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Zeusjoes Market-Neutral Hedge Strategy

  • #141
  • Jul 7, 2008 9:04am Jul 7, 2008 9:04am
Quoting Bogul
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!
You may need to adjust the date to 2 or 3 days before today's date for it to work properly. I need to find out more about that from SwingMan. He created these indicators.
  • #142
  • Jul 7, 2008 10:34am Jul 7, 2008 10:34am
Hi ,guys,
I'm using the same tehnique as you, and all the new indicators, but have a problem, the new ones didn't comply if we change the option mirroring true/false. It cannot be adjusted at all.
Maybe if I remove from the script the "default" correlating pair it wil allow to change this option. Did you notice that?
I don't say
  • #143
  • Jul 7, 2008 11:35am Jul 7, 2008 11:35am
Quoting dragosd1
Hi ,guys,
I'm using the same tehnique as you, and all the new indicators, but have a problem, the new ones didn't comply if we change the option mirroring true/false. It cannot be adjusted at all.
Maybe if I remove from the script the "default" correlating pair it wil allow to change this option. Did you notice that?
asta fac acum...
  • #144
  • Jul 7, 2008 3:53pm Jul 7, 2008 3:53pm
Hi Swingman,

I have set the StartingTimeCorr input variable on NeutralHedge osc_v3 to three days before the present date and it seems to work right.

Does it have to be always set three days back?

Why do I get the error message alert popup that says "StartingTimeCorr seems to be wrong" when I enter the date two days back from the present date?

Does this variable have to be reset every day to keep it that amount of time behind so it will work properly?

I also notice that when I'm trying to use a 30m TF it won't show the bars all the way up to the present time and when I change the date to make them show properly I get that error message again. Could you give me some suggestions?
  • #145
  • Edited Jul 8, 2008 12:36am Jul 7, 2008 9:16pm | Edited Jul 8, 2008 12:36am
I removed from the script the "default" correlations of the pairs, and now we can check @mrkam results...

Instead of the term "mirroring" now I use the term "correlation", because it is better to understand.
(Correlated pairs are not mirroring, and not correlated pairs are mirroring...)

We can see that the oscillator v4 show the same informations as both oscillators v3 to different overlay times!
.
Attached Image (click to enlarge)
Click to Enlarge Name: gbpjpy_eurjpy_2.gif Size: 23 KB
Attached Images
Attached File(s)
File Type: ex4 NeutralHedge Overlay_v3.ex4   11 KB | 1,620 downloads
File Type: ex4 NeutralHedge osc_v3.3.ex4   17 KB | 1,490 downloads
File Type: ex4 NeutralHedge osc_v4.3.ex4   17 KB | 1,589 downloads
  • #146
  • Edited 10:59pm Jul 7, 2008 9:55pm | Edited 10:59pm
Quoting PistolDave
Hi Swingman,

I have set the StartingTimeCorr input variable on NeutralHedge osc_v3 to three days before the present date and it seems to work right.

Does it have to be always set three days back?

Why do I get the error message alert popup that says "StartingTimeCorr seems to be wrong" when I enter the date two days back from the present date?

Does this variable have to be reset every day to keep it that amount of time behind so it will work properly?

I also notice that when I'm trying to use a 30m TF it won't show the bars all the way up to the present time and when I change the date to make them show properly I get that error message again. Could you give me some suggestions?
Is this the indicator v3.1? (On questions, please post the chart)
- On monday we have the samday two days ago...
I checked with 2008.07.05 (samday) and 2008.07.06 (sunday), and I become also the error message.

- The original Overlay indicator, and my oscillator v3.1 works with "WindowBarsPerChart()" and an appropriate formula. For this reason I changed the algorithm and take only fix periods. You can try to become all the bars in oscillator on taking more bars in the chart and redrawing. (To this time I haven't the osc_v3, because I overwrited him, and for me is he program technically obsolet)
.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpusd_eurusd.gif Size: 8 KB
Click to Enlarge Name: gbpusd_eurusd2.gif Size: 8 KB
  • #147
  • Jul 8, 2008 12:33am Jul 8, 2008 12:33am
In post http://www.forexfactory.com/showthre...nghedge&page=2 you find a few things about a hedging idea.

