Hedge trading spieler system derived from futures spread trading | Page 3 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Volume for indices, tick and the exchange derived volume 4 replies

Are quotes for minor pairs real or just derived from majors? 0 replies

Oanda spread versus MB Trading spread 27 replies

HOW TO PLOT derived cross 0 replies

Derived Currency Strength Indicator from multiple pairs 0 replies

Attachments: Hedge trading spieler system derived from futures spread trading
Exit Attachments

Hedge trading spieler system derived from futures spread trading

  • #41
  • Jul 12, 2008 8:05am Jul 12, 2008 8:05am
I have read ALL of Spielers posts and I am sorry to be a bit slow on the uptake but I am still not certain on the calculation. OK, you say we are only looking at the movement of EURCHF itself so am I correct in assuming that a +/- 0.25% divergance in the movement between EURCHF and the combined movement of the traded hedged pairs as a whole is the correct way to make this calculation. Example EURUSD change +0.95%, USDCHF change -1.25%,EURCHF change -0.20%. Caluclate as follows: 0.95%-1.25%=-0.30%. Then -0.30%less -0.20%= -0.10% Divergance. Not enough so wait till-00.25% .Is this correct way to calculate the divergance? Thanks for your patence.

Quoting SwingMan
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...
  • #42
  • Jul 12, 2008 8:09am Jul 12, 2008 8:09am
HI...

Richard.......the way its done is just using the close of the previous day and movement of the close of the current day......on EURCHF only


And SwingMan.....reading the thread is pointless at this point because everyone is to concerned with EA's and indicators and nobody seems to be in agreement as to how this system works....or why.
  • #43
  • Jul 12, 2008 8:34am Jul 12, 2008 8:34am
Quoting Angler
HI...

Richard.......the way its done is just using the close of the previous day and movement of the close of the current day......on EURCHF only
Agree. See formula post # 8.
  • #44
  • Jul 12, 2008 8:37am Jul 12, 2008 8:37am
Quoting Angler
HI...

Richard.......the way its done is just using the close of the previous day and movement of the close of the current day......on EURCHF only


And SwingMan.....reading the thread is pointless at this point because everyone is to concerned with EA's and indicators and nobody seems to be in agreement as to how this system works....or why.
If I'm wrong, please, Spieler, correct me!
The system works like this: (the rules apply the same for inverse situation)
If EURCHF -25% versus day open , then we enter buy both pairs, until 0% or + 25%.
Case 1: The hedge moves in our favour, so we close positions when EURCHF +25%, and in the same time, we open sell both pairs.
Case 2: The hedge moves against us (that means EURCHF still continues to fall), we average our positions at every -25% more. This applies too if we are in a short position (reverse situation).
Speking of opening hedge position (BUY in this case)as a second thought (or MM proposition), I will open at least 2 positons for hedge(maybe 3) and close them when EURCHF is at 0%, +25% and +45% if it reaches this level. Of course you have to calibrate your lot sizes to minimize drawdown, even it still has to be minimal already, since we are "perfectly" hedged! Maybe like 0.1 lots, then 0.2 lots averaging position 1 and 0.3 lots av. position 2.
This is my point of view....
I don't say
  • #45
  • Jul 12, 2008 8:46am Jul 12, 2008 8:46am
Quoting Richard
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.
Nope, it will be a loosing trade for the moment, in any case, not BIG, and all you have to do is to average your position on both pairs, at every -25% minus (fall). Yuo will have to draw a line on the chart where EURCHF was at -25% at your first entry point, and to keep track of this level when calculate the next - levels, since every day the % resets (it calculates % from the daily open, so you will have to sum all the values). Ex. if today EURCHF closes at -18%, then tommorrow closes at -32%, the total fall vs. yesterday open will be -40%. If I did enter at -25%, then at the close today I will be at -7% vs my entry point. If tommorow EURCHF falls again -40%, then I will enter again at -25% vs my initial position, means somewhere when it's at -18% vs daily open (-7% from yesterday-18% from today=-25% vs. my first entry point)
And if it reaches -43% (that's another -25% vs. my second position), I will enter again with the third lot.

