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Hedge trading spieler system derived from futures spread trading

  • #21
  • Jul 11, 2008 7:52am Jul 11, 2008 7:52am
". My biggest challenge is the contango/backwardation effect with calendar spreads, especially with crude oil; however, it applies to currency also. In other words, a future month may be lower than the current month (backwardation). Your divergence/convergence entry analysis is based upon this dynamic. However, suddenly the market switches from backwardation to contango. When this happens you will lose because the divergence/convergence relationship just swithed to the opposite direction.

BTW, how much has been your percentage annual return on assets with with system? I believe it has merit."

I was not doing calendar spread on futures but spread on different contracts in delta neutral so i did not get your problem.
We just had to be carrefull for the roll over ( 10 times per year on the FCE but only 4 on stoxx and S&P fut).
Divergence convergene between fce and eurostoxx is mainly caused by difference of volume , specific country news and lagg on the smaller one in case of a big issue.
between stoxx and S&P it was an other sport but that is not the topic here
  • #22
  • Jul 11, 2008 9:25am Jul 11, 2008 9:25am
Spieler,

Would you be kind enough to share with us the money management that you recommend for trading this method of yours?

Thanking you in advance.
  • #23
  • Jul 11, 2008 9:54am Jul 11, 2008 9:54am
Hi...

Ok so let me see ....

The % difference is taken from the daily charts..."assuming" this by looking at the charts provided below...where 2 are 1hr charts and 1 is a 4 hour chart..I cant see how you could use % from different time frames. Also the example below were you mention +0.22 for yesterday...I did the number on my charts and came up with 0.25 so close enough...

I am still not sure where the % levels for eur and chf come into it..

and as most of the time eur and chf go in opposite direction...where does the profit come from..

This are a few very basic questions...and yes I have read the other posts and they dont explain these items to well...
  • #24
  • Jul 11, 2008 9:54am Jul 11, 2008 9:54am
Great simple strategy.This kind of headge can serve you tremendusly if you have a loosing position(if you trade eurusd or usdchf in this case),and i have been using it like such.It has been mentioned in another thread,can't remeber where exactly,sorry...

I am using metatrader and unfortunately it doesn't have this feature to show % +/- on a given currency.I would like to comence Swing man for his awsome job on doing this EA,but I also have one small request for you Swing man .
Could you pleas make this % +/- as an indicator,only this feature,nothing else is needed, with a bit bigger numbers (maybe size 16 or 18). Only colour can be optional because we all use different backgrounds. I am used to do everything manualy and this would be very helpful for me and i hope for others too.I would be very grateful but it is not a hurry,take your time.

I hope to see the advanced stuff as soon as possible Spieler
Thanky for everything
Good Luck

HC
  • #25
  • Jul 11, 2008 9:59am Jul 11, 2008 9:59am
Quoting happy camper
Great simple strategy.This kind of headge can serve you tremendusly if you have a loosing position(if you trade eurusd or usdchf in this case),and i have been using it like such.It has been mentioned in another thread,can't remeber where exactly,sorry...

I am using metatrader and unfortunately it doesn't have this feature to show % +/- on a given currency.I would like to comence Swing man for his awsome job on doing this EA,but I also have one small request for you Swing man .
Could you pleas make this % +/- as an indicator,only this feature,nothing else is needed, with a bit bigger numbers (maybe size 16 or 18). Only colour can be optional because we all use different backgrounds. I am used to do everything manualy and this would be very helpful for me and i hope for others too.I would be very grateful but it is not a hurry,take your time.

I hope to see the advanced stuff as soon as possible Spieler
Thanky for everything
Good Luck

HC
Did you see SwingMan's new indicator?

http://www.forexfactory.com/showpost...&postcount=260
  • #26
  • Jul 11, 2008 10:21am Jul 11, 2008 10:21am
Quoting billbss
Did you see SwingMan's new indicator?

http://www.forexfactory.com/showpost...&postcount=260
No I haven't seen that,i quess i missed it.
Thank you for bringing it to my attention billbss,and thanks again to swingman for his work.

