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  • #301
  • Jul 12, 2008 3:01pm Jul 12, 2008 3:01pm
Quoting mrkam
Hi PistolDave! a few things to go through.....

Good discussion. Perhaps one step to bringing some focus back is that the Spieler method now has it's own thread, which I will be following! That should help a lot.

.....

Also, the way I am approaching this is not exactly the original way as well, but I think still in keeping with the concept....
Thanks for the explanation mrkam.

That makes it clearer for me now. I had run into one or two trades in the past week that didn't work out like I expected so I wasn't sure if I was on the right track.

I had one trade that was stopped out because I had set the stop at only 100 pips when, as you say, it should be about 2x the trigger delta.

Also, I was setting the v3 period to only about 72 which is too short of time to see the extremes that the price can go out of synch. If you set the period too short you may think price has reached an extreme by looking at the indicators but it may still have a lot farther to go before it starts swinging back.

The key to profiting from this system then, as I understand it, is to be able to anticipate when the prices have swung out to their recent "normal" extremes and then try to enter and wait for them to swing back to the other extreme. And also as you have pointed out you can trade conservatively, agressively, or in the "always in" mode. This method, coupled with stop orders to protect against out of the normal movement, can possibly provide a profitable strategy overall.

I'll be testing it on demo.
pd
  • #302
  • Jul 12, 2008 3:20pm Jul 12, 2008 3:20pm
Hi PD, precisely! We still need to iron a few things, but overall, I am optimistic... One thing to noodle, maybe, (BillSS!!) I have an EA (I paid a programmer to do it for me....) that trades this system purely on price differences between the two currencies, no indicators.

The formula for the delta is MarketCurr1 - MarketCurr2 - ZeroFactor = Delta.

ZeroFactor is just a number to adjust the two currencies to "zero". This was basically designed around trading the GU/EU pairs. The trick is how to define "zero"!!! The indicators do, somehow, either the oscilator or the overlaid line charts. Say we have such a zero point, and at that point, say the GU is 1.9886, and the EU at that same time is 1.5893. The straight mathematical difference is .3793. If I manually set the ZeroFactor to .3793, then my Delta is Zero. Then, I set my TriggerDelta (point at which I would enter trades) at, say 100. So, whenever the difference betweed the two currency PRICES gets to 100, I enter. Whenever the difference in Currency PRICES gets to Zero (after being adjusted by the ZeroFactor), I exit.

Kind of the same concept, but no indicators, just prices.... So how to set Zero???

Any ideas!!
  • #303
  • Jul 12, 2008 3:45pm Jul 12, 2008 3:45pm
Quoting mrkam
Hi PD, precisely! We still need to iron a few things, but overall, I am optimistic... One thing to noodle, maybe, (BillSS!!) I have an EA (I paid a programmer to do it for me....) that trades this system purely on price differences between the two currencies, no indicators.

The formula for the delta is MarketCurr1 - MarketCurr2 - ZeroFactor = Delta.

ZeroFactor is just a number to adjust the two currencies to "zero". This was basically designed around trading the GU/EU pairs. The trick is how to define "zero"!!! The indicators do, somehow, either the oscilator or the overlaid line charts. Say we have such a zero point, and at that point, say the GU is 1.9886, and the EU at that same time is 1.5893. The straight mathematical difference is .3793. If I manually set the ZeroFactor to .3793, then my Delta is Zero. Then, I set my TriggerDelta (point at which I would enter trades) at, say 100. So, whenever the difference betweed the two currency PRICES gets to 100, I enter. Whenever the difference in Currency PRICES gets to Zero (after being adjusted by the ZeroFactor), I exit.

Kind of the same concept, but no indicators, just prices.... So how to set Zero???

Any ideas!!
I can't program MT4 but I can and do work with AmiBroker.

I have been working on exactly the same concept you describe with the same basic formula.. And, yes, getting the Zero factor figured out is a problem.

One thing I have found- using Bollinger Bands to identify the deviation extremes (thresholds) works well- touching the bottom band signals a long spread- the top signals a short. It's quick and easy and seems to work.

If I get it like I want it, I'll try to get someone to convert AmiBroker code to MT4.
  • #304
  • Jul 12, 2008 4:50pm Jul 12, 2008 4:50pm
Quoting SwingMan
An indicator to see the historical divergences.
The divergence is calculated for highs and lows related to the close of yesterday.

Dear Spieler, I repeat my request if you will to open a new thread for their system. I believe that now no one here know whether we discussed and post indicators for the NeutralHedge or for the SpielersHedge.
Hi SwingMan !

First of all thank you very much for participating in this very
interesting thread.

Could you explain in some sentences how to read your indicator ?
(especially the marked trading levels)

Thanks in advance

Bernhard
  • #305
  • Jul 12, 2008 5:20pm Jul 12, 2008 5:20pm
Quoting behof
Hi SwingMan !

First of all thank you very much for participating in this very
interesting thread.