The indi from SWINGMAN is very good to keep track of these, I think.
I don't say
  • #46
  • Jul 12, 2008 8:50am Jul 12, 2008 8:50am
HI...

Dragosd1......now thats how I thought it all worked.....and thanks for giving your opinion on its operation...

I still get back to....why 4hr and 1 hr charts...why all the indictors...

when you only need to keep track of the main pair...and watching the others to get as best an entry as possible....

I did read somewhere there is other parts to this system for trending trades.

I also read that....sometimes you get 1-2 trades a day...sometime only that in a week....but from what I can see on the daily chart....it would be rare that a trade is not triggered based on the daily charts.
  • #47
  • Jul 12, 2008 9:01am Jul 12, 2008 9:01am
Hi...

and just a hyperthetical.....

assuming we were not in a weekend....what would be the current trade now...based on Fridays bar
  • #48
  • Jul 12, 2008 9:18am Jul 12, 2008 9:18am
Quoting Angler
And SwingMan.....reading the thread is pointless at this point because everyone is to concerned with EA's and indicators and nobody seems to be in agreement as to how this system works....or why.
I have programmed the indicators for me privately so that I understand the system, and also help others to understand.
What I have programmed is that as I have understood the trading rules, no more and no less.
  • #49
  • Jul 12, 2008 9:32am Jul 12, 2008 9:32am
Quoting SwingMan
I have programmed the indicators for me privately so that I understand the system, and also help others to understand.
What I have programmed is that as I have understood the trading rules, no more and no less.
Keep doing what you're doing, SwingMan.
It would be impossible to have any idea of how this system has performed without your indicators.
  • #50
  • Jul 12, 2008 9:35am Jul 12, 2008 9:35am
Great, thanks everyone for the much clearer explanations and I understand now that we are only supposed to be looking at EURCHF daily movement. So I need to ask now where the divergance trading thing comes into this whole system. If we are just entering our first position once EURCHF has moved +/- 0.25% (without any reference to the movements of either EURUSD or USDCHF) then where are we calculating divergance and from what?

Surely following these rules the system is relying on the fact that every time EURCHF moves 0.25% from a previous days close it will then move no more than another max 0.75% (1% total movement) before reversing and returning to the origional days closing price. I know we are trading the hedge not EURCHF itself but 85% of the time the hedge trends in the same direction as EURCHF anyway.
  • #51
  • Jul 12, 2008 9:35am Jul 12, 2008 9:35am
Quoting SwingMan
I have programmed the indicators for me privately so that I understand the system, and also help others to understand.
What I have programmed is that as I have understood the trading rules, no more and no less.
SwingMan,

Thanks for sharing... I have learned a lot from studying your indicators.
It gives us a way of seeing how this system works in the past ..
Thanks again.

Bruce
  • #52
  • Jul 12, 2008 9:36am Jul 12, 2008 9:36am
Example, on the 27th Feb EURCHF moved -0.25% from the previous days close. So on the 28th we would then of entered long on the hedge. We would of kept going long every -0.25% drop from our original entry point until we were fully entered at -1%. But the hedge trade and EURCHF kept falling well past the -1% mark to a low of 1.5710 before starting a recovery. Roughly around -2% from entry point so why are we supposing that over -1% almost never happens?
  • #53
  • Jul 12, 2008 9:38am Jul 12, 2008 9:38am
Quoting dragosd1
Nope, it will be a loosing trade for the moment, in any case, not BIG, and all you have to do is to average your position on both pairs, at every -25% minus (fall). Yuo will have to draw a line on the chart where EURCHF was at -25% at your first entry point, and to keep track of this level when calculate the next - levels, since every day the % resets (it calculates % from the daily open, so you will have to sum all the values). Ex. if today EURCHF closes at -18%, then tommorrow closes at -32%, the total fall vs. yesterday open will be -40%. If I did enter at -25%, then at the close today I will be at -7% vs my entry point. If tommorow EURCHF falls again -40%, then I will enter again at -25% vs my initial position, means somewhere when it's at -18% vs daily open (-7% from yesterday-18% from today=-25% vs. my first entry point)
And if it reaches -43% (that's another -25% vs. my second position), I will enter again with the third lot.

