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Zeusjoes Market-Neutral Hedge Strategy

  • #181
  • Jul 9, 2008 3:55am Jul 9, 2008 3:55am
SwingMan,

On the display for the EURUSD USDCHF it has
Buy EURUSD Sell USDCHF..... Shouldn't it be either
Buy EURUSD Buy USDCHF or
Sell EURUSD Sell USDCHF

Otherwise you don't have a hedge.

Bruce
  • #182
  • Edited 4:43am Jul 9, 2008 4:30am | Edited 4:43am
Quoting brucech
SwingMan,

On the display for the EURUSD USDCHF it has
Buy EURUSD Sell USDCHF..... Shouldn't it be either
Buy EURUSD Buy USDCHF or
Sell EURUSD Sell USDCHF

Otherwise you don't have a hedge.

Bruce
Thanks, and now explain me please what and when to do is - EURCHF daily:
.
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf.gif Size: 22 KB
  • #183
  • Jul 9, 2008 4:34am Jul 9, 2008 4:34am
The same for H1 and H4:
.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurchfh1.gif Size: 25 KB
Click to Enlarge Name: eurchfh1h4.gif Size: 26 KB
  • #184
  • Jul 9, 2008 5:19am Jul 9, 2008 5:19am
I think he is reffering at change in price +/- 20%

found this:
http://www.cnbc.com/id/15839178/site/14081545/
I don't say
  • #185
  • Jul 9, 2008 6:03am Jul 9, 2008 6:03am
At 1300

eur/us +0.25%
us/chf -0.20%
eur/chf +0.05%


I understand that eur/chf should go to +- 0.30% or 0.40%

I'm ok?
  • #186
  • Jul 9, 2008 6:12am Jul 9, 2008 6:12am
You are right that s the general idea
  • #187
  • Jul 9, 2008 6:19am Jul 9, 2008 6:19am
Did you get my PM spieler?

What kind of sucess rate could one expect from this strategy?
  • #188
  • Jul 9, 2008 6:23am Jul 9, 2008 6:23am
So you are waiting now for a change in eur/chf, ? simple as that?
  • #189
  • Jul 9, 2008 6:29am Jul 9, 2008 6:29am
Quoting dtdoom
At 1300

eur/us +0.25%
us/chf -0.20%
eur/chf +0.05%


I understand that eur/chf should go to +- 0.30% or 0.40%

I'm ok?
Many thanks. Now I understand that divergence 20% is between the current price and the daily close from yesterday.
OK, for me is this a difference and not a divergence but no problem, in my indicators are also such complicated formulas...
  • #190
  • Jul 9, 2008 6:34am Jul 9, 2008 6:34am
So far decorrelation is too small ( +0,12%) to start building a position
So you wait .
Waiting is 80 % at least of this job
  • #191
  • Jul 9, 2008 6:36am Jul 9, 2008 6:36am
Yes spieler please share some print screens of your divergence


Quoting brucech
spieler

spieler,

Could you post a screen shot of what you mentioned of the three charts and show us the divergence you were talking about?

Would appreciate it. Thanks.

Also interested in that last comment about making a lot of money. Please share that too.

Bruce
  • #192
  • Jul 9, 2008 6:43am Jul 9, 2008 6:43am
Quoting spieler
So far decorrelation is too small ( +0,12%) to start building a position
So you wait .
Waiting is 80 % at least of this job
is CNBC the best to spot the difference, or what source do you use?
I don't say
  • #193
  • Jul 9, 2008 7:02am Jul 9, 2008 7:02am
I think in every of my charts from above we have 2-3 differgences, and this are calculated dynamic. Differences to yesterday closes are more static.
  • #194
  • Jul 9, 2008 7:10am Jul 9, 2008 7:10am
you just need real time graphs whatever the name
under is an exemple
Attached Image (click to enlarge)
Click to Enlarge Name: spread exemple.JPG Size: 171 KB
  • #195
  • Jul 9, 2008 7:13am Jul 9, 2008 7:13am
Quoting spieler
To neutralise the usd problem and be in market neutral ( very important point always put aside by 80% od spread traders) you have to take 1 lot of euro/usd for every 1.5 lot of usd/chf and actualise this ratio each time eur/usd mooves a lot to try to be close to a market neutral position.
Hi spieler,
Thanks for you sharing.

The ratio of 1.5 lot usd/chf to 1 lot eur/usd doesn't precisely make you market neutral right? It got to be 1.5xxx to 1 I guess.
So even the pair correlation stays the same, the price movement in them can give you some money loss as they cannot balance each other well enough.
So is this kind of loss negligible?

Also, when I look at the eur/chf, I can see it doesn't really always have a sideway movement (i.e. they seem to have a trend in the long run, eur is worthing more and more compared to chf in the first half of this year). So their correlation seems to be unstable, making usd/chf and eur/usd cannot be hedged sometimes?
  • #196
  • Jul 9, 2008 7:15am Jul 9, 2008 7:15am
UNless there is something I do not understand then I believe there is a problem with this indicator:

I opened 2 charts
One with EURUSD 1H
one with USDCHF 1H
I plotted the NeutralHedgeOverlay v3 on both with the same parameters:
Both PeriodRatio=72 plus Correlation=False.

Obviosly I put as the subsymbol the opposite currency on the different charts.

PLease look at the charts I attach: you get different instructions on both:
One say Buy EurUsd & Sell UsdChf
the other say Sell EurUsd & Buy UsdChf.

Surely the message should be the same does not matter which chart you use with the other currency as the subsymbol.

Any ideas or comments?

Regards
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurusd-usdchf correlation.gif Size: 50 KB
Click to Enlarge Name: usdchf-eurusd correlation.gif Size: 45 KB
  • #197
  • Jul 9, 2008 7:22am Jul 9, 2008 7:22am
@silver

Only for four main pairs I give automatically the correlation/mirroring parametrs. For other pairs must you give this.
  • #198
  • Jul 9, 2008 7:30am Jul 9, 2008 7:30am
Swingman

I thought that is what I did.

Since these pairs are out of sinc with each other I did put in the preset the Value of -1 which means they are not in correlation.

If I understand this wrong then please tell me what I am doing wrong.

I do like your indicators and would really like to understand them correctly.

Your answer will be appreciated.

Regards
  • #199
  • Jul 9, 2008 7:32am Jul 9, 2008 7:32am
Quoting spieler
you just need real time graphs whatever the name
under is an exemple
- I see the figures, and my ask is if this figures +-x% are calculated from the close of yesterday, or are maybe momentum values?

- The price relation EURUSD/USDCHF is e.g. 1.52 (1.5708/1.0327)
We have also an ATR relation of 1.14 (0.0024 / 0.0021).

Isn't beter to take 1 lot for EURUSD and 1.52*1.14 = 1.73 lots for USDCHF !?
  • #200
  • Jul 9, 2008 8:04am Jul 9, 2008 8:04am
Spieler i really appreciate if you explain how do you get this eur/u us/chf ratio 1 lot / 1.5 lot and how do you adjust it.


thanks
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