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Zeusjoes Market-Neutral Hedge Strategy

  • #121
  • Jul 6, 2008 9:47am Jul 6, 2008 9:47am
Quoting PistolDave
SwingMan, I can see you have been hard at work here.
Yes, and now I'm waiting that also other guys do the same with further analysis!
Quote
I hope I am understanding all this properly
I must admit that it is not easy!
Quote
One other important aspect to consider is the exit of the trades. Someone said they had been exiting when the spread goes back to zero
This is one possibilty. The other is to exit if one is in the profit and the threshold value is reached. For such analyses I calculate the maxWin between entry and current time (osc3 or 4).
In my example, you see that the maxWin was 126, the threshold was 129, and the spread at entry time (HedgeRange) was 205. I don't think that until the spread is zero, we win more as 130 pips (maybe yes, maybe no...).
Quote
I hope we can get some input from the other guys that were reading this thread earlier since I know some of them are some very sharp traders.
I hope the same! I'm not a trader. I'm just a simple programmer and I may develope an EA only if I receive input from the experts . I hope also that @mrkam can help us, he is the biggest NeutralHedge specialist!
  • #122
  • Jul 6, 2008 10:10am Jul 6, 2008 10:10am
What's the reason to set the TF to 60?Can I set the TF at 30 instead of 60 for the 5,15,30min and 1hr chart? Also on the neutralhedge.
Can alerts be set on the the overlay chart or the neutralhedge at a certain spread?
Thanks for any info on this.

P.S. Great work Swingman
  • #123
  • Jul 6, 2008 10:34am Jul 6, 2008 10:34am
Quoting Bogul
What's the reason to set the TF to 60?Can I set the TF at 30 instead of 60 for the 5,15,30min and 1hr chart? Also on the neutralhedge.
Can alerts be set on the the overlay chart or the neutralhedge at a certain spread?
Thanks for any info on this.

P.S. Great work Swingman
Bogul, I think you can set the TF to 30 or less and it will work. See post #63 where someone was using it.

SwingMan might be able to put in an alert on the NeutralHedge indicator. I don't think it has one now. That would be a good idea.

Dave
  • #124
  • Jul 6, 2008 10:55am Jul 6, 2008 10:55am
Quoting dtdoom
Just a stupid question How can attach the indicator and where about? I can not make it works thanks
Hi dtdoom, on post #118 are the latest indicators and template shown in the screenshot on that post.

-- Install the indicators in metatrader4\experts\indicators folder.
-- Install the template in metrader4\templates folder.
-- Close and re-open your MT4 platform; and right click on a chart and select the template in the list in the drop-down menu.

If you need to change some of the settings in the indicator you can find out more about that by reading the last 20-30 posts here and a lot of questions are answered about how to use it.

I'm using NeutralHedge osc_v3 and OverlayChart-Point indicators which can be found on some of the earlier posts.

Hope this answers your question,
Dave
  • #125
  • Jul 6, 2008 11:43am Jul 6, 2008 11:43am
Quoting PistolDave
Bogul, I think you can set the TF to 30 or less and it will work. See post #63 where someone was using it.

SwingMan might be able to put in an alert on the NeutralHedge indicator. I don't think it has one now. That would be a good idea.

Dave
Dave, what I mean is to change the TF to 30 from 60 within the indicators of the overlay chart and the neutralhedge indicator not just the TF of the charts. Is that what you are talking about? When I set it to 15 I cannot see the overlay or neutralhedge. On the 5 or 15 min chart, I can see a difference of a few pips when I switch from 60TF to 30TF on both the overlay and neutralhedge indicators. Is it okay to use it like this?
Maybe mrkam can give his opinion also!
  • #126
  • Edited 12:02pm Jul 6, 2008 11:46am | Edited 12:02pm
Hi All... to PistolDave's Query regarding Exits... Consider the following chart, or actually indicator... We don't really need the chart!!!

Keep in mind we are not trading one pair, like usual, but the relationship between two pairs, somewhat correlated, as they move in and out of synchronicity.

Think of it like a Pendulum... swings to one side, through Zero, to the other side, and back again, and so on....

