You have the platform so try accessing Kinetick free EOD and see. The blurb says forex so you may get lucky. You will not see intraday unless you have the data feed, either paid or free from your broker and compatible with NT.
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pair trading and charts overlay
- Thread starter shortbleu
- Start date
You have the platform so try accessing Kinetick free EOD and see. The blurb says forex so you may get lucky. You will not see intraday unless you have the data feed, either paid or free from your broker and compatible with NT.
Hi Justrading,
After some google searches, it seems Ninjatrader allows spot fx also (not just currency futures).
However in the link you sent:
http://www.ninjatrader.com/support/forum/showthread.php?t=48790
I understand the NT user wanted to plot 5 futures in the same chart and the NT representative said it could be done but on 3 different scales, ie not on the same scale.
I need to be sure a graph overlay can be done on the same scale (in the same way as in the CMC Markets screen I sent earlier). Can someone tell if it's possible? Because there's not point for me to re-download NT, subscribe for a free feed and spend many hours to re-install the whole thing if at the end of the day it can't be done.
I am not lazy but before I ask the NT guys to resend me my password, do the software install etc, I need to be sure the overlay can be done.
After some google searches, it seems Ninjatrader allows spot fx also (not just currency futures).
However in the link you sent:
http://www.ninjatrader.com/support/forum/showthread.php?t=48790
I understand the NT user wanted to plot 5 futures in the same chart and the NT representative said it could be done but on 3 different scales, ie not on the same scale.
I need to be sure a graph overlay can be done on the same scale (in the same way as in the CMC Markets screen I sent earlier). Can someone tell if it's possible? Because there's not point for me to re-download NT, subscribe for a free feed and spend many hours to re-install the whole thing if at the end of the day it can't be done.
I am not lazy but before I ask the NT guys to resend me my password, do the software install etc, I need to be sure the overlay can be done.
Quote from shortbleu:
Hi Justrading,
After some google searches, it seems Ninjatrader allows spot fx also (not just currency futures).
However in the link you sent:
http://www.ninjatrader.com/support/forum/showthread.php?t=48790
I understand the NT user wanted to plot 5 futures in the same chart and the NT representative said it could be done but on 3 different scales, ie not on the same scale.
I need to be sure a graph overlay can be done on the same scale (in the same way as in the CMC Markets screen I sent earlier). Can someone tell if it's possible? Because there's not point for me to re-download NT, subscribe for a free feed and spend many hours to re-install the whole thing if at the end of the day it can't be done.
I am not lazy but before I ask the NT guys to resend me my password, do the software install etc, I need to be sure the overlay can be done.
If no NT user here responds I suggest you sign up to the forum per the link and post your question. Their tech support crew is second to none in terms of responsiveness.
I read several posts where people had issues with graph scales when plotting 2 instruments on the same graph.
From looking at their graph (with wrong scales) they went long the weaker and short the stronger (which is the correct thing to do) and expected a reversion to the mean, and when the two instruments did converge and both lines touched each other (as they were expecting), they were making a loss !!! whereas it should have been a profit. They explained the loss was due to incorrect scales on their graph, ie when the graph was showing a divergence, there was not one and when the graph was showing a reversion to the mean there was not one, as all this was pure illusion due to incorrect scales on their graphs.
I thought the netdania graph could cause me the same issue as the scales are different for eur usd and gbp usd. However, when I look into further details and make the calculations based on potential trades that could have been made based on divergence and expecting mean reversion, I did not find a single occurence where I could lose money when both line get closer to each other.
See attached netdania graph:
Scenario 1: very favourable:
On 15 Jan, open positions:
buy gbp usd at 1.5328 and sell eur usd at 1.2664
On 26 Apr, close positions:
sell gbp usd at 1.6255 and buy eur usd at 1.3250
gbp usd profit is 927 pips, and eur usd loss is -586 pips, total profit: 341 pips
Scenario 2: less favourable:
On 20 May, open positions:
sell gbp usd at 1.5828 and buy eur usd at 1.2810
On 04 Jun, close positions:
buy gbp usd at 1.5402 and sell eur usd at 1.2460
gbp usd profit is 426 pips, and eur usd loss is -350 pips, total profit: 76 pips
I made a couple of other scenarios and calculations and each time the graph was showing a reversion to the mean, my calculation was a profit and never a loss, therefore it seems the scales of the graph are not too wrong or maybe even not wrong at all. What is your view on this? For me the graph does not give false signals, ie what looks like a profit on the graph is a genuine profit when I make the actual profit calculation.
For some people their graph was showing a profit but they ended up with a loss saying the graph scales were wrong.
