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Zeusjoes Market-Neutral Hedge Strategy

  • #221
  • Jul 9, 2008 7:10pm Jul 9, 2008 7:10pm
Hello Swingman,

Thank you for creating an ea for this. I am wondering with this version do we need any indicators?

Thank You,
Jeff

Quoting SwingMan
Now we can wait the trading signals!
The EA take trades on three levels: 0.25%, 0.45% and 0.65% (first level + step 0.20%), and close the trades on null.
I hope they arn't to many bugs in the EA!
.
  • #222
  • Jul 9, 2008 7:24pm Jul 9, 2008 7:24pm
Quoting azjeff
Hello Swingman,

Thank you for creating an ea for this. I am wondering with this version do we need any indicators?

Thank You,
Jeff
I don't know, I'm only the programmer...!

(Please reload the EA, I just replaced the file)
  • #223
  • Jul 9, 2008 8:43pm Jul 9, 2008 8:43pm
Quoting SwingMan
Now we can wait the trading signals!
The EA take trades on three levels: 0.25%, 0.45% and 0.65% (first level + step 0.20%), and close the trades on null.
I hope they arn't to many bugs in the EA!
.
Swing Man,
First of all, Thank you for your hard work. You're an excellent programmer and a generous person.



Have you weighted the value of the USD/CHF by 1.5 ?

Let me tell you what I've discovered.

I can program AmiBroker and I have been playing around with these pairs.

If I make a composite signal by combining (1) long EUR/USD and (1) long USD/CHF, the resulting line chart looks nothing like the EUR/CHF.

If I combine (1) long EUR/USD and (1.5) USD/CHF, it looks identical to EUR/CHF.


I'm wondering when we look for divergence if we shouldn't weight the value of U/CHF x 1.5.

For example if it is -.06% from the daily open, make it -.09%.

How hard would it be to make an input to your EA to allow that?

Thanks
  • #224
  • Jul 9, 2008 9:05pm Jul 9, 2008 9:05pm
It just signaled a long:

EUR/CHF was at 0%
Eur/USD = +.50%
USD/CHF = -.50%

THis indicates a perfect negativ decorrelation and that means that you have to wait.

You should keep 1/1,5 ratio otherwise you get a directional bias and that is not in th ephilosophy of th emethod.
Once step one has been well understood i will explain how to profit on a trendy moove by scaling out on one leg ( i know that means you'll be directonal once done)
And you can do that only on beiing on the 2 paires instead of the eur/chf alone
  • #225
  • Jul 9, 2008 9:09pm Jul 9, 2008 9:09pm
Quoting spieler
It just signaled a long:

EUR/CHF was at 0%
Eur/USD = +.50%
USD/CHF = -.50%

THis indicates a perfect negativ decorrelation and that means that you have to wait.

You should keep 1/1,5 ratio otherwise you get a directional bias and that is not in th ephilosophy of th emethod.
Once step one has been well understood i will explain how to profit on a trendy moove by scaling out on one leg ( i know that means you'll be directonal once done)
And you can do that only on beiing on the 2 paires instead of the eur/chf alone
The EA hasn't shown those figures- not even close.
What time does your daily bar end?
Thanks.

EDIT- My mistake. You were quoting my previous post. I just now noticed.
  • #226
  • Jul 10, 2008 12:51am Jul 10, 2008 12:51am
Quoting billbss
Have you weighted the value of the USD/CHF by 1.5 ?
Yes, in program I taked as LotsRatio the price ratio at the order time, and this is now 1.53, but I think this isn't enough, we must take alse the volatility (ATR) in consideration, and I'm waiting on an answer from Spieler.

For you(!) I post the release v2.1 with default input of the LotsRatio=1.5, and you can change it.

Quoting azjef
I am wondering with this version do we need any indicators?
Later make I maybe an indicator, but I think it is enough to draw two horizontal lines at yesterday close +- 0.25% (or */ 1.0025).
.
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf_hedge.gif Size: 11 KB
Attached File(s)
File Type: ex4 SpielersHedge EA_v2.1.ex4   14 KB | 978 downloads
  • #227
  • Jul 10, 2008 2:38am Jul 10, 2008 2:38am
Hi Spieler,

maybe is better to open a separat thread for your wonderfull hedge system.

I think we have here two different approaches for the neutral market trading.
  • #228
  • Jul 10, 2008 3:58am Jul 10, 2008 3:58am
Quoting SwingMan
Yes, in program I taked as LotsRatio the price ratio at the order time, and this is now 1.53, but I think this isn't enough, we must take alse the volatility (ATR) in consideration, and I'm waiting on an answer from Spieler.

For you(!) I post the release v2.1 with default input of the LotsRatio=1.5, and you can change it.


