
  • #16
  • Edited 8:48pm Dec 5, 2016 6:53pm | Edited 8:48pm
Quoting blueopal
Yes, if you can release would be great! Thanks !
Ok, but do you have Oanda as your broker? the program was written for oandas api
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #17
  • Dec 6, 2016 3:36pm Dec 6, 2016 3:36pm
BUMP
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #18
  • Dec 8, 2016 5:40pm Dec 8, 2016 5:40pm
This project is now open source: https://github.com/freepromtech/statarb/tree/master

EDIT: YOU WILL NEED PROCESSING TO RUN THIS
Processing:https://processing.org/
Apache HTTP Components: https://hc.apache.org/

You will need to install controlP5 library for processing.
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #19
  • Dec 8, 2016 11:24pm Dec 8, 2016 11:24pm
Quoting blueopal
Hello, is there an EA to test this strategy? regards
Check out the source on git hub ^^

you will also need api access on your oanda account
Quant Trader - My Blog: quantstop.blogspot (dot) com
  • #20
  • Dec 9, 2016 4:30pm Dec 9, 2016 4:30pm
Any feedback is nice
Quant Trader - My Blog: quantstop.blogspot (dot) com
0 traders viewing now