I am a newbie, but got very excited about this website very quickly, as well as got very interested in what TRO is sharing with us.
I have a basic question on one of the modules shared by TRO.
What is the point of the code? Is it trying to identify arbitrage mismatches between 3 pairs? If so, what is the meaning of the P/L?
Did anyone try to trade using this indicator?
In the past, I tried to identify arbitrage opportunities with GFT using three linked pairs (like those in TRO example), but never managed, because the mismatch across the 3 pairs is very well "absorbed" by the comissions on each of the three pairs...
I do not understand the code very well: is it comparing the open price in the last daily bar to the current (close) price of the last bar and checking the mismatch between the 3 pairs?
Why would it need to store the max of this diff?
What is the assumption of the P/L? That one trades on the 3 currencies, using which strategy?
I know it is a lot of questions, and probably many people have already asked them, but if someone can either help me understanding or suggesting a post where TRO addresses this, I would be very grateful.
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