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Safe Hedging System - Daily Swap

  • #181
  • May 31, 2007 6:11am May 31, 2007 6:11am
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 2š scenario the worst price for the strategy was used.

Here are the tests:
1š 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


2š 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


3š Scenario: From scenario 2š 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 4š 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.
4š 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
Does Interbankfx offer CHF/JPY pair? I have opened a demo account for testing Neo's startegy, but unfortunately could not find the CHF/JPY pair.

Neo's startegy worked well with FXDD demo.
  • #182
  • May 31, 2007 6:57am May 31, 2007 6:57am
I'm testing this hedging strategy atm. I allready have +300$ in swap -300$ in potential loss (does not mean anything) and +700$ in assets due to closed position while i was in profit (why would i spit on 400$ and 300$ benefit if it's their ^^ this gives more margin )

On a 10k account this is 2.5 lots and i will open .3*4 lots tomorrow
  • #183
  • May 31, 2007 7:08am May 31, 2007 7:08am
Quoting simplecoders
Does Interbankfx offer CHF/JPY pair? I have opened a demo account for testing Neo's startegy, but unfortunately could not find the CHF/JPY pair.

Neo's startegy worked well with FXDD demo.
Alpari offering microlots now (0.01), if thatīs what you looking for.
"Hoe ur pips mate?" fxcarllos
  • #184
  • May 31, 2007 7:47am May 31, 2007 7:47am
i made a good entry when cable at 2.0000 area and GBP/JPY at 236 area on april.now my account is gaining about 65% since mid of April.but swap is not the major income,all profit is from cable and GBP/JPY
  • #185
  • May 31, 2007 9:33am May 31, 2007 9:33am
.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy 3105.jpg Size: 82 KB
"Hoe ur pips mate?" fxcarllos
  • #186
  • May 31, 2007 11:40am May 31, 2007 11:40am
Quoting simplecoders
Does Interbankfx offer CHF/JPY pair? I have opened a demo account for testing Neo's startegy, but unfortunately could not find the CHF/JPY pair.

Neo's startegy worked well with FXDD demo.
Just right click on the market watch window then click show all. All the hidden symbols will show up.
  • #187
  • May 31, 2007 10:54pm May 31, 2007 10:54pm
Quoting sam1
Just right click on the market watch window then click show all. All the hidden symbols will show up.
Thank you, I got it.
  • #188
  • May 31, 2007 11:16pm May 31, 2007 11:16pm
Quoting Carllos
Alpari offering microlots now (0.01), if thatīs what you looking for.
Thank you. But are the swap rates the same for all three brokers i.e., Alpari, Interbank and FXDD? I see that FXDD pays higher swap.
  • #189
  • Jun 1, 2007 10:42am Jun 1, 2007 10:42am
.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy 0106.jpg Size: 84 KB
"Hoe ur pips mate?" fxcarllos
  • #190
  • Jun 1, 2007 3:10pm Jun 1, 2007 3:10pm
The 2day EA has placed the round 0 (1 lot for all the 4 pairs) orders few days ago. Why it is not placing the orders for other rounds like round 1, 2......(0.1 lots etc)?. Do I have to change the input parameters?
  • #191
  • Jun 1, 2007 3:28pm Jun 1, 2007 3:28pm
Quoting simplecoders
Does Interbankfx offer CHF/JPY pair? I have opened a demo account for testing Neo's startegy, but unfortunately could not find the CHF/JPY pair.

Neo's startegy worked well with FXDD demo.
Yes, verify that you have installed Meta Trader 4. Right click over the price panel and click on "symbols". There you can show/hide the pairs you want.

If you select a pair and click on "properties" it shows you the swap paid long and short.
  • #192
  • Jun 1, 2007 4:10pm Jun 1, 2007 4:10pm
Quoting gupta_pramod
The 2day EA has placed the round 0 (1 lot for all the 4 pairs) orders few days ago. Why it is not placing the orders for other rounds like round 1, 2......(0.1 lots etc)?. Do I have to change the input parameters?
YES

Please follow post 141 instructions.
You have to change Round to 1 and next day, change it to 2.. etc.. Check EA once a day and decide if you want to start a new round. Check lots on new round, itīs 0,1 by default. You may want to change it.

