Simple High Profit low Drawdown Triangular Arbitrage
I shall always upgrade this POST #1 together with the latest information.
So in the event that you don't wish to read all the articles then just read this one.
I shall also keep the EAs up so far here.
The remaining posts are interesting and that I really like flame wars
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Very basic summary
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1) Buy 1 unit GBPJPY
2) Sell 1 unit GBPUSD
3) Sell?? Units utilizing the USD in point (2) in USDJPY to balance out everything
Buy low and sell high.
Rinse and repeat.
Can this work or what is the drawbacks with this thought?
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Detail
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OK I am still new in this, however, have to say triangular arbitrage appears interesting.
I created an EA to trade GBPUSB, GBPJPY and USDJPY
Basically
1) Buy 1 unit GBPJPY
2) Sell 1 unit GBPUSD
3) Sell?? Units utilizing the USD in point (2) in USDJPY to balance out everything
This basically ZEROs your position with no spread, commission and also swap.
Only hold on to the until in profit.
It will oscillate around the ZERO point.
Once I make profit I swap the aforementioned 123 points to Sell, Buy, Buy.
My entrance can be random and then go from there, but since I started I changed it so I compute what the low and high is and use those calculations as entrance points.
Now occasionally you do inadvertently get in at just the wrong time.
Basically buying at the maximum point and it never gets back to that point.
In two years time I found it about 9 times.
You may see these in the load spikes at the bottom of the chart.
This problem is solved with a minor grid.
Basically once you unluckily buy at the maximum point then you will be stuck, but no worries, since it can only fall so much before returning, but never past that point again so just wait a little and let it fall and after it dropped enough then Buy again exactly the exact same quantity and leave it for a guaranteed profit a little more than half way back so just wait a little.
Now like I stated My speciality is both maths and programming, but I am new to the Currency Market market.
The demonstration EA I wrote I hurried from 2015-06-23 until 2017-06-16.
I started with $1000 and finished with $2,725,839.38
Maximum drawdown in this time was 25% of the account.
I did have a safety ch in the system to prevent losses from moving beyond 25% that was hit two times during the two year run, which doesn't affect the EA seeing it will adapt itself to the next balance as required.
The reason behind the 25% drawdown spikes was weekend gaps on the Monday.
I tried preventing Friday trades that caused the maximum drawdown to drop to 15 percent, but the ending profit also fell to approximately $1,800,000.00
What things to note was that I was maxing out my Metatrader 5 back evaluation lot size at 99 lots after the 1 year mark at roughly 2016-06-28 and from there it ceased growing exponentially and started a slower sequential expansion.
In the live environment you'll be able to divide your account into several accounts before it reaches the limit for even more profit.
The 25% drawdown hits will likely also increase if you can keep the exponential increase growing from two hits to approximately 4 hits, maybe 5 at most, but the EA is designed for it and can manage about 20 times 25% hist before starting to demonstrate a loss, since the expansion rate is roughly 100% every 2 months and at worst it hit the 25% drawdown 2 times in 1 year. .
I do not have funds to test this live, but demonstration testing appear quite great.
Any information will be good.
I found this to become profitable using a starting capitol of only $100, but at this price all 3 pairs will begin at the exact same 0.01 lots, which can be a bit off in equilibrium viewing the USDJPY can not be the same as the other, but after it breaks the $1000 profit markers it works great and the $10,000 mark is just rocket fuel because of it.
Ignore the up spikes in the charts.
The EA is advised to begin promoting the highest profitable once .
What matters to me is your equity and how much it falls after opening a three pair group.
The two pair 25% drawdown occurred in the beginning of the chart and consequently is almost undetectable compared to the profit of the rest of the chart.
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RULE UPDATE: 2017-09-23
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Okay this is a MAJOR upgrade.
Rules altered a little.
Still triangular on the 3 symbols.
But.
I now calculate what the average profit would be if I did a BUY, SELL, SELL and also SELL,BUY,BUY.
This provides me two lines.
Call the greater line that the ASK line and the lower line the BUY line.
Between the 2 lines is the ordinary line calculated within some time, which if mostly a straight line since the buy and sell lines basically cancels out each other out there.
