Statistical Arbitrage - Correlation

[Deleted] 2007.01.25 07:44

Working on a new EA with Neural possibilities to do with Statistical arbitrage, the correlation of different currency pairs and methods to exploit these.
I have the outline, so if you wish to brainstorm, I would be interested if you have done some work with it already.
Giddyup

[Deleted] 2007.06.03 21:00 #1

Yes I am interested in writing an EA to do Statistical arbitrage, maybe use some filtering method.

Bogdan Caramalac 2007.06.04 05:36 #2

I did some work on the field, but without success...

usdjpy 2007.06.04 08:52 #3

See also: EA Arbitrage and russian topic

Bogdan Caramalac 2007.06.04 09:46 #4

That big drawdown on that chart is almost 70% of account equity...this can't be called stat arb...

usdjpy 2007.06.04 10:34 #5

TheEconomist:
That big drawdown on that chart is almost 70% of account equity...this can't be called stat arb...

If single chart. This EA for multitrading. But tester MT4 support single chart only.

Vitali 2007.06.07 07:28 #6

TheEconomist is right. EA Arbitrage and russian topic have nothing common with "statistical arbitrage, the correlation of different currency pairs and methods to exploit these". Do not waste your time on this. It's just a drawdown "sitter" which manipulate with own trade history. Guys advocating that multicurrency using of such EA will save the deal.

Cyclical patterns in the Taking Neural Networks to Neural Networks

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