Iīll work on a fully automated EA, at this momment i am a bit busy with 2 other projects and optimizing and forwarding 10 EAs i built. Sorry guys, iīll come back to 2Day asp. This version will do the job if you check it once a day.
"Hoe ur pips mate?" fxcarllos
  • #193
  • Jun 2, 2007 8:23pm Jun 2, 2007 8:23pm
Hi guys,

very good work. Itīs the best system Iīve ever read here. What do you think of an EA with following rules:

- check if gain is >= 350
if no do nothing and wait 5 minutes than check again
if yes buy (at market) 0.1 lot GBPJPY
sell (at market) 0.1 lot GBPUSD
sell (at market) 0.1 lot USDCHF
sell (at market) 0.1 lot CHFJPY

The good think on that EA is that you can let him run only when you want him to run, so you can shut your pc down over night because the EA donīt have to watch any close order rules.
I donīt know meta code. Is it possible to set the gain as a variable?

Regards,
Jimbofx7
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  • #194
  • Jun 3, 2007 8:59am Jun 3, 2007 8:59am
Quoting jimbofx7
Hi guys,

very good work. Itīs the best system Iīve ever read here. What do you think of an EA with following rules:

- check if gain is >= 350
if no do nothing and wait 5 minutes than check again
if yes buy (at market) 0.1 lot GBPJPY
sell (at market) 0.1 lot GBPUSD
sell (at market) 0.1 lot USDCHF
sell (at market) 0.1 lot CHFJPY

The good think on that EA is that you can let him run only when you want him to run, so you can shut your pc down over night because the EA donīt have to watch any close order rules.
I donīt know meta code. Is it possible to set the gain as a variable?

Regards,
Jimbofx7
It is possible yes.
What do you think about this Neo?
"Hoe ur pips mate?" fxcarllos
  • #195
  • Jun 4, 2007 3:44am Jun 4, 2007 3:44am
Hi Carllos,

This is a very good system by the looks of it. Congratulations, Carllos, you have done a good job.

Surely there is still room for improvement. I am forward testing at the moment, but it troubles me that the system is lacking stop-loss facilities. One can argue that this is a hedging system, stoploss-placements are not necessary. OK, good enough, but what about an "emergency" stoploss.

We saw what happened in February over a period of one month or so. The same thing can happen in a day, or even an hour. Remember 9/11? Should something extreem happen and the Japan economy goes KABOOM!, what protection do we have? At the moment we have nothing....
  • #196
  • Jun 4, 2007 8:42am Jun 4, 2007 8:42am
Hi,

all my positions were stopped out today.
Attached Image (click to enlarge)
Click to Enlarge Name: margin call.jpg Size: 70 KB
Attached File(s)
File Type: zip DetailedStatement.zip   2 KB | 553 downloads
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  • #197
  • Jun 4, 2007 9:22am Jun 4, 2007 9:22am
Jimbo,
Did you start out the hedge with a standard and then add minis? Maybe i'm wrong, but with that size account shouldn't you start with a mini per day for 10 days?
  • #198
  • Jun 4, 2007 9:28am Jun 4, 2007 9:28am
So I open a 0.1 lot set and wait 10 days before I open a new set?
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  • #199
  • Jun 4, 2007 9:34am Jun 4, 2007 9:34am
No. I think you open one mini set per day for 10 days in a row.
  • #200
  • Jun 4, 2007 9:37am Jun 4, 2007 9:37am
Quoting jimbofx7
So I open a 0.1 lot set and wait 10 days before I open a new set?
Nooooooooo. There is a minimum of brain use here !

Neo said that if you start with 1 lot you can increase by 0.1 lot every 10 days because 1 lot will give you 110$ of margin available.

If you start with 0.1, it will take much much longer time to make sufficient margin to buy a new 0.1 lot.

If you start with 0.1 lot you would have to buy 0.01 lot after 10 days and not 0.1 (which doubles your position)
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