Now from time to time you will notice that the ASK lineup cross the typical line and this is the time you have to open a Buy(Sell, Buy, Buy) to profit from the inevitable upward movement.
Close the open buy once the SELL line cross the typical line.
Do the reverse for opening a sell(Buy,Sell,Sell).
Yet another thing is that I do not only open as it crosses the middle average line, but I only open once it crosses the ordinary line for a while before opening.
Okay there is a lot more tests and stuff that I set in the EA, but that is the basics.
I tested this on MyFxchoice with a leverage of 1:200 so attempt to keep to those configurations.
I could work on other configurations and that I did attempt to build in brains to accommodate other brokers, but I had limited time and it might not work properly.
Backtest to be sure it works properly prior to a forward evaluation.
DO NOT USE ON LIVE ACCOUNT.
Other things in the EA are:
1) Do not trade weekend gaps for your Monday slippage can be big.
2) Do not trade between midnight and two am for exactly the same reason as (1).
3) Move all display and log coding following the system calculations to boost trade calculation functionality.
4) Use only 50% of ac
count for trading, which merely signify that 50% of the account must be converted into used margin.
Draw-down is roughly 5% then, but I can not raise it for fear of getting a margin call.
20% might be much better, but I shall try it one day.
5) Check for failed transactions and kill them to begin over.
6) Check for inactive and weekend markets to reduce system failure.
7) Check commission utilizing single 0.01 lot trade.
8) Massive amounts of logs and chart code to display what is occuring.
This utilizes a lot of memory so that I must probably move it into a different EA for display reasons only seeing it is not required to perform trading with, but seems fine and you can see why the EA does exactly what it does.
Then there can be one EA to perform trading with and yet another display EA that you can load somewhere else to demonstrate the workings, without the display EA affecting the trade processing.
Issues:
1) Slippage and trade delays.
I am getting close to 500 milliseconds delay opening 3 transactions for the 3 symbols at a time.
This can cause some major slippage, especially on the 3rd trade, but fortunately I still make profit most trades viewing the EA does er for some slippage.
I'm still looking for ways to decrease the time delay, but it appear to be a limitation on how metatrader works.
1.1) I might be able to enhance the trade speed with 4 metatrader terminals and I've created progr to permit EAs communie together with the outside world within less than one millisecond, but there is still a delay of approximately 300 milliseconds for a single trade to start.
On the bright side I've now developed a driver that can join an EA to whatever else from other EAs to other terminals or outside progr such as coffee and even to other PCs in other countries or any device for that matter or even making a metatrader EA use things such as the FIX api.
The possibilities are big with this driver.
1.2) Delayed trade starts appear to be caused by the terminal logging out if there's absolutely no trade action for some time and when a new trade is needed then the terminal for need to take some time to log back in before the trade can be opened or closed.
I could not find a way to reduce logout, EXCEPT by sending dummy trades or impossible pending transactions or trade modifiions each 20 to 30 seconds.
Problem for this could be that broker will not enjoy receiving so many trade signs.
1.3) FIX API.
I have been playing with FIX api and it might be a solution to this trade delay, however I want to test it first and.... Well... time isn't on my side
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RUNNING THE EA
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Don't operate on account.
Only attach the EA into some chart.... That's it
More information.
The EA was designed to operate with symbols GBPUSD, GBPJPY, USDJPY
The same as it's case sensitive.
If these symbols isn't in your market view or trade able then it will not work, UNLESS...
You'll find two or three parameters at the EA you can set.
Mostly the trade symbols.
Remember the EA is only made for GBPUSD, GBPJPY, USDJPY
BUT if your broker Includes symbols Such as GBPUSD#Cellular ex. . You may use the parameters to alter the EA to use your broker's symbols.
Remember it is case sensitive and therefore if your broker lists GBPUSD#Cellular and you place in GBPUSD#E then the EA will not do the job.
To observe the chart drawn by the EA I propose making the chart window backdrop BLACK and zoom the chart out by dragging down on the ideal hand perpendicular price bar till u can view all the lines the EA draws on the chart.
I will suggest making everything black as the chart price gives no helpful info.
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