StatArbPro EA

[statarbpro]

Again, no offence taken man.

So tell me then, if you were to model a basket on different time frames, given the distribution is stationary, let it be 10 years, 1 year, 1 month, or 1 day. That the basket would have no difference in weighting?

One last thing. This tells me that you've been on the MT4 to R project website. Good for you. It's a great starting point.

The fault in this assumption is that we're trading basket of pairs. 2 pairs is all the arb is. Positions are normalized for the currency pairs and deposit currency and calculated for a 10% fluctuation in price. No additional weights are necessary.

Augmented Dickey-Fuller Test
Dickey-Fuller = -2.8961, Lag order = 0, p-value = 0.1986
Dickey-Fuller = -1.528, Lag order = 0, p-value = 0.7664
Dickey-Fuller = -2.1896, Lag order = 0, p-value = 0.5002

1 year, 3 months, 1 month ADF test results on one of your algo picks

1 pick! Just the ADF test! Outstanding!

Now do that combined with additional ranking factors (of which the ADF is 1 of 10 of them), and add a 3 year backtest on every tick. Oh yeah, and do it on 1540 permutations simultaneously (or 7503 for our institutional clients).

What's happening here is you're entirely missing the point, but that's fine. I don't have the time, energy or patience to argue the point with you (or anyone else for that matter) on the merits of what makes this system so great. You have your opinions and that's wonderful. I genuinely wish you all of the success in your endeavors.

That said, I know how you feel. I was you one time. I was in college and I knew everything. I could regurgitate all of the things I read and form a staggering case for whatever I wanted. I can make a case against what I'm doing here as well if I wanted. You're getting there, but the entire basis of your argument is fundamentally flawed, and the inherent flaw (minus the misunderstanding of what is going on with the picking algo, thinking all it does is perform an ADF) is this:

What you think you know will work and what makes money over time are often two very different things. In fact, often they are completely counter-intuitive. A few successes does not make a trading system.

For the past 10, almost 11 years I've been doing this, I've just might have picked up a few things Experience is a wonderful teacher if you'll let it be.

That said, again... all the best to you and I wish you much success.

To everyone: I'm going to retire from the forum once again. 2.0 is on it's way out with a few caveats. I won't be back here a whole lot, but I'l be on my site/email for questions, etc. With 2.0 out, the EA is right around the corner.

[Kiwi Trader]

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

[macbook]

Hi statarbpro

Welcome back to the forum.
As I understand you use this system for months/years.
I would like to know if you can show us one Live statement that have more than 6 month history ?

Would be great

Thanks

Again, no offence taken man.

So tell me then, if you were to model a basket on different time frames, given the distribution is stationary, let it be 10 years, 1 year, 1 month, or 1 day. That the basket would have no difference in weighting?

One last thing. This tells me that you've been on the MT4 to R project website. Good for you. It's a great starting point.

The fault in this assumption is that we're trading basket of pairs. 2 pairs is all the arb is. Positions are normalized for the currency pairs and deposit currency and calculated for a 10% fluctuation in price. No additional weights are necessary.

Augmented Dickey-Fuller Test
Dickey-Fuller = -2.8961, Lag order = 0, p-value = 0.1986
Dickey-Fuller = -1.528, Lag order = 0, p-value = 0.7664
Dickey-Fuller = -2.1896, Lag order = 0, p-value = 0.5002

1 year, 3 months, 1 month ADF test results on one of your algo picks

1 pick! Just the ADF test! Outstanding!

Now do that combined with additional ranking factors (of which the ADF is 1 of 10 of them), and add a 3 year backtest on every tick. Oh yeah, and do it on 1540 permutations simultaneously (or 7503 for our institutional clients).

What's happening here is you're entirely missing the point, but that's fine. I don't have the time, energy or patience to argue the point with you (or anyone else for that matter) on the merits of what makes this system so great. You have your opinions and that's wonderful. I genuinely wish you all of the success in your endeavors.

That said, I know how you feel. I was you one time. I was in college and I knew everything. I could regurgitate all of the things I read and form a staggering case for whatever I wanted. I can make a case against what I'm doing here as well if I wanted. You're getting there, but the entire basis of your argument is fundamentally flawed, and the inherent flaw (minus the misunderstanding of what is going on with the picking algo, thinking all it does is perform an ADF) is this:

What you think you know will work and what makes money over time are often two very different things. In fact, often they are completely counter-intuitive. A few successes does not make a trading system.

For the past 10, almost 11 years I've been doing this, I've just might have picked up a few things Experience is a wonderful teacher if you'll let it be.

That said, again... all the best to you and I wish you much success.

