{"id":2341,"date":"2021-04-05T21:36:19","date_gmt":"2021-04-05T21:36:19","guid":{"rendered":"https:\/\/ricovictor.com\/?p=2341"},"modified":"2026-01-29T21:51:42","modified_gmt":"2026-01-29T21:51:42","slug":"arbitraje-estadistico-analisis-de-cointegracion-forex","status":"publish","type":"post","link":"https:\/\/ricovictor.com\/index.php\/2021\/04\/05\/arbitraje-estadistico-analisis-de-cointegracion-forex\/","title":{"rendered":"Arbitraje Estad\u00edstico. An\u00e1lisis de Cointegraci\u00f3n Forex."},"content":{"rendered":"\t\t
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C\u00f3mo ya he explicado en algunos post anteriores es posible usar los\u00a0modelos estad\u00edsticos de cointegraci\u00f3n\u00a0<\/b>para hacer an\u00e1lisis de series temporales, c\u00f3mo pueden ser las series de activos financieros. Estos estudios pueden tener simplemente un car\u00e1cter pedag\u00f3gico o de an\u00e1lisis global, aunque tambi\u00e9n se puede ir m\u00e1s all\u00e1 buscando sacar partido mediante el\u00a0#arbitraje<\/b><\/a> estad\u00edstico. En este caso la idea es usar esa t\u00e9cnica para crear una estrategia de trading cuantitativo y voy a usar un ejemplo totalmente actualizado a d\u00eda de hoy.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t

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Aqu\u00ed vamos a analizar la relaci\u00f3n existente entre dos pares de divisas en temporalidad de 4 horas. \u00c9stos pares son el EUR AUD y el GBPAUD.<\/b>\u00a0 Lo primero que hacemos para poder desarrollar una estrategia de arbitraje basada en Cointegraci\u00f3n<\/em><\/strong> es crear un Spread entre ambas divisas para ver si hay una situaci\u00f3n de desequilibrio entre ellas. M\u00e1s abajo pueden ver el gr\u00e1fico del Spread.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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Una vez tenemos el spread le aplicamos el Test De Dickey Fuller<\/a><\/strong> para ver si existe no estacionariedad en el largo plazo. En este ejemplo si la hay,por tanto podemos usarlo con el objetivo de operar. (Si no sabes lo que es el Test de Dickey Fuller respasa este tutorial<\/a> o \u00e9ste curso<\/a>).<\/p>

Ahora , si nos fijamos en el gr\u00e1fico nos damos cuenta como existe una gran p\u00e9rdida de equilibrio habi\u00e9ndose el spread alejado mucho de la zona media. Por tanto la estrategia aqu\u00ed ser\u00e1 Compra de EURAUD y Vender simultaneamente de GBPAUD<\/strong>, y esperar a que el spread vuelva a la zona media.<\/p>

Parece muy f\u00e1cil y simple<\/strong>,pero hay algo que tener en cuenta, y es que no siempre en cualquier punto en el que t\u00fa realices esa entrada saldr\u00e1s ganando. En este ejemplo ser\u00eda mejor esperar una mayor ca\u00edda hasta que llegar\u00e1 a la segunda desviaci\u00f3n(L\u00ednea Roja). \u00bfPor qu\u00e9? Porque si esperamos a esa zona nuestra probabilidad de ganancia ser\u00e1 de un 80 por ciento. \u00c9sto lo s\u00e9 por el backtest de la estrategia cuyo gr\u00e1fico puedes ver m\u00e1s abajo.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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Por tanto, para poder conseguir un resultado que se asemeje en un alto grado a la curva debemos esperar todav\u00eda. Seguiremos analizando en otros post esta t\u00e9cnica con m\u00e1s ejemplos de este tipo.<\/p>\t\t\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t

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\n\t\t\t<\/i>\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t\t\t\t<\/div>\n\t\t","protected":false},"excerpt":{"rendered":"

C\u00f3mo ya he explicado en algunos post anteriores es posible usar los\u00a0modelos estad\u00edsticos de cointegraci\u00f3n\u00a0para hacer an\u00e1lisis de series temporales, c\u00f3mo pueden ser las series de activos financieros. Estos estudios pueden tener simplemente un car\u00e1cter pedag\u00f3gico o de an\u00e1lisis global, aunque tambi\u00e9n se puede ir m\u00e1s all\u00e1 buscando sacar partido mediante el\u00a0#arbitraje estad\u00edstico. En este …<\/p>\n

Arbitraje Estad\u00edstico. An\u00e1lisis de Cointegraci\u00f3n Forex.<\/span> Leer m\u00e1s »<\/a><\/p>\n","protected":false},"author":19,"featured_media":2343,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[24],"tags":[],"yoast_head":"\nArbitraje Estad\u00edstico. 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