如何計算 GAP 相關性 3 與手動回測配對

This time I'll share how to backtest 3 配對相關性, as a result of everyone knows that it's not attainable to backtest 3 使用 MT4 配對.

我們應該做什麼來進行回測?
我們同意看漲燭台具有建設性 (+) 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 - 乙 + C

now we'll attempt to calculate the largest GAP for 3 pairs eur / usd, eur / jpy and usd / chf in March 2019. For the document, this GAP is calculated from March 1 到 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 factors (150 點) so like we open BSB on March 1, then across the eighth we will get a revenue of 1500 factors, quite the opposite if we open SBS on March 1 then we it can additionally float minus 1500 factors. 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.

Hopefully helpful

To simplify the evaluation please obtain Excel for calculations