Arbitrage EA - Page 3
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Thread: Arbitrage EA

  1. #21
    Quote Originally Posted by ;
    quote Still considering the thoughts around this and would probably require me 2x EAs to be able to get the job done. . .as I mentioned, I am not entirely Masterful using the Code... I did perform with Cross Pair Correlation a few years ago, when I was really fresh with the code and well...I was along the same thoughts, but the code was terrible and consequentlyI gave up the thought. When you are working these, just thinking from my own frame of mind and how I trade , I do utilize EURGBP as a Guide. . .ie, when EG is trending up, I often towards...
    I don't believe its possible to exchange arbitrage manually, by the time you notice a price gap it'd be too late .
    I am not a programmer, but I believe the math for this should b something like:

    price1-price2 = C

    for ideally correlated resources, C should be a constant value. As the price moves up and down the space between them stay the same.
    Fortunately thats not true irl and that is not what we're after, we're looking for a variation of this constant C in order to activate buys and sells (and vice versa).

    The remainder is pretty strait forward, specify the minimum C Position to activate a buy/sell, specify TP and sl, the number of transactions thats hould be added in case of an increase in deviation.

  2. #22

  3. #23
    Quote Originally Posted by ;
    Weird such an EA doesn't exist. Here is an image of what I am looking for.
    EUR/USD split by GBP/USD = EUR/USD x USD/GBP = EUR/GBP
    (If you doubt that price follows the algebra, consider EURUSD's current bid price, split it by GBPUSD's, and compare the result to EURGBP's -- the variance should be less than 0.5 pips).

    It follows that, if EURUSD and GBPUSD were perfectly correlated, EURGBP would move sideways in a straight line. To whatever extent EURGBP goes away from that line, the correlation breaks down, EURUSD and GBPUSD diverge, and your egy will get rid of money. Or put another way, you might as well just trade EURGBP, since it is just as easy (or difficult) to select the imminent direction of EURGBP since it is to select if EURUSD and GBPUSD will diverge further before they converge -- since it is effectively the exact same thing. I submitted an illued instance of this .

    All hedges and rings may similarly be broken down into a simpler set of instruments, delivering the same P/L as though the trader was only trading the simplifiion (supposing the pos dimensions are suitably weighted).

    At the risk of making myself even more popular by repeating an unwelcome cliche: if profitable FX was easy as running a simple correlation EA, all retail traders could do it and be millionaires.

  4. #24
    Quote Originally Posted by ;
    quote EUR/USD split by GBP/USD = EUR/USD x USD/GBP = EUR/GBP (If you doubt that price follows the algebra, take EURUSD's current bid price, divide it by GBPUSD's, and compare the outcome to EURGBP's -- that the variance should be less than 0.5 pips). It follows that, if EURUSD and GBPUSD were perfectly correlated, EURGBP would move sideways in a straight line. To whatever extent EURGBP moves away from this line, the correlation breaks down, EURUSD and GBPUSD diverge, and your egy will lose money. Or put another way, you might as well just...
    I understand your point and I also failed when I tried it years ago, you notice there is a crucial component that folks (myself included) forget about arbitrage trading and correlation, and its exactly what causes both of these assets to correlate at the first place, there is a very important fundamental component that traders overlook.

    Statistical arbitrage is half the egy.

  5. #25
    Quote Originally Posted by ;
    I know your point and I likewise failed when I tried it years ago, you see there's a vital part that individuals (myself included) forget about arbitrage trading and correlation, its what causes these two assets to correlate in the first place, there's a very important fundamental component that traders miss. Statistical arbitrage is half the egy.
    Agreed, fundamental factors form a huge reason all currencies proceed. However, the triangular relationship EURUSD/GBPUSD=EURGBP is inviolable, thus trading EURUSD against GBPUSD will always be mathematically identical to just trading EURGBP. Any fundamental factors influencing the relationship between EURUSD and GBPUSD will likewise influence the movement of EURGBP.

  6. #26
    Quote Originally Posted by ;
    I am searching for an arbitrage EA which will put a buy/sell order when two highly correlated pairs (or indexes) drift apart. This isn't triangular arbitrage, the TWO pairs/indexes will be selected manually. Does anyone have this? Thank you
    Fascinating idea! Can you provide more information please with examples? How do you think this will be profitable?

  7. #27
    This is Ea you are looking for, I didnt understand at first what exactly are you asking for.

    I did that sort of arbitrage long time ago but system itself is ATM if you have 10k on account and exchange 0.01. Problem in my case had been looking at excell, and trading sensibly and I made lots of errors. So, price of AUDUSD and EURAUD determines the price of EURUSD for instance.

    Ea is opening on every new candle a new position( I like M1, bu it is possible to try even with other timeframes). It should close at profit a singular position, but when there's just two open positions it will average down TP. In theory works awesome.

    1. Trend following alternative:
    You've now option for transactions to follow increased trend. You can chose up to 3 higher time frames in parameters.
    For instance: 60min, 240min and 1440min, This implies, transactions will be just opened, when price will likely be over all 3 high candles open lines.
    When price will be in between, it's regarded as ranging market and Ea will not take extra trades. You could even place all 3 open lines to the exact same period frame.
    For instance: 60min, 60min, 60min....this implies Ea will start buys just above 60min and sell transactions just below 60min. You are able to set up open lines to weekly time frame.

