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The grid hedge - the core version

  • #21
  • Mar 30, 2008 7:58pm Mar 30, 2008 7:58pm
hey jeta..... pure rigid grids do seem abit spicey for my tastes......

however, after some very intense backtesting of timefreedoms ea with a small but flexible grid , the improvement is hard to deny.... small being only 2 to 4 buy/sellstops and flexible being differing lot sizes and spaced unevenly, ( the ea needs control of the values in this sentence).......

timefreedoms ea has roughly a 80+ win rate as is...... if we add on just 2 more 'grid' trades at high success times, the win rate climbs to over 90..... if we shy away from the wild pairs and trade something casual like eurusd, the success rate is higher still.....

it appears, to me, the major weakness of grids is when they are applied with every buy/sell stop having equal chance of success.... they do not.... and therein perhaps lies craig's theremin....



teamsky, of the most recent metaquotes contest, placed orders during a particular hour every day...... his orders were placed with only a 6 pip profittarget.... he placed 9th in the contest turning 10k to a tad under 30k in a few months..... and that's with the restrictions of the contest rules......

makes me wonder just what in unrestricted real life could have be made had 2 additional stop orders been placed in a flexible manner....... h
to trade and code, keep both simple... no call to impress....h
  • #22
  • Mar 30, 2008 8:09pm Mar 30, 2008 8:09pm
Quoting lcfxtrader
Currently have 2 sell orders triggered (1.5800 & 1.5780). So just need to check back in 24 hrs and close all positions if in profit and repeat buy and sell stops (using 5 positions above and below price at time of placing orders)?
Exactly lcfxtrader, remember that this is the simple version so I hope you are checking it out on demo, once you get the hang of it I will give out some techniques to minimize risk.
  • #23
  • Mar 30, 2008 8:12pm Mar 30, 2008 8:12pm
Quoting richy
isydeb, if all the orders get filled, you'll always have -200 pips. how would you close the positions in profit?
There are other techniques to follow richy but this is the main concept behind the system will explain risk minimizing later on.

And sorry I'm not trying to hold info on you I just have to sit down and write the whole thing, so when I have some free time I will.
  • #24
  • Mar 30, 2008 8:20pm Mar 30, 2008 8:20pm
Hi isydeb

Thanks for your sharing. I have a question here about your Excel sheet:

Since the price grows from 1.4572 to 1.4672, so all your long positions should be positive though all short would be negative, then the total should be -$390 other than +$390.

Also in your first post, you mentioned "3 cents per pip", but if you use 15,000units per order, I think each pip should cost you $1.50USD.

Again, once the price comes back to 1.4572, the total loss will be 2 x (90+70+50+30+10) = 500pips, am I correct?

Cheers,
  • #25
  • Mar 30, 2008 8:28pm Mar 30, 2008 8:28pm
Quoting hayseed
hey jeta..... pure rigid grids do seem abit spicey for my tastes......

however, after some very intense backtesting of timefreedoms ea with a small but flexible grid , the improvement is hard to deny.... small being only 2 to 4 buy/sellstops and flexible being differing lot sizes and spaced unevenly, ( the ea needs control of the values in this sentence).......

timefreedoms ea has roughly a 80+ win rate as is...... if we add on just 2 more 'grid' trades at high success times, the win rate climbs to over 90..... if we shy away from the wild pairs and trade something casual like eurusd, the success rate is higher still.....

it appears, to me, the major weakness of grids is when they are applied with every buy/sell stop having equal chance of success.... they do not.... and therein perhaps lies craig's theremin....



teamsky, of the most recent metaquotes contest, placed orders during a particular hour every day...... his orders were placed with only a 6 pip profittarget.... he placed 9th in the contest turning 10k to a tad under 30k in a few months..... and that's with the restrictions of the contest rules......

makes me wonder just what in unrestricted real life could have be made had 2 additional stop orders been placed in a flexible manner....... h
hayseed, I think the win rate is not very important when we are talking about grids. You can have 70% winners with a grid and still get margined out.

teamsky and wackena basically have the same strategy... they were only looking for a few pips. After the contest wackena decided to start a company selling EAs. His contest EA was for sale for $49 a month. The EA has failed miserably so far. You can see the results on fx-auto and on wackena's website. He is trying to fix it up with neural networks. So far the fix is working well...
  • #26
  • Mar 30, 2008 8:28pm Mar 30, 2008 8:28pm
Quoting suwuming
Hi isydeb

Thanks for your sharing. I have a question here about your Excel sheet:

Since the price grows from 1.4572 to 1.4672, so all your long positions should be positive though all short would be negative, then the total should be -$390 other than +$390.

Also in your first post, you mentioned "3 cents per pip", but if you use 15,000units per order, I think each pip should cost you $1.50USD.

Again, once the price comes back to 1.4572, the total loss will be 2 x (90+70+50+30+10) = 500pips, am I correct?

Cheers,
Suwuming, the spreadsheet is only to show the possible worst case scenario, so in that example the price should have gone up +100 pips than down +200 pips and then up again to our original entry, this is not a common thing in the EURUSD maybe on NFP day hence I do not trade it that day.

Regarding money management its 3 cents per pip per $100 on your account so in the spreadsheet you can enter whatever your total account is and it will calculate your value per pip. The $1.50 per pip is on a $10,000 account.

And yes you are right on the 500 pips dd.
  • #27
  • Mar 30, 2008 8:49pm Mar 30, 2008 8:49pm
Quoting isydeb
You are absolutely right Ceco-Ku4ev, if you are a good chartist, fundamental trader and have all that it takes to profit from the market from your own in-depth analysis this is not for you. You can make a lot more money analyzing markets all day, and only trading in one direction with a small stop loss and huge take profit.

