Triangular arbitrage on major pairs: why it cannot be reproduced
Methodology
- The hypothesis requires synchronous quotes for the three pairs forming the triangle, with precise timestamps.
- The portal holds history for a single pair, EUR/USD — a chain of three instruments cannot be assembled from it.
Why the hypothesis cannot be tested on our data
Triangular arbitrage by construction works with three linked pairs and lives on a millisecond horizon. The available data is a single EUR/USD pair on daily bars, so the chain of conversions cannot be reproduced either by the number of instruments or by the time scale.
We deliberately give no figures here: a result computed on unsuitable data would be a fabrication. Blank space is more honest than a fake study.
Download the exact sample and run the logic yourself — the numbers above should match.
A Binance spot EUR/USDT proxy series, not a forex-broker feed. Binance Spot REST API (api.binance.com/api/v3/klines).
Conclusion
This hypothesis cannot be tested on our data: an arbitrage chain by definition requires several instruments, and the mispricing window lives for milliseconds and does not exist on daily bars.
Practical takeaway for the trader
Pure triangular arbitrage on liquid markets is eliminated by high-frequency systems within fractions of a second; it is out of reach for a retail trader without the corresponding infrastructure.
FAQ
Why a study with no result?
Because there can be no honest result on our data: arbitrage requires three synchronous instruments on a millisecond horizon, and the portal has only daily bars for one pair. We will not substitute invented figures.
Does this arbitrage still exist?
On liquid markets it has all but vanished: mispricings are eliminated within fractions of a second by automated systems.
What would be needed to test it?
Synchronous tick quotes for the three pairs with nanosecond timestamps and a cost model — data unavailable on historical bars.