Yes, because the GU price is 1.62203 I know that you are on a 5 digit account, so the 0/[B]234[/B] /1.62203 is in pippetes, so you need to divide 234/10 to get pips, that is 23.4 pips 
good work!
-180 pips oh my god! 
Heeeeeelp!
Your not walking alone!
[/IMG]
whats that arb-o-mat you have?
This is from forexfactory thread
yeah, you are not alone! hehehehe, just remember that it could go more in loss before revert (eu/gu). I registered -269 on a 4 months timeframe.
Right now Iām out of eu/gu and ej/gj. I realized some profits from the two. But Iām in on AU/NU, AJ/NJ, ACHF/NCHF and CADJ/AJ. The first 3 are with pretty bad loss hehehehe, but because the position is very small, all loss is only a fraction of the account.
Hi, finally I read the entire thread and I make some successful trades:D I noticed that the graphs in the 1 min tf they change a lot and in 5 min tf they are more stable.
What period are u trading actually?
Regards
Iām trading 1m.
Two questionsā¦
U are locking the charts at the middle?
If yes, you lock them at any arbitrary point or only when both pairs are in hight correlation moment
I hope, i can exit next week. I am 7 days in.
the answers are yes, and yes. Iām locking in the midle and at an arbitrary point.
I explained my mathod of locking on the thread, and uploaded a youtube video explaining how I do that
How to center & lock screen for Keltonās Statarb method - YouTube
Comparison between EU-GU with differing betas. All three pictures below come from the same 1H recent chart. Same pairs, different looking spread curves.
The first picture shows an equal weighted EU-GU for comparison purposes. Note the spread in the bottom window with 1,2,3 standard deviation bands and mean in red.
The second picture shows EU * 1.2 - GU so a heavier weight on EU.
Thes last picture is of the spread (indicator window) with EU-GU*1.5 so an overweight on GU.
Iām trying to understand the concept of cointegration. I think that is the right way to continue with stat arb.
On this page (in Spanish) you can see the four different ways to see a series. The cointegrated series looks like ānoiseā around an horizontal line.
I suppose that with cointegration one can set up an hybrid symbol that oscillates around an horizontal line with a calculated variance, that is different from the correlation aproach that can diverge a lot for some time.
Once that one have that hybrid symbol trading is easier than bread and butter, but the difficult part is to find a combination of symbols that form a near perfect cointegrated new hybrid symbol, that seems like noise around that horizontal line.
Iām thinking about how to get the right combination of symbols to reach the objective. If someone has more information that is more āhumanā hehehe please tell me to see if I can learn more about cointegration.
In this thread is something about cointegration, but Iām still unable to understand it well enough to use it.
Medisoft, Iāll share a few thoughts with you on cointegration to help you get started because there may not be too many on this forum who know about it. What is it? A mathematical model for finding long term co-movement among time series and it is based on regression. Note the emphasis on long-term. Strategies developed with cointegration will tend to have longer holding periods than strategies developed using correlation / empirical stat arb.
On this page (in Spanish) you can see the four different ways to see a series. The cointegrated series looks like ānoiseā around an horizontal line.
At the bottom of that link are two articles by Carol Alexander. You should see if you can make it through those. She is one of the best authors on the subject for non-math practitioners and tends to explain things quite clearly (her textbooks are great too). Once you have a basic understanding of the theory then you can move on to some application.
I suppose that with cointegration one can set up an hybrid symbol that oscillates around an horizontal line with a calculated variance, that is different from the correlation aproach that can diverge a lot for some time.
Once that one have that hybrid symbol trading is easier than bread and butter, but the difficult part is to find a combination of symbols that form a near perfect cointegrated new hybrid symbol, that seems like noise around that horizontal line.
Cointegration is a model, not a panacea. These models can fall apart, particularly if you donāt create them in the right way. (See Old Dogās link below.)
If you want to get some hands on experience with applied cointegration, I suggest you read through System to hedge every major dollar pair for profit / low DD and follow the instructions for setting up Arbomat with MT4 so you can follow along. The main thread (Synthetic Hedges, Cointegrationā¦) is also a very good read with a lot of great contributions. The "System to Hedgeā¦ " thread kinda goes off the tracks at the end but is fairly good for beginning.
Once you have a working understanding of the concept with Arbomat and can see it in action, read Old Dogās Taming of the Beast? thread to see how to implement it without fooling yourself. Long story short, you want uncorrelated pairs to get a valid cointegration. Note the interesting debate in this thread between Old Dog and 7Bit. Side with Old Dog in that debate and your models will have a better chance to not fall apart.
