This strategy leverages the price relationship between two different markets. By monitoring changes in Market A over a 30-minute time frame, it identifies significant changes in Market A and triggers corresponding trades in Market B. When Market A decreases by 0.1% or more, the strategy establishes a short position in Market B; when Market A increases by 0.1% or more, the strategy establishes a long position in Market B. The strategy also allows users to customize take-profit and stop-loss percentages to optimize risk management and profit targets.
The core principle of this strategy is to exploit the negative correlation between the prices of two markets. Historical data has shown that the prices of Market A and Market B have an average negative correlation of -0.6. This means that when Market A falls, Market B prices tend to rise, and vice versa. The strategy captures significant changes in Market A by monitoring its changes over a 30-minute time frame and then establishes corresponding positions in Market B. Specifically, when Market A decreases by 0.1% or more, the strategy establishes a short position in Market B; when Market A increases by 0.1% or more, the strategy establishes a long position in Market B. At the same time, the strategy uses take-profit and stop-loss orders to manage the risk and profit of each trade.
This strategy exploits the negative correlation between the prices of two markets by monitoring significant changes in Market A and establishing corresponding positions in Market B. The strategy’s advantages lie in utilizing inter-market relationships to provide trading opportunities while allowing users to customize risk management and profit targets. However, the strategy also has some risks, such as the stability of the correlation and the limitations of fixed thresholds. In the future, the strategy can be optimized by introducing dynamic thresholds, incorporating other influencing factors, optimizing take-profit and stop-loss settings, introducing position sizing, and combining with other technical indicators to improve its robustness and profitability.
/*backtest start: 2024-05-01 00:00:00 end: 2024-05-31 23:59:59 period: 4h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © Kingcoinmilioner //@version=5 strategy("DXY/BTC Arbitrage Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10) // Input for Take Profit and Stop Loss tp_percent = input.float(1.0, title="Take Profit (%)") sl_percent = input.float(1.0, title="Stop Loss (%)") // Fetching DXY data on a 4-hour interval dxy = request.security("BTC_USDT:swap", "30", close) dxy_open = request.security("BTC_USDT:swap", "30", open) // Calculate the price change percentage price_change_percent = (dxy - dxy_open) / dxy_open * 100 // Plot the price change percentage on the chart plot(price_change_percent, title="DXY 4-hour Price Change (%)", color=color.blue, linewidth=2) // Define trade entry conditions short_condition = price_change_percent <= -0.1 long_condition = price_change_percent >= 0.1 // Initiate short BTC if DXY has a red candle of -0.1% if (short_condition) strategy.entry("Short BTC", strategy.short) // Setting Take Profit and Stop Loss for short strategy.exit("Take Profit/Stop Loss Short", "Short BTC", limit=close * (1 - tp_percent / 100), stop=close * (1 + sl_percent / 100)) // Initiate long BTC if DXY has a green candle of 0.1% if (long_condition) strategy.entry("Long BTC", strategy.long) // Setting Take Profit and Stop Loss for long strategy.exit("Take Profit/Stop Loss Long", "Long BTC", limit=close * (1 + tp_percent / 100), stop=close * (1 - sl_percent / 100)) // Visualization bgcolor(short_condition ? color.new(color.red, 90) : na, title="Short BTC Signal") bgcolor(long_condition ? color.new(color.green, 90) : na, title="Long BTC Signal")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6