Cách tính mối tương quan GAP 3 Kết hợp với Backtest thủ công

This time I'll share how to backtest 3 tương quan cặp, as a result of everyone knows that it's not attainable to backtest 3 các cặp sử dụng MT4.

Chúng ta nên làm gì để backtest?
Chúng tôi đồng ý rằng nến Bullish mang tính xây dựng (+) 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 + C

now we'll attempt to calculate the largest GAP for 3 pairs eur / đô la Mỹ, âu / jpy và usd / chf in March 2019. For the document, this GAP is calculated from March 1 ĐẾN 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 các nhân tố (150 số pít) so like we open BSB on March 1, then across the eighth we will get a revenue of 1500 các nhân tố, quite the opposite if we open SBS on March 1 then we it can additionally float minus 1500 các nhân tố. 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.

Hy vọng hữu ích

To simplify the evaluation please obtain Excel for calculations