Simple High Profit low Drawdown Triangular Arbitrage
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Thread: Simple High Profit low Drawdown Triangular Arbitrage

  1. #1
    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

    Very basic summary
    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?

    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

    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.

    ************************************************** *****************************
    RULE UPDATE: 2017-09-23
    ************************************************** *****************************
    Okay this is a MAJOR upgrade.

    Rules altered a little.
    Still triangular on the 3 symbols.

    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.


    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.

    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

    ************************************************** *****************************
    ************************************************** *****************************
    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.

  2. #2
    Quote Originally Posted by ;
    quote thanks, now you give me the ideal call you offical a lousy character. Ofcourse you're not hear to provide heart attack or ruin me, you didn't try but only thing was laughing as you cannot possess at least a suitable argument and did begin with 100% untrue statement. Worst try babe, dumb is fair word to describe how you try to stand here and you cannot see it, makes you not smartest candle on the cake. But not significant, we dont speak here about how much you've got to know, thats your own part. I call me I am wrong by what I wrote...
    I had been looking into your other posts on other people continuously struggle to everybody, your tone is always aggresive and you're only willing to badmouth anyone dare to say what you dont like regardless of what the subject: you're incurable ill I suspect....

    God thanks I dont have such friends around are a ticking bomb mate, get help!

    Live a bit, remain optimist and constructive and dont hurry to fight!


    (please place me on ignore now)

  3. #3
    Quote Originally Posted by ;
    @everyone.... This forum was created to discuss my idea and also to expand and examine it....
    Well I believe you are doing a great job on research and testing, etc.. The work you are currently putting in on this is much more work than others put in on their whole trading approach.

    And even though this doesn't end up making millions on its own, you would probably learn a great deal about market inefficiency that might assist with gaining perfect entries on a more complete trading system.

    I wish you well on your discovery.

  4. #4
    Quote Originally Posted by ;
    quote I was looking into your other posts on other people continuously fight to everyone, your tone is constantly aggresive and you are just prepared to badmouth anyone dare to say what you dont like irrespective of whats the subject: you are incurable ill I suspect.... God thanks I dont have such friends around are a ticking bomb mate, get help! Live a little, stay optimist and constructive and rush to fight! cheers! (please put me on blow )
    okay, now I truly have to write again (sorry thread proprietor ), because now you have done something thats really show you like a poor ass, you start being a large heavy liar!! Until now you was a stupid man with low knowledge in trading, but now you start offense liar image.

    Show me one thing I wrote poor over somebody who didn't deserve it I didn't show by arguments why, and show in context, not one word and the lines why I wrote some thing?

    You are extrem this guy that which you call me. You attack mepersonally, show how unexperienced you are, be a major liar, call things wrong what are correct and hide this facts all the time,. . .its like your brain is burning and you dont understand exactly what you do.

    Do you not see that your writing without any arguments is just revealing, how stupid you are? A biting puppy, nothing longer.
    And why I must set you on ignore list, because you are mad, stupid, a major liar, or that which reality?

    Really, you came in this thread to attack and be a big asshole, and show everything that you are with no debate and articles. Why you really do yo? Whats your difficulty in trading or life that you have without arguments nothing and can only attack?

    Do exactly what you want, but its amusing to see you perish in your liar image. Red flag liar, not seen all days, regardless of you have red flag here, when you write just this bullshit each day.

    And to your very last part: you are no optimist, you are worst mad possible guy here in order to defend just his won bullshit (what was a large mistake and you cant hear everything you wrote was extrem wrong) and contructive you never was here. All was fine in the danger, there was so lots of help to show what will work in reality and what have to been done, because in reality there are different rules then in demo. And after that you run in and start your bullshit. No assistance from you, no debate, no benefit or disadvantage mentioned, just attacking for nothing and even with extrem incorrect statements. Thats you, also you can cry so often like you need, you cant hide this reality that you are just this little guy just like you show here. And ofcourse I will now start to speak about your buddies, that you dont look like somebody who has lots of people around who take this behaviour,.... But I am not on your degree, I take your mad style but dont take if you attack me with no debate! Bring disagreements and I will answer to all, or accept that you are not feasible to utilize a forum to discuss.

    Nothing else to say, or can you again be a liar and bring more wrong sentences? Sometimes dull always to fix your phrases, can you start to write just the facts and also with arguemnts, this could be something to speak about. And possibly start to invest in the danger, your only point was I was wrong, but there was then fix - thats not really a help to bring incorrect things and nothing more.

  5. #5
    92551why utilize 12 words when 800 words could do just fine...

  6. #6
    92551 @jvbJacques

    USD/JPY has a swap high. Could it be an issue for stretegy?

  7. #7
    92551wow lots of actions while I was gone... Not all great.

    Thank you for the help and I concur.
    I've already learnt a lot and learning.
    I have a lot of tools in my toolbox that can counteract all the slippage along with other issues that I have not yet tested and till I exhaust all choices I will last.
    Plus it is fun

    I basically ignore swam and take the strike, because exchange is such a small percentage of the losses.
    You can easily test it by opening a single trade and leaving it open in a back evaluation to get a year or so and you'll observe the swap hardly affects what profit you earn per trade.
    I see it as a minor cost of trading, except Wednesday monster exchange, but I dismiss it.
    The large cost being the spread and commission.

    Regrettably I eliminated the swap ignore part from EA 19.... oops.
    Nonetheless works, but I love to leave it from the calculations.
    Will probably put it back within another EA version.

    From your chart your trade should have opened and closed multiple times if there was no slippage.
    Dang slippage.
    Look out for the new EA in some.... Days or weeks....
    I analyzed a changeable unbalanced triangle with fantastic success, just have to complete its coding, which should manage slippage such as a boss and even large spreads and commissions.
    Nevertheless a lot of theory to test.

  8. #8
    92551 Jacques,

    I've got yesterday 3 sets of trades. 2 of these shut in profit.

    The 3rd one had about $5 floating profit in the day, did not close it the swap murdered this profit and overlooked lots of opportunities because of the open trades.

    Can you manage to have a look at the free Amazon AWS VPS?

  9. #9

    No Curious.
    I didn't have time to check at the amazon VPS however, but thanks for the suggestion.
    I will certainly look at it.

    I am also falling in love with JTrader and Dukascopy.
    Execution speed appears very nice and still better they've a free VPS for many of their accounts, possibly even demo accounts.
    The single VPS limit is that it need to just use about 50megs of memory, however in java anything you can
    Another good thing about that the VPS is it sounds like it is running directly in their trading server, meaning sub 1ms connection delay and it is multi-threaded, meaning no waiting for single transactions.
    Still need to test most of that.

  10. #10
    92551Hello @jvbJacques,

    I'm trying to set your EA in an MT5 demo account, but getting newError=4302 at expert advisor log occasion. Any idea?

    Excellent work by how!!

    ********************* SOLVED ****************

    I believe this is really a newby question, was thinking to delete it, but possibly could assist others!! This erros was due to all symbols was not inserted from the MarketWatch!! Simply put them all (gbpjpy, usdjpy, gbpusd), restarted mt5, and connected EA. Now it's working. Let us see how does it does on ICMarkets demo account from InterServer VPS.

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