// Statistical Arbitrage — pair: EURUSD / GBPUSD double NotionalValue(string sym, double lots) { double contract = SymbolInfoDouble(sym, SYMBOL_TRADE_CONTRACT_SIZE); double price = SymbolInfoDouble(sym, SYMBOL_BID); return lots * contract * price; // notional, quote ccy } double ZScore(double &spread[], int period) { double mean = 0, sd = 0; for (int i = 0; i < period; i++) mean += spread[i]; mean /= period; for (int i = 0; i < period; i++) sd += MathPow(spread[i] - mean, 2); sd = MathSqrt(sd / period); return sd == 0 ? 0 : (spread[0] - mean) / sd; } void OnTick() { double beta = HedgeRatio("EURUSD", "GBPUSD", 200); // rolling OLS double z = ZScore(spreadSeries, 100); if (z > 2.0) OpenPair(SELL_A_BUY_B, beta); // spread rich if (z < -2.0) OpenPair(BUY_A_SELL_B, beta); // spread cheap