To everyone: I'm going to retire from the forum once again. 2.0 is on it's way out with a few caveats. I won't be back here a whole lot, but I'l be on my site/email for questions, etc. With 2.0 out, the EA is right around the corner.

[docsuisse]

Advertisement

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

Sales are suspended now, it says, when clicking on the buy button. Just wanted to give it a try, so I have to continue reading what you guys are reporting :-)

[macbook]

Hi,

I have contacts in CH + Dukascopy and I will ask my contacts about Mclean.
Lets see what comes out ...

Cheers.

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

Sales are suspended now, it says, when clicking on the buy button. Just wanted to give it a try, so I have to continue reading what you guys are reporting :-)

[Kiwi Trader]

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

Sales are suspended now, it says, when clicking on the buy button. Just wanted to give it a try, so I have to continue reading what you guys are reporting :-)

I believe sales are suspended until SAP are happy with the latest 2.0 roll-out (existing users testing and reporting if any bugs etc).

[mactrading]

hi guys,

i would like to know coz i have several open positions since 18th of june with 3 pairs namely:1.) gbpsek paired to usdczk, 2) eurnzd paired to gbpchf, 3) eurgbp paired to nzdchf

i am not adding or closing anything since i know from the manual that trades could take some time, does some of you are still in these pairs? when to know if its time to close and move on, the extra great indicator provided by donna which of great help do i have to close a certain pair when it reaches my threshold of negative 2%?

i am not opening any trades just to feel or somewhat relate my demo to a real account, but with a 500usd micro demo account, how many pairs can i still open but would not compromise my fund or i just have to wait till my current pairs turn into the positive territory

also how to cherry pick form the list inorder to have the highest winning percentage as much as possible?

thank you

[XOden]

Sales are suspended in anticipation of the release of the new EA.  Also, the web page etc is being redesigned etc..

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

Sales are suspended now, it says, when clicking on the buy button. Just wanted to give it a try, so I have to continue reading what you guys are reporting :-)

I believe sales are suspended until SAP are happy with the latest 2.0 roll-out (existing users testing and reporting if any bugs etc).

[thadine]

hi guys,

i would like to know coz i have several open positions since 18th of june with 3 pairs namely:1.) gbpsek paired to usdczk, 2) eurnzd paired to gbpchf, 3) eurgbp paired to nzdchf

i am not adding or closing anything since i know from the manual that trades could take some time, does some of you are still in these pairs? when to know if its time to close and move on, the extra great indicator provided by donna which of great help do i have to close a certain pair when it reaches my threshold of negative 2%?

i am not opening any trades just to feel or somewhat relate my demo to a real account, but with a 500usd micro demo account, how many pairs can i still open but would not compromise my fund or i just have to wait till my current pairs turn into the positive territory

also how to cherry pick form the list inorder to have the highest winning percentage as much as possible?

thank you

I still have the two eu pairs open since I haven't hit the 2% loss yet. Like you, I'm not sure how long I should leave them open, because it has been around 3 weeks now. If I recall, McClean said the average trade lasted 2 weeks, so obviously some trades will go longer than that.

[vittel]

I too have eur opening position with some DD.and im continually adding new pairs.
im trading with really money, not worried. still million miles away from stoploss.

[3827]

I am looking forward for the new release with great performance in real trade.

 

Sales are suspended in anticipation of the release of the new EA.  Also, the web page etc is being redesigned etc..

Version 2.0 looks good, all loaded and working well!   

Cheers
Mark

Sales are suspended now, it says, when clicking on the buy button. Just wanted to give it a try, so I have to continue reading what you guys are reporting :-)

I believe sales are suspended until SAP are happy with the latest 2.0 roll-out (existing users testing and reporting if any bugs etc).

[statarbpro]

Hi,

I have contacts in CH + Dukascopy and I will ask my contacts about Mclean.
Lets see what comes out ...

Cheers.

I'll be with all of them at the GFE on the 19th Inquire away!

[statarbpro]

Also, there are questions posted here that I'll get to soon. I'm about to hop on a plane and get out of here for the weekend. I'm finishing up the documentation I've promised current clients on the flight and then I'll get to the questions on public forums again.

[3827]

Can we backtest and optimize your new EA?

 

Also, there are questions posted here that I'll get to soon. I'm about to hop on a plane and get out of here for the weekend. I'm finishing up the documentation I've promised current clients on the flight and then I'll get to the questions on public forums again.

[brusch]

Happy that mi idea of numbering the trades has been taken in consideration in the new version.
Now, when we will talk about an individual arb, it will be very easy to refer to it unambigously between us!

My next idea: plse extend the waranty period for one more month.
We have been in a quite special period and it is really difficult to verify profatibility.
The risk is great that too many of us will leave because of too little evidence to decide,imo.

Have a good time!