This is for the ones who don't find the time or don't have an interest nor intellectual or emotional capability of doing so.

But thanks for your comment nonetheless.
I agreed.

Zu
  • #28
  • Mar 30, 2008 9:07pm Mar 30, 2008 9:07pm
hey jeta.... my error, .... as you mentioned, the success rate is less important in grids..... pure grids will often have low payout ratio's......


i should have paired the success rate with the expected payoff rate.... when both are high, chance of success is equally high..... as long as there is a realistic number of trades being placed.....

primarily i was referring to timefreedoms ea and teamsky's ea neither of which is a grid, then inferring that a small highly flexible group of buy/sellstops might be of value...... a hybrid grid......


i'm familar both the fxauto guys, the cigar smoker from out west and the russian Smirnov..... didn't know wackena had a site, sorry to hear his ea venture had troubles..... i'll take a look ...... thanks......h
to trade and code, keep both simple... no call to impress....h
  • #29
  • Mar 31, 2008 2:03am Mar 31, 2008 2:03am
Hey Isy,

thank's for posting this method, really interesting, looking forward to read the "full version", will be interesting to forward test the strategy.

Thank's

PC


And sorry I'm not trying to hold info on you I just have to sit down and write the whole thing, so when I have some free time I will.[/quote]
Less is more...
  • #30
  • Mar 31, 2008 3:15am Mar 31, 2008 3:15am
Isn't this system the well known anti-martingale? You add positions when you are winning. It works when markets are trending.
  • #31
  • Mar 31, 2008 3:25am Mar 31, 2008 3:25am
I am now posting an example of a good day, based on data from March 25th, where this system yielded a 8.46% ROI.

Yes, it was handpicked. I already gave you examples of max dd in the worst case scenario, this is an example of things going well.

Again, you can play around with the figures on the spreadsheet, the yellow cells are the ones that you can modify in order to test other days. Try not to change formulas.
Attached File(s)
File Type: xls The_Grid_Hedge_A.xls   23 KB | 1,209 downloads
  • #32
  • Mar 31, 2008 3:31am Mar 31, 2008 3:31am
Quoting Alderlug
Isn't this system the well known anti-martingale? You add positions when you are winning. It works when markets are trending.
I'm sorry Alderlug, am not familiar with that system.
  • #33
  • Mar 31, 2008 5:41am Mar 31, 2008 5:41am
Hi,
According to this strategy, if all orders are executed, the best case I see is break even. There is no possiblity of profit in such a scenario. Am I right ?
regards
  • #34
  • Mar 31, 2008 6:07am Mar 31, 2008 6:07am
Hmm... if you reload the grid on both sides, you will end up with some danglers on one side. These danglers will be higher losses than the other side where you take profit every 10 pips. The only way I can imagine this could work is if you don't take profit but simply add to the winning side...

Regards - Xaron
  • #35
  • Mar 31, 2008 6:15am Mar 31, 2008 6:15am
Quoting isydeb
Here is the file again. In a more compatible version.

Remember that is one only calculates your max dd, so if you see, once all the orders are triggered, no matter what, your dd will always be the same 7.8%. Because your loss is growing exponentially as well as your profit. So your loss is somewhat controlled.
So if you reach this DD you never can change these trades to the better. You'll just have to close all trades and start over again. Am I right?
  • #36
  • Mar 31, 2008 6:21am Mar 31, 2008 6:21am
Quoting Xaron
Hmm... if you reload the grid on both sides, you will end up with some danglers on one side. These danglers will be higher losses than the other side where you take profit every 10 pips. The only way I can imagine this could work is if you don't take profit but simply add to the winning side...

Regards - Xaron
As far as i have understood this, there is no individual take profit for this system, only a collective take profit once the total profit is X number of pips in the positive.
Liberate me ex inferis
  • #37
  • Mar 31, 2008 6:39am Mar 31, 2008 6:39am
Oh ok, thanks my fault. I refer to his post in dreamliner's thread where he talked about a 10 pips tp...

In this case it should work. You have to think about where to exit. This could be the same as this thread at Oanda:
http://www2.oanda.com/cgi-bin/msgboa...;f=16;t=009605

MutantWizard, is it you?

Regards - Xaron
  • #38
  • Mar 31, 2008 7:59am Mar 31, 2008 7:59am
hey xaron..... thanks for the wizard link.... just started readin it.... i like that guy's attitude already......

was fixin to ask isydeb a couple questions, but now will scratch around on wizards thread for the answers first..... thanks again for the link....h
to trade and code, keep both simple... no call to impress....h
  • #39
  • Mar 31, 2008 10:27am Mar 31, 2008 10:27am
What criteria do you use for closing out in profit? In other words, I was up $25.00 today on my demo account (using $1,000.00 on both accounts) so I closed, and then reopened.
  • #40
  • Mar 31, 2008 10:55am Mar 31, 2008 10:55am
Quoting stinkingrich
Hi,
According to this strategy, if all orders are executed, the best case I see is break even. There is no possiblity of profit in such a scenario. Am I right ?
regards
stinkingrich,
In the worst case Scenario you would end up with a 7.8% loss on your account, assuming that all ten positions get triggered and you close all positions. This is the maximum loss you would encounter since your position is hedged. In the first spreadsheet I posted you can see how no matter where the market goes from there your loss remains within the 7.8%, because both sides are growing exponentially.

We would obviously try to avoid this situation, I will post techniques to do so.
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