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brief introduction:
This strategy adopts a dual currency price difference to expand and narrow profits, and entry coordination includesRSIThe combination of extreme value and high success rate, using the idea of layered liquidation and exit, generates a large number of profitable orders every day and will not be trapped. Whether it's brushing orders or earning price differentials, it's a great choice. The most popular, safe, and stable profit method in today's trading world is hedging arbitrage. Based on the R&D philosophy of minimizing risk control and maximizing profits, it abandons the traditional idea of overnight wealth, allowing investors to obtain long-term stable returns while ensuring safety.
EAThe only drawback is that there will always be a slight loss, not very attractive, and may not be suitable for those who have a habit of cleanliness. Those who truly want to make money should focus on net worth rather than whether there is a floating loss on the balance.
We have designed a dual currency arbitrage model based on the inherent linkage of currencies:GBPUSD&GBPCHF arbitrage model .because GBPUSD&GBPCHFThe correlation coefficient of is95.86% Most of the time, their trend tends to be consistent.
As shown in the following figure:
The essence of our price difference regression arbitrage is to summarize the laws of historical prices and form a combination, such as:USDJPY&CHFJPY
Below:
Multiple currenciesAemptyB perhaps manyBemptyA Historical maximum and minimum values Then obtain the mean, and when the price difference deviates significantly from the mean, there is a demand to return to the mean.
(1)If the price difference is greater than the average at this point, we will short this combination.
(2)If the price difference is less than the average at this point, we will go long on this combination.
When the price difference returns to the mean, these regression points are the overall return of our portfolio.
The higher the frequency of mean regression, the more trading opportunities there are. Entering the market far from the mean and returning to the mean, the greater the points of return. When the market changes and the price difference no longer returns to the mean, we need to stop losing or abandon this model.
From the mean chart above, it can be seen that although the frequency of mean regression is high, the amplitude of regression is not significant and cannot achieve profitability. So although these two currency pairs have strong correlation, this model is not suitable for arbitrage
We can see that these five combinations have roughly the same trend.
WhenGBPUSD&GBPCHFRegression mean, orUSDJPY&CHFJPYRegression mean,NZDUSD&AUDUSDRegression mean,EURUSD&NZDUSDRegression mean,EURUSD&AUDUSDReturn to the mean, you can make a profit! This increases the frequency of mean regression and also increases returns.
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