FX Algo Trader Statistical Arbitrage Software Overview (www.fxalgotrader.com) | Forex
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The FX AlgoTrader Generic Statistical Arbitrage Engine Version 2 provides a fully automated algorithmic trading package specifically orientated for arbing highly correlated FX pairs. For more information check www.fxalgotrader.com
Comments
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good
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i like your system it looks pretty cool, have you thought about incorporating level 2 data so you can be slightly less hedged ie 0.15 to 0.10 if level 2 indicates momentum for the 0.15 order with a 60 to 40 win ratio if you program it correct
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@clearsunnysky Depends on the strength of the trend in the synthetic pair (created by the arb) if the spread is moving up strongly and you entered at -2 why not ride it out to +2. If the spread is stationary it's probably better to exit at the mean. There is a scenario called stochastic resonance where the spread will oscillate around the mean in a tight band when reversion takes place. So on that basis exit at mean reversion makes sense on a general basis.
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Hi, the current arbitrage engine exits under the following conditions:- 1) If overall arb position is profitable and spread mean reversion is complete ie spread has recoupled with it's 20 day MA. 2) Position has reached maximum allowable loss described as a % of equity You could extend your profits by letting the spread move further over the spread MA - it's called 'resonance' - typically the spread will oscillate around the mean once it returns thereby allowing you to push more profit
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Hi there, I'm trying stat arb with a manual calculation on excell currently and wanted to know when you typically exit your trades - if you get in at -2 e.g. would you exit at the mean or continue until SD hits +1 or +2?