The indi from SWINGMAN is very good to keep track of these, I think.
If you go back on a chart using SwingMan's most recent indicator, you'll see some deep drawdowns that are never recovered from. From what I can see, compounding these losing trades would have been a disaster. Look back over April and May.

I think Spieler has just given us the basics and there is more to come, like how to avoid piling on positions against a major trend.

I don't think it's ready to be traded yet.
  • #54
  • Jul 12, 2008 10:01am Jul 12, 2008 10:01am
hi...


billbss......I think he had mentioned somewhere that he has a method to scale out of one side of the trade and run with a trend move.

either Chf or Eur would be going in the right direction..
  • #55
  • Jul 12, 2008 10:07am Jul 12, 2008 10:07am
See chart below. Purple line shows trend of EURUSD/USDCHF hedge in relation to price of EURCHF. On 7th July EURCHF moves over +0.25% so , as per the rules, we go short on the hedge trade. We keep entering short trades on our hedge trade up to the -1% mark waiting for the turnaround. But as you can see the hedge just moves on up without returning to the first entry point. Surely a BIG loosing trade? I agree with billbss, we need more info other than the basics which clearly don't seem work on their own unless I am still not understanding everything correctly
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf.gif Size: 21 KB
  • #56
  • Jul 12, 2008 10:08am Jul 12, 2008 10:08am
Quoting Angler
hi...


billbss......I think he had mentioned somewhere that he has a method to scale out of one side of the trade and run with a trend move.

either Chf or Eur would be going in the right direction..
Yes. He mentioned there were other parts of his method he had not told us yet.

All I'm saying is that what we have so far isn't enough to make profit.
  • #57
  • Jul 12, 2008 11:12am Jul 12, 2008 11:12am
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!
Attached Fileshttp://www.forexfactory.com/images/attach/ex4.gifSpielersHedge Divergence_v2.ex4 (10.3 KB, 22 views)http://www.forexfactory.com/images/attach/ex4.gifSpielersHedge DivergenceStdDev_v1.ex4 (12.9 KB, 21 views)
.
SwingMan,
Is it possible to have the currency pairs as external varibles, so that we can see how this divergence system would work on other currencies?

Thanks

Bruce
  • #58
  • Jul 12, 2008 11:17am Jul 12, 2008 11:17am
Quoting brucech
SwingMan,
Is it possible to have the currency pairs as external varibles, so that we can see how this divergence system would work on other currencies?

Thanks

Bruce
Good idea. I second that.
  • #59
  • Jul 12, 2008 11:20am Jul 12, 2008 11:20am
Quoting Richard
Example, on the 27th Feb EURCHF moved -0.25% from the previous days close. So on the 28th we would then of entered long on the hedge. We would of kept going long every -0.25% drop from our original entry point until we were fully entered at -1%. But the hedge trade and EURCHF kept falling well past the -1% mark to a low of 1.5710 before starting a recovery. Roughly around -2% from entry point so why are we supposing that over -1% almost never happens?
It sure can go way beyond (-) or (+)1% level, however note that the 0.25% increments for averaging purpose should be calculated from the previous day's close not from the original entry point; this makes a great difference in your total averaged position
Regards
  • #60
  • Jul 12, 2008 11:34am Jul 12, 2008 11:34am
Quoting brucech
Is it possible to have the currency pairs as external varibles, so that we can see how this divergence system would work on other currencies?
Sory !?

The divergence indicators (in %) are drawn only for the refference pair! (EURCHF for EURUSD-USDCHF) or (GBPUSD for EURUSD-EURGBP).
1 trader viewing now