Hedge trading spieler system derived from futures spread trading

Ok. Thanks.

I was hoping that it could include GBPJPY EURJPY EURGBP.
Anyway thanks for what you have provided.

BRuce

I know what you (and I also) need, perhaps can I find later a solution. Only not today!

In the new EA version 2.3, I calculate the WinLoss in pips and in currency.

Here an example from a possible (simulated) trade at 2008.07.08, with entry at 08:00 and exit at 17:00.

Please check the close prices for EURUSD and USDCHF, as well the calculations.

You have to be careful that for the sum WinLoss pips, the pips from the second pair must be multiplied with the factor Lots2/Lots1!

The TickValue in EUR is 6.2747 for EURUSD and 6.1751 for USDCHF.
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Well, seems like this is another part of this strategy which everyone is not clear about. dragosd1 said in post 45 that the calculation is made from origional entry point?

Hi..

Yes Richard you are right...this is what Spieler says in his first post on this thread...

"if the divergence goes to -0.45 you put one more position ( 1 and 1.5) if goes to -0.65 you put one more ( you can wait longer if you have a small account or want to be more conservative).
If the divergence goes more than 0.65% you wait till 1% ( almost never happen)."

From that its obvious he is using the same calculation as he is with the 0.25.

hi...

Just so we all have similar numbers to start the new week off....

what are everyones numbers as of now..

I have......ECH -0.25... EUR 0.86... CHF -1.10

For us is not easy to use the ratios, we need practice.
If we take the last days, we have the folowing SELL signals:
2008.07.08 23:00 (0.3717)
2008.07.09 09:00 (0.2470)
2008.07.10 13:00 (0.2903)

- The ratios comes not back to zero! In the spread I calculate the result from entry to the last friday, and we have a small win of +29 pips. The condition is that our margin permit to trade the 3 sells.

- If we take also the buy signal at 2008.07.09 07:00 (-0.2223), this trade brings until friday for BUY:
EURUSD: 1.5718 / 1.5937 = +219
USDCHF: 1.0279 / 1.0161 = -118*1.5 = +42 pips

- With the little indicator "SpielersHedge oClosePrices" you can check in the EURCHF chart the prices of EURUSD and USDCHF.
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Mine.....ECH -0.19...EUR +0.95...CHF-1.15
Taken from CNBC

Hi...


thanks Richard.....The difference in ECH is a 10 pip higher close on the data from CNBC than my charts....but if I use that close I would also get 0.19 I gather the others a similar differences..

so far so good....

Here is an EA that I use to hedge two pairs. It has a profit target in dollars and if CloseOnProfit is false, it will open another. UseMinis does nothing right now. You start it manually.

Hi, Bhale,
would you please give a little more details?
the EA opens positions?
it closes the positions in profit if "closeonprofit" is true?
how it acts if you have more positions opened(how it manages them)?
if the orders must be filled in manually, how it choose which orders to close, we may enter some comment?

1. - I modified the indicator "oClosePrices" posted bevore, because the pair names wasn't shown.

2. - Indicator "Delete_ActiveOrders2Pairs", to use if the EA generate hundred of orders, like version 2.2...!

3. - EA_v2.3

You can take the parameter "Number_LevelsToTrade " with the default value 1.
In this case are the trade results shown properly.
For more levels (2 or 3) is the EA yet unfinished.

If you take the entrys manual, I think with the input "Automatic_CloseOrders = true" you have a similar tool like bhales EA.

For buggs they must forgive, because I can test live the EAs also only next week.
.

Hi...


So is anyone in a trade ...

Nothing my way...only just up to speed now...so will see this week...

But would be good if people interested here put up the trades...even if demo...as we are still on a learning curve here.

On Friday I made my first demo trade. Buy EURUSD @ 1.5894. Buy USDCHF @ 1.0172. The pairs were -29% and -44% divergence. This was at 2:42 PM EST.

Today I closed both orders at 6:49 PM EST. The total divergence for EURCHF was at +20%. EURUSD @ 1.5918. USDCHF @ 1.0183.