On the chart below, I have noted 5 points in the "cycle" of this trading system, points A thru E. Barring a major de-correlation and subsequent re-establishing, (it happens, very rare, but it happens, which is why we have to have a maxLoss....), these are the points that EVERY trade will go through. We need only look at past history of price action to see.

A: Initial Entry. I manually set the triggerDelta at 90, based on past movement, etc. At this point, I enter the Buy/Sell trade.

B: The max drawdown point. (Also the point of maximum profit IFFF you can determine it ahead of time. As it is with any trend, you only know if it is at the top AFTER the fact.) At B, we are negative, but hopefully not to our MaxLoss point, so we are still in the Trade.

C: Zero Point. This is where I exit. (will discuss below a bit more....) This is what I call the Conservative Exit. We are in, then out, waiting for the next trade entry signal, (Point D)...

D: New Trade Entry at opposite side, or a Sell/Buy entry. THIS IS ALSO THE POINT OF MAXIMUM (PRACTICAL) PROFIT FOR THE TRADE CYCLE!!! (I say "Practical" because the actual maximum is from points B ot E, but we will never get those...)

As I mentioned above, I get out at C, which is Conservative. The D Exit is Aggressive. You will have squeezed your max profit out of your chosen Deltas (or thresholds) at this point. You can see it is roughly 2X my Conservative Exit.

Trading the Aggressive Exit makes this an ALWAYS IN, Stop & Reverse system. You ALWAYS are carrying two positions, you just switch them back and forth with the Cycle.

E: Point of MaxDD for the opposite trade, or the next trade cycle, similar to Point B.

We start the Cycle over again.

If you look back in history, EVERY trade, in this method, goes through this cycle. The Conservative approach goes through A-C, and the Agressive Approach is A-D.

Maybe we call this the PipsPendulum!!

Offered for your consideration and comment.....
Attached Image (click to enlarge)
Click to Enlarge Name: pipspendulum1.gif Size: 12 KB
  • #127
  • Jul 6, 2008 12:10pm Jul 6, 2008 12:10pm
Thanks dave for your help.

I installed all indicator but I think I m more confused with all this indicator. Also the inputs.. I don't get it


Rmkam , I like your style, looks easier. How you get those chart

thanks
  • #128
  • Jul 6, 2008 12:28pm Jul 6, 2008 12:28pm
Quoting mrkam
Hi All... to PistolDave's Query regarding Exits... Consider the following chart, or actually indicator... We don't really need the chart!!!

Keep in mind we are not trading one pair, like usual, but the relationship between two pairs, somewhat correlated, as they move in and out of synchronicity.

Think of it like a Pendulum... swings to one side, thought Zero, to the other side, and back again, and so on....

On the chart below, I have noted 5 points in the "cycle" of this trading system, points A thru E. Barring a major de-correlation and subsequent re-establishing, (it happens, very rare, but it happens, which is why we have to have a maxLoss....), these are the points that EVERY trade will go through. We need only look at past history of price action to see.

A: Initial Entry. I manually set the triggerDelta at 90, based on past movement, etc. At this point, I enter the Buy/Sell trade.

B: The max drawdown point. (Also the point of maximum profit IFFF you can determine it ahead of time. As it is with any trend, you only know if it is at the top AFTER the fact.) At B, we are negative, but hopefully not to our MaxLoss point, so we are still in the Trade.

C: Zero Point. This is where I exit. (will discuss below a bit more....) This is what I call the Conservative Exit. We are in, then out, waiting for the next trade entry signal, (Point D)...

D: New Trade Entry at opposite side, or a Sell/Buy entry. THIS IS ALSO THE POINT OF MAXIMUM (PRACTICAL) PROFIT FOR THE TRADE CYCLE!!! (I say "Practical" because the actual maximum is from points B ot E, but we will never get those...)

As I mentioned above, I get out at C, which is Conservative. The D Exit is Aggressive. You will have squeezed your max profit out of your chosen Deltas (or thresholds) at this point. You can see it is roughly 2X my Conservative Exit.

Trading the Aggressive Exit makes this an ALWAYS IN, Stop & Reverse system. You ALWAYS are carrying two positions, you just switch them back and forth with the Cycle.