In post http://www.forexfactory.com/showthre...t=53919&page=3 are few correlation indicators from me. If we need this, I can adapt this indicators for the NeutralHedge, and you can make suggestions.
  • #148
  • Jul 8, 2008 4:42am Jul 8, 2008 4:42am
For today I traded the nice spread at 11:53, and to this time we have the "Mataf pair correlations": 94.9 daily and 33.7 hourly. Is to check on trade closing which values we have.
Attached Images
  • #149
  • Jul 8, 2008 5:16am Jul 8, 2008 5:16am
Hello everyone

Very interesting ideas!

To hedge or perform arbitrage, you have to sell/buy a proper amount of lots for each pair, right?

For example, you cannot just buy 1 lot of EURUSD together with 1 lot of USDCHF to hedge, because they have different volatilities. Instead, you may need to buy 100 lot of EURUSD and buy 57.8 lot of USDCHF to accurately balance them. But then, we need to have a huge amount of capital to do so.
  • #150
  • Jul 8, 2008 5:32am Jul 8, 2008 5:32am
I closed the trade.
Win = 31 Pips - 10 spread = 21 pips.

Mataf correlations: Daily = 94.9, H1 = 21.5
.
Attached Image
  • #151
  • Jul 8, 2008 5:34am Jul 8, 2008 5:34am
Quoting SwingMan
I closed the trade.
Win = 31 Pips - 10 spread = 21 pips.

Mataf correlations: Daily = 94.9, H1 = 21.5
.
SwingMan,

What did you see that made you close the trade?

Bruce
  • #152
  • Jul 8, 2008 5:42am Jul 8, 2008 5:42am
Quoting SwingMan
For today I traded the nice spread at 11:53, and to this time we have the "Mataf pair correlations": 94.9 daily and 33.7 hourly. Is to check on trade closing which values we have.
Why would you use mirroring on those pairs when they are highly + correlated?

Isn't your chart showing the reverse of reality?
  • #153
  • Edited 6:46am Jul 8, 2008 6:19am | Edited 6:46am
Quoting brucech
SwingMan,
What did you see that made you close the trade?
Bruce
I see the oscillator bars in the other colour and the cross of the ranged pair lines. Because I traded live, I closed quickly the orders (I'm not a trader, and can't watch the screen all the time.)

Maybe can @mrkam better explain. My english is very poor, and I need many time to write few rows for an answer, OK?
.
Attached Image
  • #154
  • Jul 8, 2008 6:19am Jul 8, 2008 6:19am
Swingman

Thank you very much for developing these indicators, it shows your deep understanding of what is needed to do these type of trades.

I do have a question or two though, it might be very basic for others who are used to your indicators but unfortuneately not for me.

Question 1:
In the Overlay indicator you have: Period ratio- what does it mean?
You also have Factor-Threshold- what does it mean and how do you use it?

Question 2:

On the chart is printed HedgeRange - Do I understand correct that this is the maximum pips available at that point minus the spreads?

You also have Threshold - what does it mean and how do you use it?

It would very much appreciate your comments as I do like this method of trading very much.

Thank you

Regards
  • #155
  • Edited 6:47am Jul 8, 2008 6:35am | Edited 6:47am
Quoting billbss
Why would you use mirroring on those pairs when they are highly + correlated?

Isn't your chart showing the reverse of reality?
I don't know!

Sure you are right, but yesterday I learned from the trade of @mrkam that:
- the correlation may be not important
- for a correlated pair, we can have a small spread in the mirror, and a big spread in the normal chart. We can take to trade the larger of this two figures, and @mrkams BBP theory assure us the win.

