Statistical arbitrage

k_f

Trader
Mar 30, 2015
9
0
17
I finished my statistical arbitrages. Result of tests are in the attachements.
 

Attachments

  • gbpusd1H_coint_sharpe2_profitfactor2.png
    gbpusd1H_coint_sharpe2_profitfactor2.png
    12.3 KB · Views: 36
  • gbpusd1H_corr_sharpe4_profitfactor6.png
    gbpusd1H_corr_sharpe4_profitfactor6.png
    12 KB · Views: 28

eyeball

Master Trader
Sep 25, 2011
164
12
49
Please define,with collateral math, statistical arbitrage. Or if math not available or appropriate, a defining narrative with detailed explanation will suffice. Thank you-EB
 

DarkMindFX

Trader
May 8, 2016
36
2
24
43
I finished my statistical arbitrages. Result of tests are in the attachements.

Looks veeeeery interesting.
But I wonder: these tests were done on real account?? Why I'm asking: I don't quite understand how to backtest arbitrage strategies with regular software (I'm using Metatrader).