رد: كافيـــة المضارب العربى للكتـــب والؤشرات الاكسيبـــرتات
The formula to create the PFI is:
a * b * (1/c)
or to use three pairs with correlation from Michals first post example:
(EUR/USD) * (USD/CHF) * (1 / (EUR/CHF))
eg,
1.1840 * 1.3145 * (1 / 1.5565) = 0.999915194
Although is correct we need to take few things into account which I havent been doing: (a) the spread, (b) the trades, (c) realise that there are two _independent_ calculations to be made and then compared.
Look at it this way:
PFI_Entry: A_Bid * B_Bid * (1/C_Ask)
PFI_Exit: A_Ask * B_Ask * (1/C_Bid)
المشاركة الأصلية بواسطة same
مشاهدة المشاركة
a * b * (1/c)
or to use three pairs with correlation from Michals first post example:
(EUR/USD) * (USD/CHF) * (1 / (EUR/CHF))
eg,
1.1840 * 1.3145 * (1 / 1.5565) = 0.999915194
Although is correct we need to take few things into account which I havent been doing: (a) the spread, (b) the trades, (c) realise that there are two _independent_ calculations to be made and then compared.
Look at it this way:
PFI_Entry: A_Bid * B_Bid * (1/C_Ask)
PFI_Exit: A_Ask * B_Ask * (1/C_Bid)
تعليق