To take decisions in the practice, we need a dashboard with signals, and a little EA for ordering. If I see that also other members post results and I can learn what to do is, I can develope such tools.
  • #156
  • Jul 8, 2008 6:45am Jul 8, 2008 6:45am
Quoting Silver
Swingman

Thank you very much for developing these indicators, it shows your deep understanding of what is needed to do these type of trades.

I do have a question or two though, it might be very basic for others who are used to your indicators but unfortuneately not for me.

Question 1:
In the Overlay indicator you have: Period ratio- what does it mean?
You also have Factor-Threshold- what does it mean and how do you use it?

Question 2:

On the chart is printed HedgeRange - Do I understand correct that this is the maximum pips available at that point minus the spreads?

You also have Threshold - what does it mean and how do you use it?

It would very much appreciate your comments as I do like this method of trading very much.

Thank you

Regards
Sincerly I'm sory, but to answer you, or to describe all the functionalitys is a big problem for me. Maybe later. My english is miserable, and I haven't the time to search in the dictionary (at the time I'm in office, and later I must further programe indicators).
I hope that other user can explain such questions.
  • #157
  • Jul 8, 2008 6:45am Jul 8, 2008 6:45am
Quoting SwingMan
I closed the trade.
Win = 31 Pips - 10 spread = 21 pips.

Mataf correlations: Daily = 94.9, H1 = 21.5
.
Nice one SwingMan.

What do you think about that Hedge-Rocks EA that Alphaone posted?

Is it anything we can use to apply to this strategy?

Also, which version of the NeutralHedge osc are you using now? It looks like everything is on the chart.

Are you using the highest correlated, or non-correlated pairs to trade? I made a good trade today using the GBPJPY vs USDCHF and the hourly correlation was +59 but the daily was -34. What is interesting is that neither timeframe was very much toward + or - so what does that tell us?

Also, do you have an EA that can close only specific pairs when the profit gets to a certain level?

Now I'm using one that will close the "basket" of open trades at a certain account profit. That is fine if you only have one hedge on with two pairs, but if you have one hedge in profit and are waiting for the other one to finish up it will close that one too. Any ideas? Even better would be one that would open the trades at a certain threshold and close at a certain profit only on that hedge, but that may be asking for way too much.

Dave
  • #158
  • Jul 8, 2008 6:51am Jul 8, 2008 6:51am
Quoting mrkam
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...???
Hi mrkam,

This is a question I asked Swingman earlier, and I'm hoping you can help with this too:

Do you have an EA that can close only specific pairs when the profit gets to a certain level?

Now I'm using one that will close the "basket" of open trades at a certain account profit. That is fine if you only have one hedge on with two pairs, but if you have one hedge in profit and are waiting for the other one to finish up it will close that one too. Any ideas? Even better would be one that would open the trades at a certain threshold and close at a certain profit only on that hedge, but that may be asking for way too much.

Thanks,
Dave
  • #159
  • Jul 8, 2008 7:00am Jul 8, 2008 7:00am
Quoting PistolDave
Also, do you have an EA that can close only specific pairs when the profit gets to a certain level?
For the NeutralHedge strategy we close the trades if the spread is zero, or for the Threshold value. Maybe in the next time I develope such an EA.
I don't use other EAs (as mine). Maybe SwissArmyKniffe, or MT (MP?) are good. I don't know.
  • #160
  • Jul 8, 2008 7:12am Jul 8, 2008 7:12am
Quote
Even better would be one that would open the trades at a certain threshold and close at a certain profit only on that hedge, but that may be asking for way too much.
I thinked today to a solution, maybe write I in the afternoon the functions because:

in my trade from today, I maked two mistakes:
1. - I taked the chart EURUSD and not EURJPY, and I selled EURUSD.
Than, I close this oder.
2. - I taked the right EURJPY chart, but I buyed the pair!
Than I closed this order, and only in the third try I gived the right order!

All this, because I'm in office and haven't the time to think to mutch about order details.
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