Could you explain in some sentences how to read your indicator ?
(especially the marked trading levels)

Thanks in advance

Bernhard
About SpielersHedge please post only in Spielers thread: http://www.forexfactory.com/showthread.php?t=95721
Spieler has explain what to do is, and I have only programmed this idea.
They are some gus who can give more explanations as I.
  • #306
  • Jul 12, 2008 9:19pm Jul 12, 2008 9:19pm
mrkam, SwingMan, billbss,

Any ideas!! How to set Zero!
I am not very good in math or formulas. Neither am I a programmer.

Having said that I do have an idea how to maybe set Zero….

BillSS mentioned about the use of Bollinger Bands to identify the deviation extremes (thresholds).

Ok. Then how about using this indicator (SHI_Channel_true)attached below to set a dynamic Zero?

You attach the indicator (SHI_Channel_true (setting 89)) to the Daily Charts of GBPUSD and EURUSD. Now you take the center point of the SHI Channel for EURUSD and subtract it from the center point of the SHI Channel for GBPUSD. Which would give you the straight mathematical difference of 0.#### …. Then you set the ZeroFactor to 0.####, then your Delta is Zero. And from that set your TriggerDelta.

Just an idea… Then this becomes a dynamic Zero which would adjust daily reflected by both the GBPUSD and the EURUSD…

What do you think. Mrkam, billss., and SwingMan?

Bruce


Quoting mrkam
Hi PD, precisely! We still need to iron a few things, but overall, I am optimistic... One thing to noodle, maybe, (BillSS!!) I have an EA (I paid a programmer to do it for me....) that trades this system purely on price differences between the two currencies, no indicators.

The formula for the delta is MarketCurr1 - MarketCurr2 - ZeroFactor = Delta.

ZeroFactor is just a number to adjust the two currencies to "zero". This was basically designed around trading the GU/EU pairs. The trick is how to define "zero"!!! The indicators do, somehow, either the oscilator or the overlaid line charts. Say we have such a zero point, and at that point, say the GU is 1.9886, and the EU at that same time is 1.5893. The straight mathematical difference is .3793. If I manually set the ZeroFactor to .3793, then my Delta is Zero. Then, I set my TriggerDelta (point at which I would enter trades) at, say 100. So, whenever the difference betweed the two currency PRICES gets to 100, I enter. Whenever the difference in Currency PRICES gets to Zero (after being adjusted by the ZeroFactor), I exit.

Kind of the same concept, but no indicators, just prices.... So how to set Zero???

Any ideas!!
Attached Image (click to enlarge)
Click to Enlarge Name: SetZero.jpg Size: 201 KB
Attached File(s)
File Type: mq4 SHI_Channel_true.mq4   5 KB | 624 downloads
  • #307
  • Jul 12, 2008 9:41pm Jul 12, 2008 9:41pm
Hi....

I dont think these systems have been tested long enough to be starting to add indictors...

Can we keep this thread clean....by that I mean stick to the basic syetem

But if someone has an alternative idea...maybe starting another thread.
  • #308
  • Jul 12, 2008 10:13pm Jul 12, 2008 10:13pm
Quoting brucech
What do you think. Mrkam, billss., and SwingMan?
No, in MT4 isn't possible to realize this idea, because the name: "BrucechsHedge_DynamicZeroChannel_vXX" is too long!
  • #309
  • Jul 12, 2008 10:17pm Jul 12, 2008 10:17pm
welllll..... we don't really have a "system" to test, yet!! Although I think the NeutralHege Oscillator approach bears some testing, as it has been kind of a basis for one of the approaches...

I like the SHI channel, because it is price action based... I LOVE price action...!! Cool suggestion, and worthy of investigation! i need to look at it some more, and nice idea of maybe a daily adjustment of the zero point, sort of what Speiler does, daily, but in a different way. I need to see how the math works out, with respect to my Sych EA.. your reference to the 0.xxxx adustment... THANKS (brucech) for the post!

So maybe this is more of a "think tank" thread at his point, that will lead to specific approach offshoot threads?? (liek the Spieler thread?) But I agree, we are sort of lacking a sense of focus, which we all have mentioned... but sometimes, it take the brainstorming think-tank approach to develop focus...

Ah well, whatever it is, it sure is fun!!

mk
  • #310
  • Jul 12, 2008 10:25pm Jul 12, 2008 10:25pm
Quoting Angler
Hi....

I dont think these systems have been tested long enough to be starting to add indictors...

Can we keep this thread clean....by that I mean stick to the basic syetem

But if someone has an alternative idea...maybe starting another thread.
Every indicator you see on this thread is an addition.
If you want to keep it clean you need to go back and work off of post#1.- a chart.
http://www.forexfactory.com/showpost...77&postcount=1

If we followed your suggestion, this would now be three separate threads, the original, one for the overlay and another for the oscillator.
  • #311
  • Jul 12, 2008 10:41pm Jul 12, 2008 10:41pm
Quoting brucech
mrkam, SwingMan, billbss,

Any ideas!! How to set Zero!
I am not very good in math or formulas. Neither am I a programmer.