Can someone confirm the attached netdania graph is valid for trading purposes even though the scales look weird?
Can you find an example where reversion to the mean as shown on the graph would result in a loss?
Thanks
From looking at their graph (with wrong scales) they went long the weaker and short the stronger (which is the correct thing to do) and expected a reversion to the mean, and when the two instruments did converge and both lines touched each other (as they were expecting), they were making a loss !!! whereas it should have been a profit. They explained the loss was due to incorrect scales on their graph, ie when the graph was showing a divergence, there was not one and when the graph was showing a reversion to the mean there was not one, as all this was pure illusion due to incorrect scales on their graphs.
I thought the netdania graph could cause me the same issue as the scales are different for eur usd and gbp usd. However, when I look into further details and make the calculations based on potential trades that could have been made based on divergence and expecting mean reversion, I did not find a single occurence where I could lose money when both line get closer to each other.
See attached netdania graph:
Scenario 1: very favourable:
On 15 Jan, open positions:
buy gbp usd at 1.5328 and sell eur usd at 1.2664
On 26 Apr, close positions:
sell gbp usd at 1.6255 and buy eur usd at 1.3250
gbp usd profit is 927 pips, and eur usd loss is -586 pips, total profit: 341 pips
Scenario 2: less favourable:
On 20 May, open positions:
sell gbp usd at 1.5828 and buy eur usd at 1.2810
On 04 Jun, close positions:
buy gbp usd at 1.5402 and sell eur usd at 1.2460
gbp usd profit is 426 pips, and eur usd loss is -350 pips, total profit: 76 pips
I made a couple of other scenarios and calculations and each time the graph was showing a reversion to the mean, my calculation was a profit and never a loss, therefore it seems the scales of the graph are not too wrong or maybe even not wrong at all. What is your view on this? For me the graph does not give false signals, ie what looks like a profit on the graph is a genuine profit when I make the actual profit calculation.
For some people their graph was showing a profit but they ended up with a loss saying the graph scales were wrong.
Can someone confirm the attached netdania graph is valid for trading purposes even though the scales look weird?
Can you find an example where reversion to the mean as shown on the graph would result in a loss?
Thanks
Attachments
Quote from shortbleu:
I read several posts where people had issues with graph scales when plotting 2 instruments on the same graph.
From looking at their graph (with wrong scales) they went long the weaker and short the stronger (which is the correct thing to do) and expected a reversion to the mean, and when the two instruments did converge and both lines touched each other (as they were expecting), they were making a loss !!! whereas it should have been a profit. They explained the loss was due to incorrect scales on their graph, ie when the graph was showing a divergence, there was not one and when the graph was showing a reversion to the mean there was not one, as all this was pure illusion due to incorrect scales on their graphs.
I thought the netdania graph could cause me the same issue as the scales are different for eur usd and gbp usd. However, when I look into further details and make the calculations based on potential trades that could have been made based on divergence and expecting mean reversion, I did not find a single occurence where I could lose money when both line get closer to each other.
See attached netdania graph:
Scenario 1: very favourable:
On 15 Jan, open positions:
buy gbp usd at 1.5328 and sell eur usd at 1.2664
On 26 Apr, close positions:
sell gbp usd at 1.6255 and buy eur usd at 1.3250
gbp usd profit is 927 pips, and eur usd loss is -586 pips, total profit: 341 pips
Scenario 2: less favourable:
On 20 May, open positions:
sell gbp usd at 1.5828 and buy eur usd at 1.2810
On 04 Jun, close positions:
buy gbp usd at 1.5402 and sell eur usd at 1.2460
gbp usd profit is 426 pips, and eur usd loss is -350 pips, total profit: 76 pips
I made a couple of other scenarios and calculations and each time the graph was showing a reversion to the mean, my calculation was a profit and never a loss, therefore it seems the scales of the graph are not too wrong or maybe even not wrong at all. What is your view on this? For me the graph does not give false signals, ie what looks like a profit on the graph is a genuine profit when I make the actual profit calculation.
For some people their graph was showing a profit but they ended up with a loss saying the graph scales were wrong.
Can someone confirm the attached netdania graph is valid for trading purposes even though the scales look weird?
Can you find an example where reversion to the mean as shown on the graph would result in a loss?
Thanks
I will leave the specific answer to someone who actually trades pairs, preferably forex.
A simple observation to give you food for thought. Charting platforms typically automatically adjust the scale when you get a wide range day (to fit the day into a screen) and when the plot approaches either extreme, unless you set it to fix the scale.
