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Safe Hedging System - Daily Swap

  • #161
  • May 25, 2007 11:32am May 25, 2007 11:32am
Quoting Carllos
today screenshot before Round 9
hello carllos
i added your ea to 4 chart daily time frame but always the trade is off in 15 to 15:59 and dont open any position.
thanks
  • #162
  • May 26, 2007 3:05am May 26, 2007 3:05am
Guys:

First of all I want to say a word of Thanks to all of you keeping this thread alive. And I want to extend special thanks to Carllos for his contribution in this Hedging methods EA.

I will be following this thread from time to time and answering some questions, I just have been involved with different project lately that took almost all of my time.

I am planning to start a new thread exploring further on the Hedging strategy. I know people have doubts on this method, but once you put this into test, you will see that it works.

Obviously one can argue that if you just go long on GBP/JPY and you can do the same results. But when GBP/JPY moves against you, eh.. lets say 80 PIPS, would you still hold on and stay in the trade? With this method, you would obviously still stay in the trade, since the other pairs will be hedging your losing GBP/JPY pair.

There is no perfect formula, perfect trade, or perfect system. But I am confident that my system will work, if you give it enough time. And to all of you that have tried and made money, good job!

neo
  • #163
  • May 27, 2007 8:01pm May 27, 2007 8:01pm
I tested this strategy with different real scenarios. And find out an optimal lot size, changing it by iteration.

I think results are good enough in the medium/long term, based on empiric data.

These are the rules:
- Initial Balance 1000
- Swap of InterbankFX for mini accounts.
- Margin leverage 1/200.
- Mini lot size 10k.
- Use max margin as it is possible (84%). I used $844 on margin of a total balance of $1000. (Yes 84%).
- Used open price for the test. In the 2º scenario the worst price for the strategy was used.

Here are the tests:
1º Scenario: The chinese Tsunami (02/25/07 - 03/05/07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 237.68 224.52 -1316 0.0822 3.75 -405.51 61.65
S CHFJPY 98.24 95.44 280 0.0822 7.50 172.57 -20.10
S GBPUSD 1.9640 1.9338 302 0.1 3.75 113.25 0.90
S USDCHF 1.2311 1.2156 155 0.0813 1.88 23.61 -14.10
TOTALS -579 -96.08 28.35

Net P/L: -67,73


2º Scenario: GBP JPY from the top to the depths (01/23/07 - 03/05-07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 221.05 -1932 0.0822 3.75 -595.32 315.95
S CHFJPY 97.32 95.46 186 0.0822 7.50 114.63 -103.01
S GBPUSD 1.9768 1.9338 430 0.1 3.75 161.25 4.61
S USDCHF 1.2311 1.2243 248 0.0813 1.88 37.78 -72.26
TOTALS -1068 -96.08 145.29

Net P/L: -136.36


3º Scenario: From scenario 2º to date (01/23/07 - 05/25/07).
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 240.71 34 0.0822 3.75 10.48 940.16
S CHFJPY 97.32 98.89 -157 0.0822 7.50 -96.76 -306.53
S GBPUSD 1.9768 1.9847 -79 0.1 3.75 -29.63 13.73
S USDCHF 1.2311 1.2278 213 0.0813 1.88 32.45 -215.03
TOTALS 11 -83.46 432.34

Net P/L: +348.88 (104.38% annual)

I use GBPJPY as the base currency to determine lot size of the others.
GBPJPY = 1 lot
CHFJPY = 2 * GBPJPY lots.
GBPUSD = GBPJYP lots.
USDCHF = 0.5 * GBPJPY lots.

Finally, I made a 4º test, in a year period. But prices are backward. I used prices of 05/25/07 as initial prices, and 05/25/06 as actual (final) prices.
4º scenario: backward (05/25/07 - 05/25/06)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.71 196.35 -4436 0.0822 3.75 -1366.90 2812.78
S CHFJPY 98.89 92.64 625 0.0822 7.50 385.19 -917.06
S GBPUSD 1.9847 1.8695 1125 0.1 3.75 432 41.06
S USDCHF 1.2278 1.2169 109 0.0813 1.88 16.61 -643.31
TOTALS -2550 -533.10 1293.47

Net P/L: +760.37 (76% annual).

In a wide concept of hedge, this is fully hedge. Hedge isn't strictly a mathematical matter. It also has to give the strategy resistance to the different volatility, concomitant with a positive swap return.

