Statistical Arbitration

This is a discussion on Statistical Arbitration within the Trading Journals forums, part of the Reception category; Hi Bramble, I do not use stops at the moment. So far I am up 8%....today is my first open ...

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Old Jun 21, 2012, 10:46am   #22
Joined May 2012
Re: Statistical Arbitration

xoden started this thread Hi Bramble,

I do not use stops at the moment. So far I am up 8%....today is my first open drawdown experience.

Yesterday I fluctuated back and forth between positive and negative territory. My experience so far is I have seen prices go negative and positive very fast.

Last night prices went negative and so far still in negative.....given that I have some % cushion gains and the system is 85% into positive gains and average hold time of 10 - 13 days, I am going to hold on to wait out the signals.

That said, I've been taking the recommended lot sizes provided by the indicator I'm using.

Here's a response I got from McLean on risk settings:

"The risk setting generates a lot size that will withstand a 10% shift in price befor you reach your risk setting's drawdown. In EURUSD terms that is a 1270 pip move, but this rarely, if ever, happens before an exit is signalled. WE only track arb pairs with greater than a 80% win rate and of those over 85% have a 100% win rate."
[6/20/2012 5:21:16 PM] McLean:



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Originally Posted by TheBramble View Post
Well done.

What sort of stop size are you using?

Last edited by xoden; Jun 21, 2012 at 11:08am.
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Old Jun 21, 2012, 10:52am   #23
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Re: Statistical Arbitration

xoden started this thread By the way, the trading system I am using just so everyone knows was created by a professional trader. His name is McLean Van Cleve. There is a small group of traders using the same technique on Donnaforex at the link below..

StatArb Pro
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Old Jun 21, 2012, 10:53am   #24
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Re: Statistical Arbitration

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Originally Posted by DionysusToast View Post
look - can someone please laugh @ my statistical arbitration joke.

Was it not funny or just too intellectual?
aawwww.....sorry missed it
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Old Jun 21, 2012, 10:56am   #25
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Re: Statistical Arbitration

Quote:
Originally Posted by xoden View Post
Hi Bramble,

I do not use stops at the moment. So far I am up 8%....today is my first open drawdown experience.

Yesterday I fluctuated back and forth between positive and negative territory. My experience so far is I have seen prices go negative and positive very fast.

Last night prices went negative and so far still in negative.....given that I have some % cushion gains and the system is 85% into positive gains and average hold time of 10 - 13 days, I am going to hold on to wait out the signals.
sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N
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i've been developing forex strengthmeters now for over 13 years - if you have questions or want to discuss Vendor products ask me for help ! What is a Forex Strengthmeter ? http://www.trade2win.com/boards/fore...rs-basics.html The FXCorrelator - All my Indicators & simple systems http://www.trade2win.com/boards/fore...ml#post2197030FXCorrelator.com is being updated .....so watch this space
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Old Jun 21, 2012, 11:02am   #26
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Re: Statistical Arbitration

xoden started this thread

Too intellectual

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aawwww.....sorry missed it
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Old Jun 21, 2012, 11:12am   #27
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Re: Statistical Arbitration

xoden started this thread Thanks NVP...I did use Trader101 Basket trades a while back...got flamed and went up in smoke. Him and another fella were really secretive about that and everyone thought they found the magic formula, so talk of it withered unless you were smart enough to figure it out....and I'm certainly not that person

I did visit Hopwood's site....too many EA's to select, I wouldn't know where to begin to be honest.



Quote:
Originally Posted by NVP View Post
sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N
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Old Jun 21, 2012, 11:15am   #28
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Re: Statistical Arbitration

xoden started this thread I did purchase quite a bit of FerruFX's indies a while back including heart of forex and another multi time frame indie.....they were ok and acted more like heat maps....I think he sold his company to some other vendor and then my news link to the indie quit working........in any case....

Not really interested in basket trading anymore....per the Trader 101 links....great concept the way they find trades using the open positions as an indicator though...

Quote:
Originally Posted by NVP View Post
sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N
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