Hi! I use the average of two coefficients: ATR and tick value. I recently updated the panel, here is the new version.

Statistical arbitrage and pairs trading on Forex

Explanations on the strategy url

Statistical arbitrage and pairs trading on Forex

image The trading panel closed the deal automatically when the profit reached 3% of the balance. Although it was already possible to close it with hands, the spread got close to the zero line.

Statistical arbitrage and pairs trading on Forex

3% from account.

Statistical arbitrage and pairs trading on Forex

Today trades Buy GBPJPY Sell USDJPY Profit +3% image

Statistical arbitrage and pairs trading on Forex

pandas, numpy, statsmodel

Statistical arbitrage and pairs trading on Forex

Hi! If I knew how it can be done in MT4 or MT5, I would have done it there. But for calculations, I use python and libraries for data analysis. It's much easier and more reliable that way. I have several ideas on how to send signals for a deal to an ...

Statistical arbitrage and pairs trading on Forex

One good person suggested to me, that if the spread is stationary, then the currency pairs are also cointegrated. This means, that there is no need to simultaneously check currency pairs for cointegration and spread for stationarity. So in the ...

Statistical arbitrage and pairs trading on Forex

Hi, Mark! More details about Cointegration and Stationarity you can find here. A commonly untested assumption in time series analysis is the stationarity of the data. Data are stationary when the parameters of the data generating process do not ...

Statistical arbitrage and pairs trading on Forex

Usually, I use 1:1. But you can calculate it as Pair 1 point value / Pair 2 point value.

Statistical arbitrage and pairs trading on Forex

Hi! I use 20 days.

Statistical arbitrage and pairs trading on Forex

As for me, it is not so important, to which schedule the panel is attached. The main thing is not to cross the direction. You can do as you like. I know that some of my traders generally open only one chart with a panel and do not look at the second ...

Statistical arbitrage and pairs trading on Forex

How to use the panel Open two charts and tile them horizontally. Pair 1 set on top and Pair 2 on the bottom. Settings Magic - unique number for orders. Pair 1 - set Pair 1 name like in your terminal. Pair 2 - set Pair 2 name like in your terminal. ...

Statistical arbitrage and pairs trading on Forex

Strategy There are two styles of stat arb trading - scalping and swing.I personally use scalping and recommend it to you. In scalping, you can get 3-5 trades per day. But as for me, 1-2 trades per day is enough. My settings Date Range - by default ...

Statistical arbitrage and pairs trading on Forex

Yes, we need a strategy to trade inside this idea. I will tell you about it today.

Statistical arbitrage and pairs trading on Forex

No, it is all right. The spread formula is Spread = Pair2 - x*Pair1. So if the spread moves from 2 to 0, it means that Pair1 rates grow and Pair2 rates decrease.

Statistical arbitrage and pairs trading on Forex

I will tell you about lot size, TP, and SL a little bit later. As for US30 and US500, I plan to include them in some months.

Statistical arbitrage and pairs trading on Forex

Hi, kofix11! Which type of spread do you mean? Spread between currency pairs, or spread from your broker? For good results, it will be good to have a lower spread from your broker. Spread from my broker starts from 0 on major pairs. I can recommend ...

Statistical arbitrage and pairs trading on Forex

My today trades image image

Statistical arbitrage and pairs trading on Forex

Hi, Mark. p-value is statistical value. Two time series are cointegrated if the p-value is less than 0.05. We should trade only cointegrated pairs.

Statistical arbitrage and pairs trading on Forex