E: Point of MaxDD for the opposite trade, or the next trade cycle, similar to Point B.

We start the Cycle over again.

If you look back in history, EVERY trade, in this method, goes through this cycle. The Conservative approach goes through A-C, and the Agressive Approach is A-D.

Maybe we call this the PipsPendulum!!

Offered for you consideration and comment.....
Thank you very much, mrkam. Your explanation sheds new light on exactly what we need to do to profit from this concept.

I can see you have a knack for making it clear and simple what needs to be done. And I'm liking this trading strategy more all the time. It does seem to have a lot of potential.

I have a couple of other questions for you, if you would be so kind:

1 -- Is there any reasonable way to determine when the "pendulum" has run out of steam and is about ready to start back the other way? (I think that was what SwingMan was looking for when he added the psar to the chart.)

Also, I was reading in the arb.pdf instruction document at the beginning of the thread where someone said about the trade setups (the one he was using at the time) "you should be able to determine within a few hours this is going to occur by plotting EURCHF with an ATR indicator. When the ATR is flat you will be able to make your trade within a few hours.."

I assume that he was thinking about how to predict a turning point so that you would know when to enter/exit. I tried putting the ATR indicator on the chart but I can't say that it seems to predict much, except maybe the changes in correlation seem to occur more often when the ATR is rising. I don't have enough experience with this system yet to be sure.


2 -- Would it be better to enter with 2 lots, closing 1 at the zero point and letting the other ride to see how far it will go? Probably only as long as you can be present to monitor the price action?

You can be sure we are listening to whatever you have to say about this strategy.

Thanks again for the help,
Dave
  • #129
  • Jul 6, 2008 12:29pm Jul 6, 2008 12:29pm
With the oscillators or overlays is easy to explain the past, and the theory is OK, but we are trading live...

I taked as example the chart from post #63. You can see that a back analysis at 05:30 show us for 01:45 a spread = 21. Hurrah, we trade the past and we take our pips.

But, live, at 01:45 the spread was only 6 pips, and live we would never traded this small spread.

For this reason, I have developed the osc_v4 indicator, to realistically analyze the past. I'm sure that the NeutralHedge has potential, and I'm waiting on results from the live application of the system and indicators.
.
Attached Image (click to enlarge)
Click to Enlarge Name: post63.PNG Size: 51 KB
  • #130
  • Edited 4:52pm Jul 6, 2008 2:06pm | Edited 4:52pm
All great disccusion points!! For me, I just do the 1 hr. I find the 15min or 5 min swings too small, and as mentioned above. And the past is indeed easy to trade!! But we will be led astray as noted above if the analysis we are being shown by the indicator is not accurate, or repaints... which is the GREAT thing SwingMan is doing here, working to get a non-repainting indicator that shows the price action relationship.

With price action trading, (which is what this is, despite the enhancements of the indicators), we can perhaps learn more from the past than other types of trading.. Post #1, that got us going, was good ol' price action divergence after all!! The original method was to take opposing positions in our SychPair in a demo account, and watch the net value of both positions rise and fall. Then, by pure price action, you begin to "see" what the Osc shows us, a high spread, and a low spread, and somewhere in between, a "zero" line.

And yes, it would be better to find a way to determine when the swing is turning, as it is with single-pair trading.... and there may be a way to increase the slice of the pie we take... but for me, I like conservitive. I am perfectly happy with 80p instead of 120p, if the percentages are there, and I can manage it...

GREAT idea on the two-step exits, one at "Zero" and one at the turn...!!

It will be fun to see how this develop in realtime. Last few weeks have been just as anticiapted, very workable....
  • #131
  • Jul 6, 2008 8:05pm Jul 6, 2008 8:05pm
My GJ/EJ SynchPair just hit a TriggerDelta (Threshold) of > 100, so I took a Sell GJ @ 211.56 and a Buy EJ @ 167.23. I will close at Delta = 0, and try to track the max DD as we go...

