Multi Arbitration 1.000
Multi Arbitration is a statistical arbitrage EA that exploits price divergence across multiple correlated instruments. It simultaneously monitors and trades multiple currency pairs to capture convergence opportunities when correlated assets drift apart, opening opposing positions to profit from mean reversion of the spread.
Open the interactive view (equity curve, symbol switch)Key facts
Backtest results (H1, about 1 year)
Not backtested yet — this EA could not be converted automatically.
Strategy analysis
This EA employs a statistical arbitrage strategy based on the core concept of trading price spread deviations between multiple correlated financial instruments. Entry conditions trigger when the spread between two or more correlated instruments deviates from its historical mean by a predetermined threshold, at which point hedging positions are opened—going long on the undervalued instrument while shorting the overvalued one. Exit conditions are met when the spread reverts to its mean or reaches a take-profit target, with stop-losses also in place to protect against sustained spread divergence. Position sizing is typically determined by the statistical properties of the spread (such as standard deviation) to control risk exposure per trade. Money management may use fixed fractional or volatility-based methods to allocate risk per trade. The strategy relies on the stability of inter-instrument correlations; if the correlation structure breaks down (e.g., during market crises), the strategy may face significant drawdowns.
Strengths
- Market-neutral strategy that does not depend on directional trends, capable of profiting in both ranging and trending markets
- Hedging positions reduce systemic risk exposure, theoretically maintaining low market Beta
- Multi-instrument monitoring increases trade opportunity frequency and diversifies concentration risk away from single instruments
Weaknesses
- Highly dependent on the stability of inter-instrument correlations; correlation breakdowns can lead to significant losses
- Statistical arbitrage profit margins are typically narrow, and trading costs (spreads, slippage, commissions) can erode most of the profit
- Simultaneous multi-instrument trading increases complexity, requiring concurrent management of multiple positions and capital allocation
Possible improvements
- Add dynamic correlation monitoring that automatically pauses trading when correlations fall below threshold to prevent strategy failure
- Introduce adaptive position sizing that dynamically adjusts trade size based on spread volatility rather than using fixed lots
Risk assessment
Overall risk: Medium
- Correlation regime shift risk: during extreme market events, historical correlations may completely fail, causing both legs of hedged positions to incur losses simultaneously
- Slippage and liquidity risk: simultaneous opening/closing across multiple instruments may significantly increase slippage, especially on less liquid instruments
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
LotSize | 0.1 | Lot size per leg |
MaxSpread | 30 | Maximum allowed spread |
CorrelationThreshold | 0.8 | Symbol correlation coefficient threshold |
DeviationMultiplier | 2.0 | Deviation multiplier threshold from moving average |
StopLoss | 500 | Auto stop loss in points; 0=disabled |
TakeProfit | 500 | Auto take profit in points; 0=disabled |
MagicNumber | 18739 | Unique EA order identifier preventing conflicts |
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Backtests are historical simulations and do not guarantee future results. Not financial advice.