EURUSD + 24 pips
USDCHF + 11 pips

This wasn't including spreads

In conclusion this system seems simple enough. Watch the EURCHF pair, when is diverges greater than 20% get in the opposite direction. If the cross keeps diverging, add to your position. So far I have found only one loss when the cross pair kept trending. This was a quick backtest over the past 2 weeks. I would like to make a more comprehensive back test to actually see how many times the EURCHF will keep trending/diverging and fail to turn around. From what i see right now the if you get in at 20%-40% divergence on EURCHF it turns around a far majority of the time. However, we need actual numbers to help define our risk. We need this data/testing for at least 4 months, maybe more. This will help us for position sizes. This will also help define our risk as to when to get out on a deal gone bad. All we need is a small edge, put the probabilities on our side, and the long run will produce profits...Have to know when to get out on a wrong deal to limit risk in proportion to the rewards.

Graham

I just found in the two sunday market hours that the ratio values and the signals wasn't OK.

Maybe is better to take for monday the close from friday !???

Hi..


SwingMan.....I am always using the previous days close....as you can see today that the EUR...gapped up (on my charts) so the open and previous close had a few pips difference 44 pips.

Graham.... good to see this thing action...small profits were all that was expected , consistency is the trick.

If we can all put the trade on here...we can get a better idea how its going to go over time.

I can see the divergence going to -2.15 over the last few months. Do we continue adding lots?

Hi...


Well I kind of see the adding of lots an option extra.

I am not fond of adding to a losing trade.......but as long as you are doing it based on a trading plan...and not just in the hope the price will come back your way....there is no problem with it.

Ok this time some light must be added.


#The system works like this: (the rules apply the same for inverse situation)
If EURCHF -25% versus day open , then we enter buy both pairs, until 0% or + 25%.#

Correct for entry . For exit differents options
1) the market reverse quickly so we have a winner i am waiting zero line and exit half , then i will close remaining close to +0.020% but this is more an experienced exit than a formal rule.

2) Market goes again our position but not enough so that we have only one position( go only to -0.40% for exemple) I will close half the position even and wait zero zone for remaining.
The idea is that hedge was again us so we lighted the pose in case the trend continious.

#Case 1: The hedge moves in our favour, so we close positions when EURCHF +25%, and in the same time, we open sell both pairs.#

Usually if we go from -0.25 to +0.25 i will wait a little bit the trend to weaken before entering the short ( i know this system is not a good candidate foe an EA sorry)

If you enter a long when eur/cfh is -0.25 than an other one at -0.50 then an other one at 0.75.
At this point it is better to wait 0.50 more before entering and that supposed that you are abble to do that by non being over leverage.

An important rule to avoid big DD in case of a huge trendy moove which can happens even if correlation supposed to be strong is that when you are in a dd situation you have to work your position:
Exemple you are long 1lot eur/usd and 1.5( or 1.60) lot usd/chf then usd/chf goes -0.50 you enter a second position,
You have to exit this position if we go to -0.25 and that is the entry point of the other one , So now you have only one position which is even and waiting for zero line.
By doing that you avoid a big trend which occurs 1 or 2 times per year because you have always a pull back so you can lighten the position and not being hitted by a Margin call.

If you keep the position ON , Let say on monday you are in short at +0.25% end of day i s+0.35%.
On tuesday ( my graphs are GMT) you start th ehedge at 0% but in your head you know that you are +0.35% , you HAVE TO wait again +0.25% and not only +0.10% more , doing that you minimize again the risk and th emoney management.
Amnd Money management is everything in this system ( in others too )

An iother question was do you keep on : anwer yes

I will post all the trades i will make so than after 2 weeks things will be clear.

i forget to take a picture on the friday exit but profit have been several K$ something close to +0.50% compared to the capital of the account.

The closes I use are Sunday (includes whole Friday), then Thursday, Wednesday, etc, so no Friday close. For me Sunday close is the end day of the total of Friday and Sunday action.
For Sunday action the previous day close would be the Thursday close. So in my case Monday action just uses the Sunday close as previous day.