Thanks neo1001 for your ideas.

Rama
  • #164
  • May 27, 2007 11:14pm May 27, 2007 11:14pm
Hi, Rama,

Thanks for your effort of the testing of different scenarios.
I would like to know how you come up with the lot sizes below?
I use GBPJPY as the base currency to determine lot size of the others.
GBPJPY = 1 lot
CHFJPY = 2 * GBPJPY lots.
GBPUSD = GBPJYP lots.
USDCHF = 0.5 * GBPJPY lots.

I think my way of calculating lot sizes may differ from yours 'coz I'll double USDCHF, that is 2*GBPJPY lots. This is because if you see the average daily range (number of pips moves from top to bottom), you'll find that GBPJPY often moves 2 fold or more than USDCHF, and since their pip value are almost the same, 8.2 and 8.3, the dollar value difference at the end will be huge! At least 2 times.
So if GBPJPY rises, you sure can make a lot of money, but if it drops, it's also a sure to lose.
My calculation of a safer hedge will be
GBPJPY 1 Lot
CHFJPY 3 Lot
GBPUSD 1.5 Lot
USDCHF 2 Lot

The problem is, is you use these lot sizes, you end up lose in swaps...but you may make profit of 1-3% from time to time.

More to go later with more real life test.

Quoting Rama
I tested this strategy with different real scenarios. And find out an optimal lot size, changing it by iteration.

I think results are good enough in the medium/long term, based on empiric data.

These are the rules:
- Initial Balance 1000
- Swap of InterbankFX for mini accounts.
- Margin leverage 1/200.
- Mini lot size 10k.
- Use max margin as it is possible (84%). I used $844 on margin of a total balance of $1000. (Yes 84%).
- Used open price for the test. In the 2º scenario the worst price for the strategy was used.

Here are the tests:
1º Scenario: The chinese Tsunami (02/25/07 - 03/05/07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 237.68 224.52 -1316 0.0822 3.75 -405.51 61.65
S CHFJPY 98.24 95.44 280 0.0822 7.50 172.57 -20.10
S GBPUSD 1.9640 1.9338 302 0.1 3.75 113.25 0.90
S USDCHF 1.2311 1.2156 155 0.0813 1.88 23.61 -14.10
TOTALS -579 -96.08 28.35

Net P/L: -67,73


2º Scenario: GBP JPY from the top to the depths (01/23/07 - 03/05-07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 221.05 -1932 0.0822 3.75 -595.32 315.95
S CHFJPY 97.32 95.46 186 0.0822 7.50 114.63 -103.01
S GBPUSD 1.9768 1.9338 430 0.1 3.75 161.25 4.61
S USDCHF 1.2311 1.2243 248 0.0813 1.88 37.78 -72.26
TOTALS -1068 -96.08 145.29

Net P/L: -136.36


3º Scenario: From scenario 2º to date (01/23/07 - 05/25/07).
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 240.71 34 0.0822 3.75 10.48 940.16
S CHFJPY 97.32 98.89 -157 0.0822 7.50 -96.76 -306.53
S GBPUSD 1.9768 1.9847 -79 0.1 3.75 -29.63 13.73
S USDCHF 1.2311 1.2278 213 0.0813 1.88 32.45 -215.03
TOTALS 11 -83.46 432.34

Net P/L: +348.88 (104.38% annual)

I use GBPJPY as the base currency to determine lot size of the others.
GBPJPY = 1 lot
CHFJPY = 2 * GBPJPY lots.
GBPUSD = GBPJYP lots.
USDCHF = 0.5 * GBPJPY lots.

Finally, I made a 4º test, in a year period. But prices are backward. I used prices of 05/25/07 as initial prices, and 05/25/06 as actual (final) prices.
4º scenario: backward (05/25/07 - 05/25/06)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.71 196.35 -4436 0.0822 3.75 -1366.90 2812.78
S CHFJPY 98.89 92.64 625 0.0822 7.50 385.19 -917.06
S GBPUSD 1.9847 1.8695 1125 0.1 3.75 432 41.06
S USDCHF 1.2278 1.2169 109 0.0813 1.88 16.61 -643.31
TOTALS -2550 -533.10 1293.47

Net P/L: +760.37 (76% annual).

In a wide concept of hedge, this is fully hedge. Hedge isn't strictly a mathematical matter. It also has to give the strategy resistance to the different volatility, concomitant with a positive swap return.