In the case of a pairs plot, if it adjusts 1 scale and not the other, or 1 scale more than the other, your visual assessment would be wrong and you would be unaware. You could face this problem using a paid platform of your choice, unless you take steps to fix the scales, or plot the ratio as Sierra Charts allows.
I suggest you watch netdania for a few days at least and see how they adjust scales before concluding it is ok to use the charts.
The chart overlay does not work like has been said - also I apologize for posting on this old chat. -
I have a few aspects i would like to discuss - i have just downloaded the Sierra charting software and I will try and look at the scaling being fixed.
I have also heard a lot about the bloomberg software - does anyone use it?
I have been researching pairs trading for a while now (3years) and have been involved in a purely academical basis with this.
Also can anyone here who is using this method - post some results or anything along those lines - been working for you as a trader? making a fixed percentage at minimum a month?
Also what are the risk implications? What are your risk settings regarding trading - the amount of capital that you are willing to risk per trade and so on?
Thank you in advance for getting back to me - or providing any assistance regarding these matters.
Regrads
Alex
I have a few aspects i would like to discuss - i have just downloaded the Sierra charting software and I will try and look at the scaling being fixed.
I have also heard a lot about the bloomberg software - does anyone use it?
I have been researching pairs trading for a while now (3years) and have been involved in a purely academical basis with this.
Also can anyone here who is using this method - post some results or anything along those lines - been working for you as a trader? making a fixed percentage at minimum a month?
Also what are the risk implications? What are your risk settings regarding trading - the amount of capital that you are willing to risk per trade and so on?
Thank you in advance for getting back to me - or providing any assistance regarding these matters.
Regrads
Alex
I have been pair trading stocks for a number of years using MY STYLE rather than the more conventional pair trading style. I am not a mathematician, but picked up early in your inquiry why I thought the problem you were having was (1) obvious as you also saw the obvious issue of having two parallel vertical axis that become meaningless to you because they rate unlinked pairs, and (2) that the solution was inherently unsolvable because normalized charts (charts plotting two stock plots, for instance, starting at zero) is not the same as laying down two currency plots when each of those currencies plots themselves is a ratio, and impossible to plot two ratio plots on the same normalized chart meaningfully. However, the illustration of what one of your respondent posters provided shows it can possibly be done. I am surmising the chart he provided and any similar one you may find is based on a first derivative. In other words, you can take two currency charts posted on their own respective charts and they are meaningful only to each other only unto themselves, but not to each other.....The trait of being mutually exclusive. However, you CAN conjure up a metrics to plot a distinction between those two charts if you are satisfied with the metrics; but I wouldn't think you would be happy measuring the difference between the two using that metrics because it would not be meaningful to you in the context of the trading world.
For instance, you could measure a population of women for their fertility compared to the population of men for their fertility in the same country. Now do the same in another country. Each is meaningful for their respective countries only. But the first derivative of that would be comparing the two sets with each other, which takes on a whole different thesis and only meaningful to you if the thesis is meaningful to you. For instance, why is the fertility rate difference between men and women similar in country 1 while so different between men and women in country 2 ? You would have to take on same collection of statistics in many different countries and hope to find a trend or other clue with the large data base collected: latitude ? poverty rate ? hygenics ? genes ?
I would have to dig in a little to the charts that respondents to your quest seem to have found.
The first question I would want to know from you is why would you want to plot two ratios on the same chart ? You may have answered that early on; I am sorry then. Perhaps you are looking for some reversion to the mean between the two currency exchanges that may become meaningful. You have not been on your thread in almost a year and maybe you have found what you are looking for. As a pair trader, I got into FOREX for another reason, not for pair trading two separate currency exchanges. If you are, please let us know what you think, or PM me, please.
For instance, you could measure a population of women for their fertility compared to the population of men for their fertility in the same country. Now do the same in another country. Each is meaningful for their respective countries only. But the first derivative of that would be comparing the two sets with each other, which takes on a whole different thesis and only meaningful to you if the thesis is meaningful to you. For instance, why is the fertility rate difference between men and women similar in country 1 while so different between men and women in country 2 ? You would have to take on same collection of statistics in many different countries and hope to find a trend or other clue with the large data base collected: latitude ? poverty rate ? hygenics ? genes ?
I would have to dig in a little to the charts that respondents to your quest seem to have found.
The first question I would want to know from you is why would you want to plot two ratios on the same chart ? You may have answered that early on; I am sorry then. Perhaps you are looking for some reversion to the mean between the two currency exchanges that may become meaningful. You have not been on your thread in almost a year and maybe you have found what you are looking for. As a pair trader, I got into FOREX for another reason, not for pair trading two separate currency exchanges. If you are, please let us know what you think, or PM me, please.