Is there an easy explanation what the ratio of these eigenvalues actually means? Can you somehow illustrate or visualize *what* is actually measured by these eigenvalues and their ratios (other than that a regression would be spurious (and how so))? ...

Old Dog's Taming of the Beast?

No, not yet, but this is next on my list. Currently I just visually inspect the resulting basket (moving the time window around and watching the out-of-sample behavior) and decide whether I want to trade it. These cointegration tests are good for ...

Synthetic hedges, cointegration, mean reversion and similar stuff

You should use Arb-O-Mat to determine the optimal hedge ratios. Did you ever plot the resulting basket with the ratios that you suggest?

AUDUSD Carry trade with Hedge

The versions on my website are the currrent versions and I use then myself currently. They contain no errors (other than maybe the fact that the whole approach of using a linear regression and hoping for useful results might be flawed). I am still ...

Synthetic hedges, cointegration, mean reversion and similar stuff

This is not a good idea. I often produce crashes while developing DLLs for my indicators or EAs. I would not want to have it forget all open chats and all loaded EAs only if a crash had happened. It is easy to just delete or rename the offending ...

MT4 eating my memory?

Can you name a few such new "features" or are you just trolling? Without being able to explicitly name them your above posting is not more than just some vague and unfounded allegations and your entire posting has not much more weight than a medium ...

MQL5/MT5

I recently had an H&S pattern in my equity chart and it played out very well :-(

Ten years of waiting EA

iClose(), iHigh(), iLow(), etc. when used for different symbols than the current chart work without problems, iClose(..., 0) will always return the latest bid price in the other symbol, there does not need to be another chart opened.

Hedge opening code

It is more than just a thought and it does not only come from pure optimism: If I do a regression on the returns (the first difference) and observe very constant and significant betas, no matter at which time I measure them then I believe I have a ...

Old Dog's Taming of the Beast?

Only if you demand from the model that it must be 100% correct and will not create any losses. Only then the facts will most likely tell you that your model was wrong. The same could be said about channels, trend lines, or whatever other strategy ...

Old Dog's Taming of the Beast?

I'm not a statistician (or how Cpt. Picard will say in 350 years: "I'm just an enthusiastic amateur") I have just read the "granger 1974" paper (and understood ~10% of it ;-) where he talks about these spurious regressions and one thing that he ...

Old Dog's Taming of the Beast?

Only if you restrict yourself to Metatrader (or brokers who offer only Metatrader and nothing else). These brokers are targeting the average Joe-Sixpack-Windows user who does not know (and does not want to know) anything else. There are also brokers ...

MAC Computers for trading

No, I meant the call-tips with Ctrl-shift-space. And to be better than metaeditor it should parse my code and all includes and also generate calltips for my own functions.

Jedit as standard editor for Mql4

The most useful feature in MetaEditor is the context sensitive help (F1) and the call-tips (ctrl-shift-space) for built-in functions (unfortunately they are missing for my own functions). Can this also be implemented in jedit?

Jedit as standard editor for Mql4

Please leave this autocorr EA out of this thread, its an entirely different thing and it is not meant to be used for trading at all. It is meant to be an interesting curiosity, a textbook example for overfitting at its best, overfitting in its ...

Synthetic hedges, cointegration, mean reversion and similar stuff

You could run it in the backtester and record the coefficients. I think trendomat contains some code for this. It creates a matrix (in R) in the init() function: if(IsTesting()){ // make a matrix that will record some things during a backtest ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Yes, I just changed the filename and removed some experimental stuff that did not work. You should get the same results (plusminus minor differences due to different brokers quotes or candle times) with arbomat if you use the same settings and the ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Like in many other strategies too the longer timeframes always seem to be more rewarding / easier to trade. I am currently riding the last upswing on this chart since a few days :-) image

Synthetic hedges, cointegration, mean reversion and similar stuff

Go to project options -> compiler options and disable debugging info and enable "strip symbols from executable". You can also try to enable smart linking, this might also squeeze out a few bytes. The executable size will then go down to ~150k. If ...

Creating Metatrader DLLs with Lazarus / Free Pascal

I uploaded some code: url

Synthetic hedges, cointegration, mean reversion and similar stuff