Simple High Profit low Drawdown Triangular Arbitrage forex

Simple High Profit low Drawdown Triangular Arbitrage forex 1

I’ll all the time replace this POST #1 with the newest info.
So if you don’t want to learn all of the posts then simply learn this one.
I may also preserve the EAs updated right here.

The remainder of the posts are fascinating and I like flame wars Simple High Profit low Drawdown Triangular Arbitrage

Very fundamental abstract

1) Purchase 1 unit GBPJPY
2) Promote 1 unit GBPUSD
3) Promote ?? items utilizing the USD in level (2) in USDJPY to steadiness all the pieces out

Purchase low and promote excessive.
Rinse and repeat.

Can this work or what’s the pitfalls with this concept ?


OK I’m nonetheless new on this, however should say triangular arbitrage appears to be like fascinating.
I made an EA to commerce GBPUSB, GBPJPY and USDJPY

1) Purchase 1 unit GBPJPY
2) Promote 1 unit GBPUSD
3) Promote ?? items utilizing the USD in level (2) in USDJPY to steadiness all the pieces out

This mainly ZEROs your place minus unfold, fee and swap.
Simply maintain on to this till in revenue.
It is going to oscillate across the ZERO level.

As soon as I make revenue I swap the above 123 factors to Promote, Purchase, Purchase.

My entry will be random after which go from there, however since I began I modified it in order that I calculate what the low and excessive is and use these calculations as entry factors.

Now typically you do by chance get in at simply the flawed time.
Mainly shopping for on the highest level and it by no means will get again to that time.

In 2 years time I discovered it about 9 instances.
You’ll be able to see these within the load spikes on the backside of the chart.

This downside is solved by a minor grid.
Mainly when you unluckily purchase on the highest level then you can be caught, however no worries, as a result of it will possibly solely fall up to now earlier than coming again, however by no means previous that time once more so simply wait a bit and let it fall and as soon as it fell sufficient then Purchase once more the identical quantity and go away it for a assured revenue a bit greater than half method again so simply wait a bit.

Now as I mentioned My speciality is maths and programming, however I’m new to the foreign exchange market.

The demo EA I wrote I ran from 2015-06-23 until 2017-06-16.
I began with $1000 and ended with $2,725,839.38
Most drawdown throughout this time was 25% of the account.

I did have a security catch within the system to forestall losses from going past 25% which was hit 2 instances through the 2 yr run, which doesn’t have an effect on the EA seeing that it’s going to adapt itself to the subsequent steadiness as wanted.
The trigger for the 25% drawdown spikes was weekend gaps on the Monday.
I attempted stopping Friday trades which precipitated the utmost drawdown to drop to 15%, however the ending revenue additionally dropped to about $1,800,000.00

Different issues to notice was that I used to be maxing out my Metatrader 5 again take a look at lot dimension at 99 heaps after the 1 yr mark at about 2016-06-28 and from there it stopped rising exponentially and began a slower sequential progress.
Within the stay surroundings you’ll be able to cut up your account into a number of accounts lengthy earlier than it reaches the restrict for much more revenue.

The 25% drawdown hits will in all probability additionally improve in the event you can preserve the exponential progress rising from 2 hits to about 4 hits, possibly 5 at most, however the EA is designed for it and may deal with about 20 instances 25% hist earlier than beginning to present a loss, as a result of the expansion fee is about 100% each 2 months and at worst it hit the 25% drawdown 2 instances in a single yr..

I don’t have funds to check this stay, however demo testing appear fairly good.

Any recommendation shall be nice.

I even discovered this to be worthwhile utilizing a beginning capitol of solely $100, however at this value all 3 pairs will begin on the identical 0.01 heaps, which is a bit off in steadiness seeing that the USDJPY can’t be the identical as the opposite, however as soon as it breaks the $1000 revenue mark it really works good and the $10,000 mark is simply rocket gasoline for it.

Ignore the upward spikes within the charts.
The EA is advised to begin promoting the best worthwhile as soon as first.
What issues to me is the fairness and the way far it falls after opening a 3 pair group.

The 2 pair 25% drawdown occurred to start with of the chart and due to this fact is sort of invisible when in comparison with the revenue of the remainder of the chart.

RULE UPDATE : 2017-09-23

Okay it is a MAJOR replace.

Guidelines modified a bit.
Nonetheless triangular on the 3 symbols.

I now calculate what the typical revenue could be if I did a BUY, SELL, SELL and in addition SELL,BUY,BUY.
This provides me 2 strains.
Name the upper line the ASK line and the decrease line the BUY line.

Between the 2 strains is the typical line calculated over a while, which if largely a straight line because the purchase and promote strains mainly cancels one another on the market.