HC
  • #27
  • Jul 11, 2008 11:09am Jul 11, 2008 11:09am
"The % difference is taken from the daily charts..."assuming" this by looking at the charts provided below...where 2 are 1hr charts and 1 is a 4 hour chart..I cant see how you could use % from different time frames. Also the example below were you mention +0.22 for yesterday...I did the number on my charts and came up with 0.25 so close enough...

I am still not sure where the % levels for eur and chf come into it..

and as most of the time eur and chf go in opposite direction...where does the profit come from.."

Using 1h 1 minute or 5 will not change the % but the 3 graphs were supposed to be all in the same time frame even if it does not change the %
My mistake by going to fast .
0,25% you are right 0,22% was my entry point sorry for that again

You are right a third time eur/usd and usd/chf are negatively correlated and th eprofit comes from that.

being correlated does not meant that when one does +0,10% the other one is doing -0,10%, second one can do +0,05% for exemple.
The job of a spread hunter is to find a level of divergence to put a position and then waiting the 2 paires to converge to get out with a profit.
Thas is exactly what i did real time with my last trade.

I gave a simple system which works , i use one more complicated but just for fine tuning, the simple one works great
  • #28
  • Jul 11, 2008 12:11pm Jul 11, 2008 12:11pm
Spieler,

It seems that your profit would be very small with this system. What type of % return on Assets do you get per month?

thanks,

Walt
  • #29
  • Jul 11, 2008 12:31pm Jul 11, 2008 12:31pm
Not that small divergences can be wide and sometimes i have to put 2 or 3 or 4 lost so when it bouce back the profit is nice.
I dont like to say i do X% et blabla bla then you have to justify everything but profit is constant and very interesting
give it a try in demo you will be surprised for sure and i am very confortable trading that way and that is priceless
  • #30
  • Jul 11, 2008 2:07pm Jul 11, 2008 2:07pm
Spieler,
Would you hold one of these trades over a weekend?

Thanks
  • #31
  • Jul 12, 2008 3:14am Jul 12, 2008 3:14am
Spieler, I have been following these threads since Zouesjoes and have a great interest, Congrats on all your work so far,I will be trialing these on the 4X, I also trade the EuroStoxx50, s&p, Can I PM you as I understand this style can be also incorporated to these contracts.

Keep up the good Work
  • #32
  • Jul 12, 2008 5:11am Jul 12, 2008 5:11am
Hello everyone,

Been reading the Zeusjoes Market-Neutral Hedge Strategy thread and now this one and both seem to have a lot of potential but I am still not 100% certain on how Spieler arrives at the divergence calculation.

Please could someone confirm, are we just waiting for +/- 0.25% on EURCHF itself or are we calculating the differance between the movement in EURUSD and USDCFH and then comparing that to the movement in EURCHF?

Yes, I have read post 85097 and looked at the three charts Spieler has posted but I am still confused.

Please can someone post a simple calculation example, thanks.

Quoting spieler
I said to read the previous post

I built a spread table and graphs but so far you dont need it.
KISS keep it simple St...D

You just need the graphs under
Almost green and back to negativ territory this market is so slowwwwwwwww today
  • #33
  • Jul 12, 2008 5:18am Jul 12, 2008 5:18am
Hi..


Dont worry Richard...your not alone...I have asked a similar question in the other thread...so keep an eye on both..
  • #34
  • Edited 6:20am Jul 12, 2008 6:14am | Edited 6:20am
Quoting Richard
Hello everyone,

Been reading the Zeusjoes Market-Neutral Hedge Strategy thread and now this one and both seem to have a lot of potential but I am still not 100% certain on how Spieler arrives at the divergence calculation.

Please could someone confirm, are we just waiting for +/- 0.25% on EURCHF itself or are we calculating the differance between the movement in EURUSD and USDCFH and then comparing that to the movement in EURCHF?

Yes, I have read post 85097 and looked at the three charts Spieler has posted but I am still confused.

Please can someone post a simple calculation example, thanks.

