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Triangular Arbitrage - Simple, High-Profit, Low-Drawdown

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Posted (edited)

@mist lix

Yes, I believe double and triple are included, but the swap adds only a small amount to the profit.

Regarding the size calculation.
I leave the calculation alone for the duration of the position's run, but I recalculate when a position is closed and a new one is opened.

The size calculation changes very little over a long period of time, so it has little effect on profit, as seen in the two-year backtest, and most positions are closed the same day or hour.

I try to keep things as simple as possible, so I avoid position sizing because it may eat into my profit.

Edited by downloadz

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