Arbitrage Core
Universal Arbitrage
The core of Universal Arbitrage: two instruments - or a triangle of three - traded as a pair on the z-score of their spread. It opens the pair when the spread is Entry (σ) standard deviations from its mean, closes it at Exit (σ), and guards it with a correlation filter, pair protection and far disaster stops at the broker. Trading hours, days, account limits, news and the log are as in the Strategy Core: see Sessions & time, Money & News and Log & Report.
General properties
| Parameter | Default | What it does |
| Pair protection | On | Close a pair that goes wrong, by z-score or by money, as set in the Pair protection group. |
| Disaster stops | On | Place a far stop order at the broker on every leg, as insurance if NinjaTrader or the connection fails. |
| ROI | Off | Close the pair on how long it has been open and what it has made by then - up to three levels in the ROI group. Off: the group is hidden. |
Legs
| Parameter | Default | What it does |
| Second instrument | — | Leg B of the pair. Leg A is the chart's instrument. |
| Second operation | Multiply | Triangular: how leg B enters the price implied for leg A. Multiply: as quoted (EURUSD in EURJPY = EURUSD × USDJPY). Divide: 1 / its price. |
| Third instrument | — | Triangular: leg C, picked from the instrument list. Only loaded in Triangular. |
| Third operation | Multiply | Triangular: how leg C enters the implied price. Multiply: as quoted. Divide: 1 / its price. |
| Leg sizing | Notional | How the legs are sized from Quantity. Notional: equal money value. Tick value: equal tick value. Beta: by hedge ratio. Fixed: contracts set below. |
| Quantity | 1 | Contracts of the largest leg (Notional, Tick value) or of leg A (Beta); the other legs are sized to match. |
| Contracts A | 1 | Fixed: contracts of leg A, the chart's instrument. |
| Contracts B | 1 | Fixed: contracts of leg B. |
| Contracts C | 1 | Fixed, Triangular: contracts of leg C. |
Spread
| Parameter | Default | What it does |
| Mode | Money | How the spread is measured: Money, Clean (price difference), Normalized (price ratio), Beta (hedge ratio) or Triangular (three legs). |
| Period | 50 | The look-back of the spread's mean and standard deviation, and of the automatic ratio, in bars of the chart. |
| Entry (σ) | 2.0 | Distance of the spread from its mean, in standard deviations, needed to open a pair. |
| Exit (σ) | 0.0 | Where the pair is closed: 0 = at the mean, positive = before it, negative = past it. |
| Correlation period | 50 | The look-back of the correlation, in bars of the chart. |
| Correlation input | Returns | Returns: the bars' price changes - the usual choice; two trending instruments show a high correlation of prices with no real link. Prices: the prices themselves. |
| Min correlation | 0.7 | No pair is opened below this correlation. 0 = no filter. |
Pair protection
| Parameter | Default | What it does |
| Mode | Sigma | What closes a losing pair. Sigma: the z-score moves Stop (σ) past the entry level. Money: the pair's result reaches -Stop ($) or +Target ($). |
| Stop (σ) | 1.5 | How many standard deviations past the entry level the pair may go against you before it is closed. |
| Stop ($) | 1000 | Money: the loss of the whole pair, in account currency, at which it is closed. 0 = off. |
| Target ($) | 0 | Money: the profit of the whole pair at which it is closed, before the spread is back at the mean. 0 = off. |
| Pause after stop (bars) | 6 | Bars to wait after a pair stop before opening a new pair. 0 = off. |
Disaster stops
| Parameter | Default | What it does |
| Distance (%) | 2.0 | Distance of each disaster stop from the entry, in percent of the price. |
ROI
| Parameter | Default | What it does |
| Time unit | Bars | What the periods are counted in: bars of the chart, or seconds of market time. |
| ROI 1 | Off | The first level: once the pair has been open Period 1, close it if it has made at least Value 1. |
| Period 1 (bars) | 30 | Bars of the chart after which the first level applies. |
| Period 1 (s) | 1800 | Seconds of market time after which the first level applies. |
| Value 1 ($) | 200 | The pair's result, in account currency, that closes it at the first level. A negative value closes a losing pair too, as long as its loss is no deeper than that. |
| ROI 2 | Off | The second level, on its own. |
| Period 2 (bars) | 60 | Bars of the chart after which the second level applies. |
| Period 2 (s) | 3600 | Seconds of market time after which the second level applies. |
| Value 2 ($) | 100 | The pair's result that closes it at the second level; may be negative. |
| ROI 3 | Off | The third level, on its own. |
| Period 3 (bars) | 120 | Bars of the chart after which the third level applies. |
| Period 3 (s) | 7200 | Seconds of market time after which the third level applies. |
| Value 3 ($) | 0 | The pair's result that closes it at the third level; may be negative. |
Orders
| Parameter | Default | What it does |
| Entry retries | 3 | How many times a refused leg entry is resent; after that the pair is unwound. |
| Exit retries | 3 | How many times a refused disaster stop is resent. |