Thanks neo1001 for your ideas.

Rama
make some money, have some fun, leave some footprints
  • #165
  • May 28, 2007 5:55am May 28, 2007 5:55am
Quoting rzamany
hello carllos
i added your ea to 4 chart daily time frame but always the trade is off in 15 to 15:59 and dont open any position.
thanks
Please follow instructions on post 141:

extern bool TradeMode = false; //if you want to trade change it to true
"Hoe ur pips mate?" fxcarllos
  • #166
  • May 28, 2007 6:02am May 28, 2007 6:02am
Before Round 10
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy 2805.jpg Size: 85 KB
"Hoe ur pips mate?" fxcarllos
  • #167
  • May 28, 2007 6:12pm May 28, 2007 6:12pm
Hi Carllos, your EA is great but is there any diferrent between 2Day EA and 2Day EA V2.0b?

Thanks a lot
  • #168
  • May 28, 2007 6:18pm May 28, 2007 6:18pm
Quoting boostrade
I think my way of calculating lot sizes may differ from yours 'coz I'll double USDCHF, that is 2*GBPJPY lots. This is because if you see the average daily range (number of pips moves from top to bottom), you'll find that GBPJPY often moves 2 fold or more than USDCHF, and since their pip value are almost the same, 8.2 and 8.3, the dollar value difference at the end will be huge! At least 2 times.
So if GBPJPY rises, you sure can make a lot of money, but if it drops, it's also a sure to lose.
My calculation of a safer hedge will be
GBPJPY 1 Lot
CHFJPY 3 Lot
GBPUSD 1.5 Lot
USDCHF 2 Lot

The problem is, is you use these lot sizes, you end up lose in swaps...but you may make profit of 1-3% from time to time.

More to go later with more real life test.
Hi Boostrade:
I agree with your view point. The lot size you has calculated it quite fine to protect your position. I tested in the same spreadsheet of my previous scenarios, and it shows good results on capital P/L. I mean profits and looses in pips. The max drawdown is -6.5% of the balance. Without interests.

And as you said, the swap is negative. So you are out of the strategy. This strategy looks for interests gains, protecting your capital.
Lot size is perfect hedged in "currency" value terms. But it doesn't pays you interests, as you said.

The lot size that I have calculated was determined by iteration: based on a specific initial balance, and leverage, i changed the sizes of the lots manually and looked for the one who reaches the breakeven in the worst scenario, with highest swap. This lot size must fulfill a positive swap, to keep inside the strategy.

"More to go later with more real life test."

Best regards.
  • #169
  • Edited May 30, 2007 4:23am May 29, 2007 5:18am | Edited May 30, 2007 4:23am
Quoting Jonathan You
Hi Carllos, your EA is great but is there any diferrent between 2Day EA and 2Day EA V2.0b?

Thanks a lot
There is a small bug that some of you might have noticed, concerning the 1 pip take profit. It´s fixed now. Please download the EA attached HERE and replace the other.

There is no difference between 2Day_EA.mq4 and 2Day_V2b. The last one is the one i use in my own computer and since i´m allways trying to improve things i don´t want to mess with the EA i post, so i just changed the name for my own private use.

Thanks

alex.pt
Attached File(s)
File Type: mq4 2day EA.mq4   13 KB | 691 downloads
"Hoe ur pips mate?" fxcarllos
  • #170
  • Edited 5:00am May 30, 2007 3:39am | Edited 5:00am
All 10 Rounds set and going.. (You can see SWAP gains if you download EA from post 169)
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy 3005.jpg Size: 79 KB
"Hoe ur pips mate?" fxcarllos
  • #171
  • May 30, 2007 4:42am May 30, 2007 4:42am
Quoting Carllos
All 10 Rounds set and going.. (You can see SWAP gains if you download EA from post 169)
u are gaining 17% at the moment,not bad.when was your first entry?
  • #172
  • May 30, 2007 8:28am May 30, 2007 8:28am
I can't get this to work....I'm thinking I'm putting in the wrong hour. I'm trying to test it now to see it in action btw.

