A Divergence-Based Pair Trading Expert Advisor for Currency Pairs
Summary
This expert advisor compares the overlaid price histories of two currency pairs and trades when their divergence retreats from a recent maximum. It starts from a chosen point, scales the second pair’s price range to roughly match the chart pair, and measures the largest separation over a configurable training window. When divergence corrects by a specified amount, it opens positions in both symbols; further separation can trigger additional paired entries, subject to a maximum deal count.
The approach supports direct or inverse correlation, optional cross-rate trading, and periodic retraining. It closes positions either after divergence narrows from its extreme or when an open-position profit threshold is reached. The text mentions an eleven-year EURUSD hourly open-price test using default settings, but reports no performance statistics, so the test’s outcome cannot be assessed. It also notes a correction addressing gaps in the indirect symbol’s historical data. The description does not establish that the apparent convergence persists out of sample or after trading costs.
Key ideas
- The strategy trades two currency pairs when their overlaid prices diverge and then begin to converge.
- A training window estimates maximum divergence, while configurable thresholds govern entries and retraining.
- Additional paired positions may be opened as divergence grows, up to a user-defined limit.
- The system supports direct or inverse correlation and can trade a cross rate instead of both pairs.
- Positions close when divergence contracts from its extreme or an open-position profit threshold is met.
- An eleven-year historical test is mentioned, but no results are supplied.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.