Iām thinking about how to get the right combination of symbols to reach the objective. If someone has more information that is more āhumanā hehehe please tell me to see if I can learn more about cointegration.
In this thread is something about cointegration, but Iām still unable to understand it well enough to use it.
Hope that gets you started!
Hi guys,
very interesting thread, thanks for sharing all this information.
I traded Stat Arbs for about 1 year now.
I came to this after reading a thread on Donnaforex Forum.
There is a product (a semi automated EA) for trading this.
If you want to learn more, please search for āFX Algotraderā and āSTAT ARB V.2.5ā.
Once you have the arb open, this EA will do the work for you.
But what I experienced when using this EA is, the problem is to find the right opportunity for arbing and the correct entry point.
Because the EA uses Trigger levels to open arbs automatically. The trigger leves are just like bollinger bands around the spread.
One price hit either the upper or lower trigger, the EA will open the arb.
But where to put these levels? The vendor suggested to look at the left of the chart on D1 timeframe and set the distance of the trigger levels by following the recent spread volatility.
Btw, when we talk about spread, we mean the spread between the two arb legs (the two pairs involved). The spread of each single pair on the other hand forms the so called spread cost channel.
So thanks again for sharing your ideas, this will help in improving my arb trading skills I think.
If you have any questions about the EA from Fxalgotrader, maybe I can give more information about how this works.
Cheers and good trading.
Shark
A topic that seems to keep resurfacing is the EG vs EU-GU debate. Earlier in the thread I mentioned my opinion and stated that I would follow up with a chart comparison to put this debate to bed. Far from being definitive, this post is simply a pictorial description of EG vs EU-GU for future reference.
Some say EG = EU-EG. Some say EG is not equal to EU-GU. I will leave the editorializing to others and simply provide two pictures that show how they appear on the chart, then describe how they are similar and how they are different. The chart is EG 1 hour in green with an overlaid DodgerBlue EU-GU plot fixed at the starting point of the chart. The data shown is 7/28/2010 - 9/7/2010. The dates were selected because it shows the point on the chart where the green and DodgerBlue are identical. I kept the scaling identical on the two charts to show exactly the difference.
The first chart shows EG with overlaid EU1.0-GU1.0 on the same scale. This is what you would get if you compare EG to EU-GU side by side.
The second chart shows EG with overlaid EU0.6-GU0.6.
While the EG - (EU-GU)0.6 overlay is not a perfect match to EG, it bears a striking resemblance. But there are minute differences in chart formation that may be difficult to pick up on these smaller forum pictures. Not every peak on EG is mirrored exactly by peaks in (EU-GU).6, however it is worth noting that the chart formations are very close. It is expected that the charts would be similar because EG = EU/GU. However as any mathematician will say, dividing and subtracting are not the same thing. When you subtract EU-GU the USD portions donāt cancel out completely, leaving slight differences in chart formation. Iāll let the reader decide if those slight differences in chart formation are important or not.
The thing that is most notable about the first chart is the volatility of EU-GU compared to EG. The volatility of EU-GU is much greater as shown in the scaling shift in the first chart than the underlying EG volatility. What are the implications of the difference in EG vs EU-GU volatility? Iāll leave that for others to say.
How big was the difference in volatility shown the first picture? The range of EU-GU shown was about 400 pips. The range of EG shown was 273 pips. This makes EU-GU in this period 46.5% more volatile than EG.
It is worth noting as a post script that even the EG vs EU0.6 - GU.06 shows some significant and extended divergence at some points during the chart (not shown). The 0.6 beta is not a perfect weight over the entire data series. Using different weights will either increase or decrease the volatility difference between EG and EU-GU.
Hey I am very interested in getting this to work, I spent 2 hours trying to figure it outā¦ can you help me install it and get it all working?
Do you have skype or something so we can chat?
Thanks,
Dustin
No time to act as tech support and this is probably the wrong forum for it. But the most common errors in setting up Arbomat are in not editing the file to include your R path (read instructions in the arbomat.mq4 file). Also a note, the file structure requires you to use dividers like / rather than . So you would need to replace the back slashes \ with forward slashes. For instance: (customize this for your file structure)
#define RPATH āC:/Program Files/R/R-2.14.0/bin/x64/Rterm.exe --no-saveā
The other common error is in not putting the files in the right location. The EA goes under experts, the .mqh file(s) go under experts\include.
If you are having difficulty with Win7/vista hiding your MT4 files you might try copying the whole MT4 directory to a new directory that you own, and running it from there. And if all else fails, read the instructions and then the forums where others are helped through their install problems. HTH!
Thanks for the reply! will give it a shot!