extern string TM="Turn TradeMode=true to trade";
extern bool TradeMode = true; //if you want to trade change it to true
extern string R="Round 0: Round=0 (1Lot); Round=1,2.. (0.1Lot)";
extern int Round=0;
extern string Lot0="Number lots on Round 0";
extern double lotsini=1.0;
extern string Lot10="Number lots on Rounds 1-10";
extern double lots=1;
extern string Time2Go="Time to place orders for new Round";
extern int hr=16;
extern int min1=25;
extern int min2=59;
extern string StopRound="Stop=1pip after 100 pips profit";
extern bool RoundStopMode = true;
extern int GBP_pips_Profit = 100;
extern int GBP_pips_Stop = 1;
  • #173
  • May 30, 2007 11:20am May 30, 2007 11:20am
I installed the 2day EA on all 4 charts with the default settings, and it has not placed a single order in last 14 hours. Do I have to change any input parameters?
  • #174
  • May 30, 2007 2:52pm May 30, 2007 2:52pm
Quoting amenlo9
u are gaining 17% at the moment,not bad.when was your first entry?
Round 0 and Round 1 placed day 15.5.07
"Hoe ur pips mate?" fxcarllos
  • #175
  • May 30, 2007 2:56pm May 30, 2007 2:56pm
Quoting gupta_pramod
I installed the 2day EA on all 4 charts with the default settings, and it has not placed a single order in last 14 hours. Do I have to change any input parameters?
I guess you might have to change TradeMode to TRUE (check EA properties):

extern bool TradeMode = FALSE; //if you want to trade change it to true

If you still have problems post your parameters here.
"Hoe ur pips mate?" fxcarllos
  • #176
  • May 30, 2007 3:03pm May 30, 2007 3:03pm
Quoting s3padrian
I can't get this to work....I'm thinking I'm putting in the wrong hour. I'm trying to test it now to see it in action btw.

extern string TM="Turn TradeMode=true to trade";
extern bool TradeMode = true; //if you want to trade change it to true
extern string R="Round 0: Round=0 (1Lot); Round=1,2.. (0.1Lot)";
extern int Round=0;
extern string Lot0="Number lots on Round 0";
extern double lotsini=1.0;
extern string Lot10="Number lots on Rounds 1-10";
extern double lots=1;
extern string Time2Go="Time to place orders for new Round";
extern int hr=16;
extern int min1=25;
extern int min2=59;
extern string StopRound="Stop=1pip after 100 pips profit";
extern bool RoundStopMode = true;
extern int GBP_pips_Profit = 100;
extern int GBP_pips_Stop = 1;
______________________________________

According to your parameters your EA will start Round 0 (1 lot) between 16:25h and 16:59h

You have to check the broker time. Trades will be placed @ BROKER TIME, not @ your local time. to see broker time check arrow on pic attached.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy 3005_2.jpg Size: 97 KB
"Hoe ur pips mate?" fxcarllos
  • #177
  • May 30, 2007 3:09pm May 30, 2007 3:09pm
awesome! will do
  • #178
  • May 30, 2007 3:21pm May 30, 2007 3:21pm
Well, I tried Market Time, Local Time, and Broker Time.

Nothing to it to trigger.

Yes it was turned "on"
  • #179
  • May 30, 2007 4:34pm May 30, 2007 4:34pm
In the event that the gbp/jpy carry trade would start and continue unwinding for whatever reason, does anyone have some ideas on a hedge similar to Neo's or a modification that would be profitable when gbp/jpy is coming down? Using different pairs etc. but still without having losing swaps over all...
  • #180
  • May 31, 2007 4:24am May 31, 2007 4:24am
Quoting s3padrian
Well, I tried Market Time, Local Time, and Broker Time.

Nothing to it to trigger.

Yes it was turned "on"

Settings: (Check if this work if not send me your private email and i´ll forward you a different version)

#property copyright "alex.pt (aka Carllos)"

extern string TM="Turn TradeMode=true to trade";
extern bool TradeMode = true; //if you want to trade change it to true
extern string R="Round 0: Round=0 (1Lot); Round=1,2.. (0.1Lot)";
extern int Round=0;
extern string Lot0="Number lots on Round 0";
extern double lotsini=1.0;
extern string Lot10="Number lots on Rounds 1-10";
extern double lots=0.1;
extern string Time2Go="Time to place orders for new Round";
extern int hr=15;
extern int min1=00;
extern int min2=59;
extern string StopRound="Stop=1pip after 100 pips profit";
extern bool RoundStopMode = true;
extern int GBP_pips_Profit = 100;
extern int GBP_pips_Stop = 1;
"Hoe ur pips mate?" fxcarllos
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