FPI - Fractional Product Inefficiency: The Impeccable Hedge

[EvgeniX]

Can you tell me why you decide to use NeoTicker ?

Its any good brokers with NeoTicker ?

Why you do not use MT4 its much easy?

[freefer]

Hi EvgeniX,

Thanks for your work, it is true that a lot of people here is using MT4 as platform so it would be great to get something for it.

In page 13 of this thread there is a ring generator in Python done by AndroFX that maybe can help you.

Regards,
FF

can you please calculate all rings for next pairs:

USD/CHF
USD/JPY
EUR/USD
GBP/USD
EUR/JPY
EUR/CHF
EUR/GBP
USD/CAD
AUD/USD
GBP/CHF
GBP/JPY
CHF/JPY
AUD/JPY
NZD/USD
EUR/CAD
EUR/AUD
AUD/CAD
AUD/NZD
NZD/JPY


Thanks

EvgeniX,

[Luke]

This is the problem im not realy good in C# and i do not have it.
That is why i ask your help if you can please.
I think it will be very helpful for everybody who do not use NeoTicker

Thank you

I would suggest that you start with 1 ring of 3 currencies before attempting to auto-generate all currency possibilities.
Michal has proven his concept on how to remain flat in the market while holding several positions and that the FPI does fluctuate. He has already given us the formulas to test whether there is actually the potential for profitability. Other users have hinted that similar strategies are profitable in other markets.
I have been looking into whether or not this is tradable (profitable). My initial findings are that in most cases the market is positioned so that an entry into the ring would produce a loss even without commissions. The two fpis that must be monitored consistently range on the opposite side of 1 where we would want to enter.
So for a BBS entry the FPI must be below 1 for a profitable entry (exit must be at least 1).
For a SSB entry the FPI must be above 1 for a profitable entry (exit must be no greater than 1).
That is without commissions. My observation is that when the desired deviation occurs (using EFX), it is reflected in the data as reversed and narrowed spreads. Another way to attempt to exploit this would be to wait until the Bid is above the Ask on a single currency. If one entered and was filled immediately and exited immediately before the price changed, one could make a profit (excluding commissions). This relies on perfect order execution which we all know does not exist. Here is where the real test and speculation of profitability occurs. IMO, the only way to enter is with market orders. Because if we use limit orders we may get fills in 2 currencies and not in the other creating a situation where the market could move against us and result in loss. But when we use market orders we are not guaranteed getting filled at the ticker price or it could change rather quickly. In most cases the FPI will revert rather quickly.
It is unknown to me whether this strategy will prove to be tradable but either way I appreciate the logic presented by Michal in that it has furthered my understanding of the markets. This is also a market inefficiency where institutions maintain huge advantages over retail traders.

I've heard that many brokers who use metatrader have questionable records (possibe rumor). My findings show that unless a currency contains a reverse spread meaning the bid is higher than the ask, this will not be profitable (even without commissions). There are moments when a reverse spread is present with EFX but they are short lived and fills would not be guaranteed on market orders. At the very least one requires a high powered automated order entry system and a broker without fixed spreads where reverse spreads occasionally occur.

[EvgeniX]

So for a BBS entry the FPI must be below 1 for a profitable entry (exit must be at least 1).
For a SSB entry the FPI must be above 1 for a profitable entry (exit must be no greater than 1).

Why do you think like this?

I think BBS = SSB or no?

[Luke]

Buy Buy Sell you are using Ask Ask Bid &
Sell Sell Buy you are using Bid Bid Ask.
Those were my findings but they might differ from others.
It didn't seem to matter which one you entered first but the FPI did matter and the needed side of the FPI for the different entry types was consistent in my data. I tested them manually without an automated process so pairs tested were limited.

[EvgeniX]

Buy Buy Sell you are using Ask Ask Bid &
Sell Sell Buy you are using Bid Bid Ask.
Those were my findings but they might differ from others.
It didn't seem to matter which one you entered first but the FPI did matter and the needed side of the FPI for the different entry types was consistent in my data. I tested them manually without an automated process so pairs tested were limited.

I did some short tests and i think its does not mater BBS or SSB you need to enter FPI<1 and exit FPI>1

Can some one confirm this?

[Luke]

Buy Buy Sell you are using Ask Ask Bid &
Sell Sell Buy you are using Bid Bid Ask.
Those were my findings but they might differ from others.
It didn't seem to matter which one you entered first but the FPI did matter and the needed side of the FPI for the different entry types was consistent in my data. I tested them manually without an automated process so pairs tested were limited.

I did some short tests and i think its does not mater BBS or SSB you need to enter FPI<1 and exit FPI>1

Can some one confirm this?

No.

[EvgeniX]

Buy Buy Sell you are using Ask Ask Bid &
Sell Sell Buy you are using Bid Bid Ask.
Those were my findings but they might differ from others.
It didn't seem to matter which one you entered first but the FPI did matter and the needed side of the FPI for the different entry types was consistent in my data. I tested them manually without an automated process so pairs tested were limited.

I did some short tests and i think its does not mater BBS or SSB you need to enter FPI<1 and exit FPI>1

Can some one confirm this?

No.

Can you explane please how it should be and why?

Thank you

[Nicholishen]

http://www.moneytec.com/forums/f130/som ... ht=evgenix

[EvgeniX]

http://www.moneytec.com/forums/f130/somebody-kick-off-evgenix-14927/?highlight=evgenix

So? what doest in mean?