Now occasionally you’ll discover the ASK line cross the typical line and that is the time you will need to open a Purchase(Promote, Purchase, Purchase) to revenue from the inevitable up motion.
Shut the open purchase as soon as the SELL line cross the typical line.
Do the other for opening a promote(Purchase,Promote,Promote).

Yet one more factor is that I don’t simply open when it crosses the center common line, however I solely open as soon as it crosses the typical line for far earlier than opening.

Okay there may be much more checks and stuff I put within the EA, however that’s the fundamentals.

I examined this on MyFxchoice with a leverage of 1:200 so attempt to preserve to these settings.
I would work on different settings and I did attempt to construct in intelligence to adapt to different brokers, however I had restricted time and it may not work correctly.
Backtest to verify it really works correctly earlier than a ahead take a look at.


Different issues within the EA are :
1) Don’t commerce weekend gaps for the Monday slippage will be huge.
2) Don’t commerce between midnight and 2 am for a similar cause as (1).
3) Transfer all show and log coding after the system calculations to extend commerce calculation efficiency.
4) Use solely 50% of ac
rely for buying and selling, which solely imply that 50% of the account should be transformed to used margin.
Draw-down is about 5% then, however I can’t improve it for worry of getting a margin name.
20% could be higher, however I’ll take a look at it in the future.

5) Verify for failed trades and kill them to begin over.
6) Verify for weekend and inactive markets to forestall system failure.
7) Verify fee utilizing single 0.01 lot commerce.
8) Huge quantities of logs and graph code to show what is occurring.
This makes use of quite a lot of reminiscence so I need to in all probability transfer it into one other EA for show causes solely seeing that it isn’t wanted to do buying and selling with, however appears to be like good and you may see why the EA does what it does.
Then there will be one EA to do buying and selling with and one other show EA which you’ll load some other place to indicate the workings, with out the show EA affecting the commerce processing.

1) Slippage and commerce delays.
I get near 500 milliseconds delay on opening 3 trades for the 3 symbols at a time.
This will trigger some main slippage, particularly on the third commerce, however fortunately I nonetheless make revenue on most trades seeing that the EA does cater for some slippage.
I am nonetheless looking for methods to lower the time delay, but it surely appear to be a limitation on how metatrader works.

1.1) I would be capable of enhance the commerce velocity utilizing 4 metatrader terminals and I’ve already created applications to permit EAs talk with the surface world inside lower than 1 millisecond, however there may be nonetheless a delay of about 300 milliseconds for a single commerce to begin.

On the intense facet I’ve now developed a driver that may join an EA to anything from different EAs to different terminals and even outdoors applications like java and even to different PCs in different nations or another system for that matter and even making a metatrader EA use issues just like the FIX api.
The chances are huge for this driver.

1.2) Delayed commerce begins appear to be brought on by the terminal logging out if there isn’t any commerce motion for a while and when a brand new commerce is required then the terminal for need to take a while to log again in earlier than the commerce will be opened or closed.
I couldn’t discover a method to forestall logout, EXCEPT by sending dummy trades or inconceivable pending trades or commerce modifications each 20 to 30 seconds.
Drawback with this could be that dealer won’t recognize receiving so many commerce alerts.

1.3) FIX API.
I’ve been enjoying round with FIX api and it could be an answer to this commerce delay, however I would like to check it first and …. nicely… time is just not on my facet Simple High Profit low Drawdown Triangular Arbitrage


Don’t run on stay account.

Simply connect the EA to a chart ……. That’s it Simple High Profit low Drawdown Triangular Arbitrage

Some extra particulars.
The EA is made to run with symbols GBPUSD, GBPJPY, USDJPY
Precisely and it’s case delicate.
If these symbols is just not in your market watch or commerce ready then it won’t work, UNLESS…

There are a few parameters within the EA you’ll be able to set.
Largely the commerce symbols.
Have in mind the EA is barely made for GBPUSD, GBPJPY, USDJPY
BUT in case your dealer accommodates symbols like GBPUSD#e ex.. then you should utilize the parameters to alter the EA to make use of your dealer’s symbols.
Have in mind it’s case delicate and due to this fact in case your dealer lists GBPUSD#e and you place in GBPUSD#E then the EA won’t work.

To view the chart drawn by the EA I counsel making the chart window background BLACK and zoom the chart out by dragging down on the appropriate hand vertical value bar until u can see all of the strains the EA attracts on the chart.
I will even counsel making all the pieces black because the chart value offers no helpful info.

Simple High Profit low Drawdown Triangular Arbitrage forex 2
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Simple High Profit low Drawdown Triangular Arbitrage forex 4