fschmitzsc

High frequency FX Scalping based on Volatility Arbitrage

FX:EURUSD   Euro Fx/U.S. Dollar
Enter trade when vol             appears outside of 2 std deviations of the difference in last consecutive minute bars for a period of n minuts.
exit trade near the middle boll band.
LudmilaHanania
2 years ago
Nice work. What do use as a stop for that kind of fast trades. And what is the VolArb? thanks
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fschmitzsc LudmilaHanania
2 years ago
I'm still working out the details, but I'm setting the stop to be the number of pips given in the blue line . The normalizer is to adjust the price decimal place, so eur/usd would use 10,000 as normalizer, usd/jpy would use 100. Equities would use 100. This is based on mathematical concept called mean reverting and that statically Volatility mean reverts over time. Mean-Reverting Stochastic Volatility (2000, Jean-Pierre Fouque , George Papanicolaou)
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fschmitzsc fschmitzsc
2 years ago
http://pages.stern.nyu.edu/~rengle/vol_paper_30jan01.PDF
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LudmilaHanania fschmitzsc
2 years ago
Thanks , what normalizer to use for crude oil , gold and platinum?will it be 100 or 1000?
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fschmitzsc LudmilaHanania
2 years ago
crude oil , and precious metals can be traded via ETF, by CME Futures, or via a Currency Pair , such as XAU/USD.
So depends on the specification of the instrument:
for example if you was using hotspot to trade gold via XAU/USD pair: http://www.hotspotfx.com/products/currency.jsp, such as here XAU/USD listed the pip to be in the 2 decimal place, so the normalizer would be 10^2 = 100.
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pedrodemiranda
a year ago
Seems like a great idea to me. This indicator is available for Metatrader?
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