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Triangular Arbitrage Using EURUSD, USDJPY, and EURJPY

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Summary

The document describes an expert advisor that looks for price discrepancies among EURUSD, USDJPY, and EURJPY. It multiplies the ask prices of EURUSD and USDJPY to estimate an implied EURJPY price, then compares that estimate with the direct EURJPY price. A difference above a configured threshold is treated as an arbitrage opportunity, prompting the system to open positions.

The description gives the core signal calculation but does not specify the threshold, order structure, execution sequence, or how positions are closed. It also provides no backtest, performance evidence, or accounting for spreads, fees, slippage, and execution latency, all of which can erase apparent triangular arbitrage gains.

Key ideas

  • The system derives an implied EURJPY price by multiplying the EURUSD and USDJPY ask prices.
  • It compares the implied cross rate with the direct EURJPY quote.
  • A relative discrepancy above a configured threshold triggers an arbitrage opportunity.
  • The description omits execution details and evidence that the approach remains profitable after trading costs.

Tags

ForexArbitrageExecution

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.