Multi Arbitration 1.1xx
This EA implements a multi-pair statistical arbitrage strategy that identifies price divergences between correlated instruments and trades the expectation of mean reversion. It monitors multiple symbol pairs simultaneously, calculating spread deviations and z-scores to detect mispricing opportunities. Positions are opened when the spread deviates beyond configurable thresholds and closed when the spread converges back to equilibrium.
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 whose core concept is trading based on price spread deviations between multiple correlated financial instruments. Entry conditions are triggered when the spread between two or more correlated symbols deviates beyond a configurable Z-score threshold from its historical mean, at which point the EA opens opposing positions (long the undervalued symbol, short the overvalued symbol). Exit conditions include closing positions when the spread reverts to its mean or reaches a target profit level, as well as when stop-loss conditions are triggered. Position sizing uses dynamic allocation based on spread volatility, ensuring that the notional value of each leg is matched to achieve market neutrality. Money management is handled through configurable risk parameters that control maximum exposure per trade and overall portfolio risk. The strategy also incorporates real-time monitoring of correlation coefficients, automatically closing positions when the correlation breaks down to prevent losses.
Strengths
- Statistical arbitrage provides market neutrality, operating independently of directional market moves in both ranging and trending conditions
- Multi-pair trading diversifies single-instrument risk, and real-time correlation monitoring adds an additional layer of risk protection
- Strategy is grounded in quantifiable statistical metrics (Z-score, correlation), providing objective and unambiguous entry/exit signals without subjective judgment
- Dynamic position matching ensures market neutrality between arbitrage legs, reducing directional risk exposure
Weaknesses
- Statistical arbitrage is highly dependent on the stability of inter-instrument correlations; correlation breakdowns can cause losses on both legs simultaneously
- High parameter sensitivity means the choice of Z-score threshold and lookback period significantly impacts performance, with a risk of overfitting to historical data
- During extreme market events, spreads may fail to revert to the mean for extended periods, causing sustained losses or stop-loss triggers on arbitrage positions
- Multi-instrument simultaneous trading increases margin requirements and slippage risk; insufficient liquidity may prevent simultaneous execution of both legs
Possible improvements
- Add cointegration testing (e.g., Engle-Granger or Johansen test) instead of simple correlation coefficients for more robust detection of long-term equilibrium relationships between instruments
- Introduce adaptive parameter optimization that dynamically adjusts Z-score thresholds and position sizing based on prevailing market volatility regimes
Risk assessment
Overall risk: Medium
- Correlation breakdown risk: Historical correlations between instruments may suddenly fail under market stress, fundamentally invalidating the arbitrage logic
- Execution risk: Multi-leg trades require simultaneous execution; slippage or partial fills can destroy market neutrality
- Parameter overfitting risk: Optimized lookback periods and thresholds may only be effective on historical data, with live performance potentially deviating significantly
Evaluation scores
Parameters
| Parameter | Default | Description |
|---|---|---|
ZScoreThreshold | 2.0 | Z-score threshold; signals triggered when exceeded |
TakeProfit | 50 | Auto take profit in points; 0=disabled |
StopLoss | 200 | Auto stop loss in points; 0=disabled |
LotSize | 0.1 | Lot size per leg |
CorrelationPeriod | 100 | Correlation coefficient calculation period |
MaxPositions | 3 | Maximum simultaneous positions |
SpreadPeriod | 50 | Spread mean calculation period |
MagicNumber | 18751 | Unique EA order identifier preventing conflicts |
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Backtests are historical simulations and do not guarantee future results. Not financial advice.