Hello guys and girls,

Came across an interesting (but extremely hard to understand) article regarding profiting from forex using a risk free strategy called "Triangular Arbitrage" (see more details in link)
http://arxiv.org/PS_cache/cond-mat/pdf/0202/0202391.pdf

If I understood it correctly (which I doubt), given two highly fast-moving pairs (like EURUSD and USDJPY), the price of a not-so-fast moving pair like EURJPY should always be derived by multiplying (or dividing, etc) the fast-moving pairs. So for example, if EURUSD is 1.2 and USDJPY is 120, the logical price of EURJPY should be 1.2 x 120 = 144. Well according to the article, the slower moving pair SOMETIMES lags behind the logical price. When this happens, profit opportunity arises.

To verify, I downloaded 3 days worth of 1 MIN historical data from alpari and compared the logical price (multiplying eurusd with usdjpy) with the actual eurjpy price. At first glance, I really did see some occurences wherein the actual EURJPY price deviated by 20 or more pips from the computed EURJPY price! However, after verification, it was just due to the fact that the alpari data were not accurate. (it did not give actual minute by minute data - sometimes it would skip 2 or 3 minutes, screwing up the comparison)

So my question to you now is:

1. Where can I download ACCURATE tick data (or 1 MIN as long as its accurate) for free?
2. Has anybody researched on this using Metatrader? If not, will some kind hearted soul attempt to??

Thanks a lot in advance. Hope my English is fine, it is not my native language.

I remember that there is some script to find the holes and to fill the holes in historical data. Several scripts. Two scripts from Russian viac forum and one from metaquotes.

Hi Sang,
The attached is an XL workbook I developed a while back to look for such opportunities.

The book is protected but has no password required. That's just so you dont get all messed up before you have a chance to understand it.

If you find your datafeed, you should be able to link it to the Workbook and off you go.

Hopefully it will be of some help to you in it's present form or you can Unprotect it and modify it for your requirements.

Attached Files

Calculated Cross Values.zip (18.8 KB, 541 views)

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Scots Wha Ha'e

@Tolero:

Nice Excel Sheet.
How can one connect it to a data feed?

Sorry Lomme,
That I'm not sure about but you may want to ask about it at...

http://www.visualtradingcharts.com/

I know that VT has an API that some of the guys use to pull VT data into XL

__________________
_____________________
BMc ....."Freedom".....
Scots Wha Ha'e

Thank you newdigital, Tolero.
I'm looking for the scripts that fill data gaps now. If anybody knows exact location, kindly teach me.

I like this strategy, i will also take a look into it to see what i can find or understand on this topic.

I found these two scripts.
Script Find Data Holes.mq4 is Brazilian and second one is Russian.
The second script does not work in timeframe more than H4.
But these scripts is not filling the gaps.

Attached Files

	Find Data Holes.mq4 (1.5 KB, 166 views)
	history_data_analysis.mq4 (28.9 KB, 153 views)

I think backtesting of this strategy is very hard because of the unexact data.
We should forward test it with an easy expert which buys or sells eur/jpy when the difference between the calculated and the real price is let' s say 10 pips or more. Exit on Stoploss or when difference shrinks to 3-5 pips.
I think some of the programmers could do it in a few minutes. When I do it it will take much longer

xpie

Here's a first look at the script. I've only tested it for EURUSD/USDJPY/EURJPY and didn't see much in the way of opportunites, but you can play with it. It figures out the correct bar for the three curriences based on the timestamp.

To try it out, attach it to EUJPY 1 min chart.

Attached Files

ThreeWay.mq4 (1.9 KB, 323 views)