Richard I am lead to beleive we are just waiting for the EUR/CHF to show +/-25% Minimum, What I cannot work out is at the Friday close EUR/USD had a change of 0.95%, the USD/CHF had a change of -1.15%, to me -20% in total, The EUR/CHF had a change of -0.19% so in affect we are currently -1%. Basically all perfectly matched
I to maybe looking at this the wrong way
  • #35
  • Jul 12, 2008 6:25am Jul 12, 2008 6:25am
Quoting kipper19
Richard I am lead to beleive we are just waiting for the EUR/CHF to show +/-25% Minimum, What I cannot work out is at the Friday close EUR/USD had a change of 0.95%, the USD/CHF had a change of -1.15%, to me -10% in total, The EUR/CHF had a change of -0.19% so in affect we are currently -9%.
I to maybe looking at this the wrong way
As I understand, the only change you have to watch is EURCHF, which gives you the trigger for your entry: -25% go LONG on both pairs, +25% go SHORT.
We can also spot the difference by looking at the pairs +/-, as is the difference that we speculate (EU vs. UCHF). So, if EU is at + 1.05 and UCHF is at -0.85, then our winning piece is that +20% difference. But this don't have to be the same with the EURCHF difference.
I don't say
  • #36
  • Edited 7:09am Jul 12, 2008 7:02am | Edited 7:09am
Hi..

Dragosd1 .... thats all I thought it was.....and I could not work out why all the charts were looking so damn complicated.
  • #37
  • Jul 12, 2008 7:21am Jul 12, 2008 7:21am
Hi People,

Thanks very much for your replies, looks like we are all not 100% certain as to exactly how the calculation should be made.

Kipper 19, I have been trading the EURUSD-USDCHF hedge for some time now and I have never seen EURCHF move more than a few pips out of sinc with the hedge. When perfectly in sinc the price of EURUSD+USDCHF = Price of EURCHF. Most of the time the differance in this calculation is not more than +/- 1 pip so Fridays close was just normal price action for this triangle.

dragosd1, You may be correct in you thinking that we should look at the differance in the movement of each pair in the hedge as well as the movement in EURCHF itself but what are the exact rules for entry? If EURCHF is say at -0.25%, that just means it has moved -0.25% from it's previous close on the daily but why would that be a reason to go Long on the hedge? It could easily carry on going down for the next few days and also most of the time (85%) EURCHF and the hedged pairs move in the same trend direction. So if EURCHF did carry on in downtrend for a few days then probably so would the hedged pair and that would make for a big loosing trade.

Angler, glad I am not the only lost person on this and the other thread.

spieler, thanks for sharing but please come back and clarify exactly how you make the calculation for good entry so we can all understand better your strategy.
  • #38
  • Jul 12, 2008 7:36am Jul 12, 2008 7:36am
If you will to check Spielers trading divergence ratios, I can tell you they are OK!

I have programmed a new indicator: "SpielerHedge DivergenceStdDev_v1". It draws the mean of deviations, plus one and two standard deviations.

As you can see, Spielers figures (0.20% and 0.40%) correspond to the mean and to the second standard deviation.

Mathematically we can also trade the first standard deviation!
.
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf_hedge.gif Size: 21 KB
Attached File(s)
File Type: ex4 SpielersHedge Divergence_v2.ex4   10 KB | 3,101 downloads
File Type: ex4 SpielersHedge DivergenceStdDev_v1.ex4   13 KB | 2,876 downloads
  • #39
  • Jul 12, 2008 7:41am Jul 12, 2008 7:41am
SwingMan, The indicators look great on the chart but please can you clarify how to use them to calculate the +/- 0.25% divergance for a good entry point. Are we looking at the divergance in the daily movement between EURUSD and USDCHF or the movement of EURCHF itself?

Quoting SwingMan
If you will to check Spielers trading divergence ratios, I can tell you they are OK!

I have programmed a new indicator: "SpielerHedge DivergenceStdDev_v1". It draws the mean of deviations, plus one and two standard deviations.

As you can see, Spielers figures (0.20% and 0.40%) correspond to the mean and to the second standard deviation.

Mathematically we can also trade the first standard deviation!
.
  • #40
  • Jul 12, 2008 7:49am Jul 12, 2008 7:49am
Quoting Richard
SwingMan, The indicators look great on the chart but please can you clarify how to use them to calculate the +/- 0.25% divergance for a good entry point. Are we looking at the divergance in the daily movement between EURUSD and USDCHF or the movement of EURCHF itself?
If you haven't read ALL the postings of Spielers, you can't understand and you can not trade the system...

Surely is the movement of EURCHF itself.
For movements between two pairs, please read the ZeusJoes thread...
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