    2. . Hedging alternative:
    there's also an option to hedge transactions today. This works is, is you could chose after the number of losing trades, a hedge alternative should be activated.
    For instance: Let us say you exchange with 0,1 lots and you put in hedge parameter 4, meaning that after 4 losing transactions using 0,1 lots EA will start an opposite hedge order
    with lot 0.5 (0.1 * 4 0.1). It will not open any extra transactions, until hedge order and all the trades are closed. You have an option to set this parameter on or off.

    BUT
    I have discovered some bugs in a code, for a few coder seems so easy to repair the, but every one else its a nightmare

    1. I noticed that in SELL order ea puts a few times, tp is over the entry line instead of below entry line. I didnt notice the exact same problem on Buy orders, but that has to be checked.

    2. I looked that the code, it must take in consideration spread comm swap, but unfortunately it does not. . .it only puts 2 POINTS tp on first order that gets you in loss of 3-5 cents per 0.01 lots. So thats the reason why ea is loosing cash .
    I'm not sure when ea makes ordinary TP for lets say 50 orders, because sometimes average tp closes all transactions with minus.

    3. MYjournal is filled with order change mistake 1

    Also placing a tp or even a monitoring parameters looks like dont have some influence on matters I wrote about.
    Can someone who is programmer recheck ea code and affirm this, since this is a profitable machine if u know how to utilize it.

    . So ea closes position on two point( instead of lets say two pips), without taking into concern the commission spread and swap. That created a loss of 3-5 cents a 0.01 lot.

    Additionally its hard coded for EURUSD EURAUD AUD USD, so it would be required to change to manual input of pairs we wish to trade.
    Adding pair suffix and prefix are great.

    Discussion relating to this Ea can be open at sohoe.id forum.

    If a few coder can fix it would be worth of try.
    https://forexintuitive.com/attachmen...2002619827.mq4

  8. #28
    Quote Originally Posted by ;
    This is Ea you're searching for, I didnt know at first what are you asking for. I did that sort of arbitrage long time ago but manually, system itself is ATM should you've 10k on account and trade even 0.01. Problem in my case had been searching at excell, and trading manually and I made lots of errors. So, price of AUDUSD and EURAUD decides the price of EURUSD for instance. Ea is starting every new candle a new position( I enjoy M1, bu you can try even with different timeframes). It should close at profit a singular position, but when there is just two...
    You did a very nice copy/paste description of mine to get an ea, that can work in progress, from another forum. All fantastic mate, provided that you keep it real. Btw that one just might blow up, should you take a brief nap behind a computer, since the logic is not guided by a real triangular arbitrage, where the DD, should be close to zero. This one is jagged arbitrage, which can be visible on the DD as well.

  9. #29

  10. #30
    Very intriguing concepts and ideas in this thread.

    I am reading it also. Concerning the triangular arbitrage concept and the posted EA.
    The essential triangular arbitrage shouldn't require much explanation by today. The distinction is that in the real arbitrage that the transactions are performed only if there's a profitable price difference between the commodity and the trade contracts. Additionally, there are some major obstacles regarding triangular arbitrage in Forex, which lead many to rest the case, too shortly.

    Liquidity #8211; When checking an arbitrage trade, prices may drop in less liquid markets, however this is for some reason. You might be unable to unwind your commerce at your desired exit point. Less liquidity, doesn't relate to triangular anomaly, which is what we are following.

    Execution rate challenge #8211; arbitrage opportunities often require rapid implementation. Doing it manual - overlook it. To achieve success you need top notch software/algo since there are a lot of repetitive calculations and checks.

    Lending/borrowing prices #8211; Advanced arbitrage egies frequently require borrowing or lending at close risk free rates. Traders outside of banks can't borrow or lend anywhere near risk free rates unless they can get guaranteed borrowing, which most people retail traders can not. Because of this, we're missing on several sweet small arbitrage opportunities, which are exposed only to big players. We don't even get together.

    Trade prices and spread #8211; Always plays a role in all trading prices from the start including margin expenses. Depends on the broker Too.

    Reasons mentioned above, might be enough, to break a person's game plan, when dealing with true arbitrage issues. That is the reason why different types of different and similar approaches have been developed. One of them is EA posted above. The idea of this egy is straightforward. In other words, when the price is low, buy cheap. In addition, the lower the price dropped, the larger the quantity to buy. Vice versa for sell. There are a number of more bells and whistles added to this logic, like trend following filtertrading hours and so forth. This results in a normal counter-trend egy with all the ensuing consequences. And the only real consequences is that when using this egy to trade one pair, the profit can be received in the rollbacks or trend reversals, and also from all apartments and ranges. The remainder of the time, that's during tendencies, there's nothing but equity reductions to get. (those can be avoided to an extent, if utilizing trading hours like Asian session for example).

    Like I said, a side project development. The arbitrage trading topic, was always quite interesting to me. Since, I really do believe it's very tough to overcome the mentioned obstacles for a typical Joe retail trader in Forex, it's always great to hear different methods to break the idea. Among my favourite is also this man and his concepts here: https://forexintuitive.com/discussio...3-eur-jpy.html very interesting read indeed. I am trying to follow some of those concepts in my approach too.

    Seeing this thread and what OP wants.
    I think Dagoods already helped with some links and indiors, that may do that. Yesterday I think, I have discovered a different one, which might just do what the OP needs. I might be mistaken. In this case moving average shows the gap in prices for 2 correlated pairs. Decrease meansthat price is behind the typical between both pairs and also you should buy the first pair and sell the second. Vice versa for growth: (I am not affiliated with this merchandise in any way). Https://www.mql5.com/en/market/product/3588#

    I trust this helps.

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