在外匯交易所有的貨幣對當中，有哪幾對貨幣最適合做三角套利，為什麼？其內在的邏輯又是什麼？

01-22

1.所謂三角套利，在外匯零售盤上，除非是經紀商數據出問題，否則不可能套利。

2.持倉三個貨幣對，發現盈虧浮動變化的原因是三個貨幣對倉量1:1:1是不完全對沖，存在裸露頭寸。

3.連外匯合約都還沒搞清楚，就幻想著套利，高速公路上有一百塊錢，怎麼不撿了。

1,先上圖，不說話。

三角套利的理論依據在這邊說得比較清楚，可以看一下．https://www.kreslik.com/forums/viewtopic.php?t=307

General contemplation on quotes origin

From the dawn of civilization, people were exchanging goods and services among themselves to satisfy their needs. The principle of exchange is at the very core of any business. Indeed, we are making exchange-related decisions in our everyday lives.

The introduction of money changed nothing on the ubiquity of this exchange principle, since money is just a medium that facilitates the exchange in a smoother way. As we all know (or do we? ), money itself has no value until we assign some value to it externally. In other words, money can only buy you things if your business counterpart believes the money possesses some value. Certainly you wouldn』t expect an unspotted native from the middle of an African forest to trade his 10 pounds of gold for your colored slips of paper (money). First you have to make him believe those slips are of some value (good luck on that quest ).

Let』s now abandon the question of money being an intrinsically worthless medium of exchange and let』s focus on a thesis that is closely related to it: that no value is actually expressible without a comparison to some other value. This may not seem obvious, but until you express a value of object A in comparison to at least one other value, the object A』s value is uknown.

We may call this comparison a quote and it』s expressed:

either in a form of a product: A = 2 * B
or a fraction: B = A / 2

To better understand the mutual relationship between the values, let』s express some commonly used values as value / value fractions:

1 GOOG stock / 1 USD = 420.00
1 BMW 750i / 1 EUR = 87,500.00
1 hour of your work / 1 USD = 100.00
1 EUR / 1 USD = 1.2
1 GOOG stock / 1 hour of your work = 4.2
1 BMW 750i / 1 GOOG stock = 250

Every such fraction/quote defines the mutual relationship between the two values and based on various conditions, this quote changes. The key term here is 「mutual relationship」: if the Google stock quoted in USD goes down, it means the ratio of GOOG value to USD value is lower. It saysabsolutely nothing about the intrinsic value of GOOG or USD in relation to other values (like to the value of one hour of your work or to the value of one BMW 750i). In fact, maybe GOOG actually strenghtened after announcing a new revolutionary web service, but USD did strenghten evenmore after Bernanke said the Fed was gonna raise the interest rates to 10% the next week.

Unfortunately, there is no 「firm」 value in the world to which other values (and thus, the quotes to them) could possibly be linked. This value uncertainity makes the world a perfect place for traders though

As we know, the Forex quotes are the ratios between the values of the first currency in the Forex symbol (the base or unit currency) and the second currency in the FX symbol (the quote or the price currency). There is no 「absolute」 value of any of these currencies per se. For instance, the quote

EUR/USD = 1.2847

Denotes there』s a ratio of 1.2847 between the value of 1 EUR and the value of 1 USD. But we never can possibly find out what』s the value of 「EUR」 nor 「USD」 separately.

FPI – a simple mathematical draft

Let』s make things simpler and let』s picture the Forex quotes as the plain mathematical fractions. Let』s have three Forex symbols, represented by commonplace fractions:

a / b = 2.5
b / c = 2
c / a = 0.2

Are we able to derive the values of a, b and c variables from these three expressions? No way. As stated above, the value can』t be expressed without a comparison to some other value. But we know what is the relation between the values though.

In this example, there are three fractions (FX symbols):

a / b
b / c
c / a

and three separate variables (currencies):

The quotes (the values of these fractions) in this example are not random. Actually, even though we don』t know the values of a, b and c, there is amutual relationship between the above fractions. We can even derive the third fraction』s value from the first two:

a / b = 2.5
b / c = 2
c / a = ?

c / a = 1 / ((a / b) * (b / c))
c / a = 1 / (2.5 * 2)
c / a = 1 / 5
c / a = 0.2

A simple test reveals the product of the fractions』 values is 1 and thus the results are ok:

(a / b) * (b / c) * (c / a) = 1
2.5 * 2 * 0.2 = 1

We can derive the value of any of the above three fractions if we know the value of the two others. We may generalize that in a set of n fractions where every individual variable is present exactly twice, we only need to know (n – 1) fractions』 values to derive the value of the last, unknown fraction. Obviously, this is true for any n, i.e. for any number of fractions where every individual variable is present exactly twice. We will call the set of fractions that feature the attribute of having every individual variable present exactly twice a ring since it resembles a closed ring of variables:

＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿

＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿＿

二，從樓主做的大量的統計分析與外匯實盤實踐中，最佳做三角套利的貨幣是GBPJPY與AUDCAD。

任何一個外匯貨幣對都是可以表現為另外二種貨幣的交叉。

謝邀… 我並沒有對三角套匯做實證研究，但是這個套匯思路過於簡單。我猜market maker已經足夠注意bid-ask不會出現三角套匯的。還有注意，上面有人說過的，如果同樣的手數同時開三個貨幣對不叫套匯… 你要知道1美元換1.3澳元，你要用1.3澳元再繼續換第三個貨幣對而不是1… 因此其利潤來自於不完全對沖

套利的機會很少。不過使用歐美歐棒做同一個方向棒美做相反方向。可賺錢穩定收益

在外匯零售平台真實交易中是不存在三角套利機會的，但是歷史數據模擬是有可能存在的。因為在價格變化迅速的時刻，平台中的不同貨幣兌的價格更新速度不一致，導致你在同一時刻因為某個貨幣兌價格先變化，顯示了價格差大於套利成本(deviation &> total spread)。但是在實際的交易中，因為你的單子會進入市場成交，或者說是到平台伺服器以最新的價格成交，你下單成交的價格與你當前看到的價格是會不一致的。

因此，即便你能做出非常漂亮的基於三角套利的EA，歷史模擬數據及其完美，實際中也是不可用的。本人曾經自己寫過這樣的EA,也在多個平台測試過。都因為同樣的原因而導致失敗。

分享的乾貨！！！

套利屬於無風險的收益，所以普通人就別想了。屬於死路

樓上的已經很專業了，三角套利很多平台似乎不允許。

看了圖。看不懂。能分析一下嗎？