GAP相関の計算方法 3 手動バックテストとの組み合わせ

This time I'll share how to backtest 3 ペア相関, as a result of everyone knows that it's not attainable to backtest 3 MT4を利用したペア.

バックテストするには何をすべきか?
強気のローソク足が建設的であることに同意します (+) whereas the bearish candlestick is destructive (-)

Suppose we're going to open a promote purchase (BSB) that's with a purchase pairA place promote pairB purchase pair C then we will calculate

GAP with the method GAP = A - B + ハ

now we'll attempt to calculate the largest GAP for 3 pairs eur / 米ドル, ユーロ / 円と米ドル / chf in March 2019. For the document, this GAP is calculated from March 1 に 29 so it isn't simply GAP every day. I exploit TF Each day to calculate the high-low.

Now the image above is the largest GAP in March which is 1500 要因 (150 ピップス) so like we open BSB on March 1, then across the eighth we will get a revenue of 1500 要因, quite the opposite if we open SBS on March 1 then we it can additionally float minus 1500 要因. With this evaluation, on March 8, the potential revenue that we will produce could be very massive, so if we open SBS on March 8, then when GAP returns to 0 we'll get a revenue of 1500 factors as nicely.

うまくいけば役立つ

To simplify the evaluation please obtain Excel for calculations