Later make I maybe an indicator, but I think it is enough to draw two horizontal lines at yesterday close +- 0.25% (or */ 1.0025).
.
Thank you.
I didn't mean just using 1:1.5 when the trade's placed.
I meant using it to calculate the divergence.

Right now I'm seeing:

EUR/CHF = 0.16%
EUR/USD = -0.15%
USD/CHF = 0.30%

I think the USD/CHF should be weighted.(or the option given to weight it)

Like this:

EUR/CHF = 0.16%
EUR/USD = -0.15%
USD/CHF = 0.45% (.30 x 1.5)

Do you see what I mean?

Thanks
  • #229
  • Jul 10, 2008 4:41am Jul 10, 2008 4:41am
Quoting billbss
I didn't mean just using 1:1.5 when the trade's placed.
I meant using it to calculate the divergence.
I understand. Only Spieler, with his practice experience can comment this.
  • #230
  • Jul 10, 2008 4:45am Jul 10, 2008 4:45am
i was out for 3 hours missed again a short.
I am still looking for a short position as we are +0,20%

I see what you mean by wheighting usd/chf with 1,5 but i dont think you should care abour that .
The ratio is juste here to neutralise , as far as possible , the directional bias.
If i get in i will make a snapshot of the graphs
  • #231
  • Jul 10, 2008 4:45am Jul 10, 2008 4:45am
I just opened (OANDA) LONG (UNIT)100 eur/u 157 us/c at E/CHF + .22%


IF the price e/chf continue up, I will add the same num of unit at +0.40- 0.45%
  • #232
  • Jul 10, 2008 4:54am Jul 10, 2008 4:54am
Quoting billbss
I think the USD/CHF should be weighted.(or the option given to weight it)

Like this:

EUR/CHF = 0.16%
EUR/USD = -0.15%
USD/CHF = 0.45% (.30 x 1.5)
I think I have the answer:
ONLY the prices have the ratio 1.5, and this is a ratio for our lots.
If you multiply both prices (yesterdays close and current price) with 1.5, you have mathematicaly the same LotsRatio.
  • #233
  • Jul 10, 2008 4:57am Jul 10, 2008 4:57am
I was wrong ,. the same but SHORT
  • #234
  • Jul 10, 2008 5:07am Jul 10, 2008 5:07am
Quoting dtdoom
I was wrong ,. the same but SHORT
Surely short!

I don't know whay, but the ordering is not functioning, and maybe in the afternoon can I find the bug.
.
Attached Image
  • #235
  • Jul 10, 2008 5:13am Jul 10, 2008 5:13am
Could not wait 0,25% i am in short at +0,22%

2 lots eur/usd 3 lots USD/chf.
Will post later graphs
  • #236
  • Jul 10, 2008 5:31am Jul 10, 2008 5:31am
+0,25% now and i said patience was part of the game!!

So this was a good entry point at +0,25%
Anyway 0,22 is not that bad
  • #237
  • Jul 10, 2008 5:49am Jul 10, 2008 5:49am
Quoting spieler
So this was a good entry point at +0,25%
Yes, and now I have a question for the exit: if I have TODAY the 0% value for the divergence I close the trades.

But maybe I don't see this value today, and must wait until TOMMOROW. The question is how to calculate the divergence tomorrow, because we have with the close of the day an another basis point and another divergences as today!!
  • #238
  • Edited 7:03am Jul 10, 2008 6:51am | Edited 7:03am
Quoting fewhills
Had to improve this EA for closing manually entered Hedge orders. Point value on second symbol was wrong.

The default setting is for the combination GBPJPY versus EURJPY with a 20 pip profit value, just for trying. Of course you can use this for any combination. Read my previous post for more information.
I'm sorry, but even this version v6 is closing orders with negative total. Ex. -85/+50 just closed 5 mins ago....so something is still wrong.
Maybe it will be an ideea to make calculations in USD profit, not in pips...
And I don't know why in the comments appears "magic comment" and "Order comment", witch is from another position?!?
Ex. sell EURUSD/USDCHF, comment Hedge EUF, and another hedge EURUSD/GBPUSD, comment EUG, then appears on chart "magic comment Hedge EUF, but "order comment" EUG or other....
Insteed the values of +/- pips is accurate for the specific order, but still don't understand why it close them negative
I don't say
  • #239
  • Jul 10, 2008 7:04am Jul 10, 2008 7:04am
Quoting SwingMan
Yes, and now I have a question for the exit: if I have TODAY the 0% value for the divergence I close the trades.

But maybe I don't see this value today, and must wait until TOMMOROW. The question is how to calculate the divergence tomorrow, because we have with the close of the day an another basis point and another divergences as today!!
Swing Man,
What data is your Natural Hedge MACD based on?
  • #240
  • Jul 10, 2008 7:29am Jul 10, 2008 7:29am
Quoting billbss
Swing Man,
What data is your Natural Hedge MACD based on?
I don't understood your question.
.
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