The best way to use simulation data as to create your own data in an abitrage formation that way you account for all possible outcomes. The problem with using real or large data you might be moving in cycles if you are not awere they may look different but in reality they are the same. What iam trying to say using data as a sample of simulation you may end up getting not all possible outcomes of which is a walk forward method .
Sir, In pair trading correlated currency pairs(say AUD/USD & NZD/USD) do you compare RSI value & sell overpriced pair & buy the weaker? OR do you compare CCI of each pair? Do you suggest using correlated cross currencies as pair trades(eg EUR/JPY & GBP/JPY)? On 4H chart sum up RSI 3, RSI 7,RSI 14, & compare added value on each pair & go. Thank you.
Do you have an error during finding expectated inter-traded interval? I found that it depends on AR(1) process constant, but it is not figurated in the equation at 22:22 when we start at zero position(U=0). The official article says that Fredholm second kind integral solution does not depends on theta when intiializating at zero position, but, according to the table 2, we have different intra trading intervals for different theta (-0.5 and 0.5 exactly). Can you clearly explain about this point? The article named as "Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique".
you all prolly dont give a damn but does anybody know of a trick to log back into an Instagram account..? I was dumb forgot my login password. I would appreciate any assistance you can give me.
i found that as well , us 30 with us500 can diverge for a long time and the draw down large , es and nq worse . There are better index pairs such as stoxx with de40
@@33xerof This is where calculating the HalfLife comes into play. Cointegration > Correlation for the most part, imo. Not to diminish Correlation but the Cointegration factor plays a huge role in pairs moreso than the Correlation. Both are important.
This strategy is most ideal for market-neutral; you might incur long drawdown duration, and so pairs trading might not be the best strategy in that situation. Probably would want to look towards a more momentum based strategy.
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The best way to use simulation data as to create your own data in an abitrage formation that way you account for all possible outcomes.
The problem with using real or large data you might be moving in cycles if you are not awere they may look different but in reality they are the same.
What iam trying to say using data as a sample of simulation you may end up getting not all possible outcomes of which is a walk forward method .
Great video guys keep up the good work! Thanks
Can someone tell me why the simulation is necessary here? Since we can get real data from yfinance?
Excellent video guys 👊👊
Sir, In pair trading correlated currency pairs(say AUD/USD & NZD/USD) do you compare RSI value & sell overpriced pair & buy the weaker? OR do you compare CCI of each pair? Do you suggest using correlated cross currencies as pair trades(eg EUR/JPY & GBP/JPY)? On 4H chart sum up RSI 3, RSI 7,RSI 14, & compare added value on each pair & go. Thank you.
Do you have an error during finding expectated inter-traded interval? I found that it depends on AR(1) process constant, but it is not figurated in the equation at 22:22 when we start at zero position(U=0). The official article says that Fredholm second kind integral solution does not depends on theta when intiializating at zero position, but, according to the table 2, we have different intra trading intervals for different theta (-0.5 and 0.5 exactly). Can you clearly explain about this point? The article named as "Finding the Optimal Pre-Set Boundaries for Pairs Trading Strategy Based on Cointegration Technique".
Thanks. Very clear explanation.
This is fucking great. Not sure if it works practically but was able to understand the ground concepts right
you all prolly dont give a damn but does anybody know of a trick to log back into an Instagram account..?
I was dumb forgot my login password. I would appreciate any assistance you can give me.
Whats the difference between using the spread a - b or the ratio a/b when looking for stationarity and cointegration?
A-B = used to calculate the volatility spread.
A/B = used to calculate the price spread.
here for cqf exam, thanks
pair trading has a big lose the money on one way moving market ? for example es nq futures
i found that as well , us 30 with us500 can diverge for a long time and the draw down large , es and nq worse . There are better index pairs such as stoxx with de40
@@33xerof This is where calculating the HalfLife comes into play. Cointegration > Correlation for the most part, imo. Not to diminish Correlation but the Cointegration factor plays a huge role in pairs moreso than the Correlation. Both are important.
This strategy is most ideal for market-neutral; you might incur long drawdown duration, and so pairs trading might not be the best strategy in that situation. Probably would want to look towards a more momentum based strategy.