We'll see!
  • #132
  • Jul 6, 2008 10:40pm Jul 6, 2008 10:40pm
Quoting mrkam
My GJ/EJ SynchPair just hit a TriggerDelta (Threshold) of > 100, so I took a Sell GJ @ 211.56 and a Buy EJ @ 167.23. I will close at Delta = 0, and try to track the max DD as we go...

We'll see!
TriggerDelta 100? Other indicators, other trade directions, other results... We'll see!
.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy_eurjpy_1.gif Size: 11 KB
  • #133
  • Jul 7, 2008 2:36am Jul 7, 2008 2:36am
The main point in this system is MaxLoss and right time to enter a trade in order to minimize drawdown of each trade.
So we need to determine difference/loss rate.

For example 90pip defference and 90 pip maxloss.
  • #134
  • Edited 8:07am Jul 7, 2008 7:45am | Edited 8:07am
Quoting SwingMan
TriggerDelta 100? Other indicators, other trade directions, other results... We'll see!
.
My BravoBoomerang just just triggered on my PhasarPair. Next stop...The Twilight Zone.
  • #135
  • Edited 9:25am Jul 7, 2008 8:19am | Edited 9:25am
HI Bill, I would be careful of that BravoBoomerang if I were you,,, it really killed my ZipWop....

Sorry SwingMax... I have been working on coding a very similar approach for a whiles now... my "TriggerDelta" is your "Threshold".... the Delta being the difference between the two currency pairs being traded. Initially, I was working with no indicators, just price. For example, current price of the GU - current price of the EU, minus a "ZeroFactor", which is just a number used to get to Zero. The trick is to determine WHERE zero is. With the advent of the overlay indicator, and now your oscillator, the algorithm there determines a "Zero". One that is "determined", however we do it, we can then track the two pairs as them move further away and back towards this zero. In that tracking, we see (hopefully) good, low(er) risk entry points.

We are all moving the same direction... except that BravoBoomerang...

ha!

PS: update on my trade of 131 above.... closed earlier today for +74p, see attached screenshot... waiting for the next entry now!

(REV. correct Overlay chart shown....)
Attached Image (click to enlarge)
Click to Enlarge Name: synch_osc_gjejtrade1.gif Size: 10 KB
  • #136
  • Jul 7, 2008 8:48am Jul 7, 2008 8:48am
@mrkam, just a question: in your overlay chart, is the Mirroring true or false?
I think we haven't the same parameter.
  • #137
  • Edited 9:26am Jul 7, 2008 9:13am | Edited 9:26am
Yes! There is something odd about my Overlay... I will check into it and update this post with what I find... But, the trade was taken by code that does not refer to the Overlay chart, just currency values and the Osc indicator.... hmmmm.....

OK... Removed the old overlay and put your (SwingMan's) overlay chart on, mirroring set to false.. Should be accurate now...???
  • #138
  • Jul 7, 2008 9:34am Jul 7, 2008 9:34am
Thanks.

Quote
We are all moving the same direction... except that BravoBoomerang...
Yes and no. Maybe have you ideas how to use the relation of correlations on multiple time frames. Then can I write a RelationCorrelation oscillator.
In the next step can I write a Dashboard for the analysis of the pairs, with signals, alerts, emails, and so.
I think that 20x20 pairs x 2 mirrorings are enough for our purposis.
.
Attached Image
  • #139
  • Jul 7, 2008 9:44am Jul 7, 2008 9:44am
Now THAT is interesting!! I will have to noodle that a bit... Perhaps we can consider the multi-time frame correlations similarly to trends... look for divergence... Per your charts, when the 1D and 1H correlations for the same set of pairs are similar, not much opportunity,... but when the 1H gets out of synch with the 1D, perhaps there will be opportunity... figuring ultimately the 1H will get back in synch with the 1D...

gotta put some time into that concept!! THANKS!
  • #140
  • Edited Jul 8, 2008 2:39am Jul 7, 2008 10:16am | Edited Jul 8, 2008 2:39am
Sure!

In the tables we can see many unsynchronalities, and here are many energie for your BBP sytem (Big-Bang-Pendulum).

Matter of course, you must also define criterions for ranking the combinations. Don't forget to take in consideration a criterion for ranking the current TriggerDelta!!
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