Having said that I do have an idea how to maybe set Zero….

BillSS mentioned about the use of Bollinger Bands to identify the deviation extremes (thresholds).

Ok. Then how about using this indicator (SHI_Channel_true)attached below to set a dynamic Zero?

You attach the indicator (SHI_Channel_true (setting 89)) to the Daily Charts of GBPUSD and EURUSD. Now you take the center point of the SHI Channel for EURUSD and subtract it from the center point of the SHI Channel for GBPUSD. Which would give you the straight mathematical difference of 0.#### …. Then you set the ZeroFactor to 0.####, then your Delta is Zero. And from that set your TriggerDelta.

Just an idea… Then this becomes a dynamic Zero which would adjust daily reflected by both the GBPUSD and the EURUSD…

What do you think. Mrkam, billss., and SwingMan?

Bruce
That might work. I don't know enough about the Shi channel. Isn't it from the old Overeasy System? It looks a lot like a linear regression channel.

I'm working from a little different angle. I'm looking for deviations between the combined spread and the cross pair. When you find one- it ALWAYS corrects and does so quickly.
  • #312
  • Jul 13, 2008 10:28am Jul 13, 2008 10:28am
No problem Swingman - I just wanted to know exactly how you are calculating the INDICATOR not EA. I don't care about EA's. I built one using that formula that is close, but not exactly. If you don't care who has indicator, why do you care about the code behind it? Not critisizing, just asking.
For example, my indicator and yours are exactly the same on a daily chart but not on an hourly chart using the following formula

double d = (100 * Close[i] / iClose(NULL,PERIOD_D1,i+1)) - 100;
ExtMapBuffer1[i] = d;

and using this code - everything is way off.

double d = (100 * iClose(NULL,PERIOD_D1,i) / iClose(NULL,PERIOD_D1,i+1)) - 100;
  • #313
  • Edited 12:39pm Jul 14, 2008 8:55am | Edited 12:39pm
Well.... got a bunch to report from the overnight swings....

Osc Indicator v3.3: indeed this does repaint!! As the bars "fall off" of the front end (old bars), and new bars are added at the back end (most recent bars...), apparantly the calc changes the height of the bars....

Osc Indicator v3.1: On the other hand, I was able to confirm that this indicator does NOT repaint (at least the way I set it up....)!! When this one progresses, bars do not fall off the front of the indicator as new bars are added. If you check the value of the most recent closed indicator bar, it remains the same as more and more bars are added... but, with this one, you have to make sure the date is set correctly, or else new bars will not be added...

Using the v3.3 bars, I had a couple trades pretty much break even, or small profit. Using the v3.1 bars, at a 7/14 0000 entry, and a 1100 close, cleared about 70 or so pips.

This trade mirrored using the price differential logic, with a ZeroFactor set two ways 1) looking back on the Overlayv3 indicator to where the lines cross, and calc the Zero factor from that, and 2) using the SHI indicator at open of new day 0000 on the HOURLY chart. Both were with about 30 of each other.). Then, close at Delta = 0. This netted about +70 p as well.

So, from here, I will be working the 3.1 indicator, but just setting it for the week and letting it go, no adjustments, as they would change the bar values. And.... the price differential appoach, re-setting the ZeroFactor per the SHI at each new day, on hourly. We will see!!

REV: Added screenshot per below request, although it doesn't really do us much good, which is why I didn't post it in the first place. The logic and aprpoach is described above. The Trade was taken automatically by my EA, but not closed when it should have been, (bug to work out...) so I closed it manually close to the zero point, (a bit on the other side.). You see the results of the two trades, and you can do the math for the net profit. You can also see the correspondance with the v3.1 Oscillator indicator, set up as described above, no changes once setup. On another chart, I traded the v3.1 EA, and it traded it fine, same basic results within a pip or two.

Again, we are REALLY early in these approaches, very experimental at this point... but worthy of pursuing in my mind!!
Attached Image (click to enlarge)
Click to Enlarge Name: synchprice2_1.gif Size: 38 KB
  • #314
  • Jul 14, 2008 11:50am Jul 14, 2008 11:50am
Quoting mrkam
Well.... got a bunch to report from the overnight swings....

Osc Indicator v3.3: indeed this does repaint!! As the bars "fall off" of the front end (old bars), and new bars are added at the back end (most recent bars...), apparantly the calc changes the height of the bars....

Osc Indicator v3.1: On the other hand, I was able to confirm that this indicator does NOT repaint (at least the way I set it up....)!! When this one progresses, bars do not fall off the front of the indicator as new bars are added. If you check the value of the most recent closed indicator bar, it remains the same as more and more bars are added... but, with this one, you have to make sure the date is set correctly, or else new bars will not be added...

Using the v3.3 bars, I had a couple trades pretty much break even, or small profit. Using the v3.1 bars, at a 7/14 0000 entry, and a 1100 close, cleared about 70 or so pips.

This trade mirrored using the price differential logic, with a ZeroFactor set two ways 1) looking back on the Overlayv3 indicator to where the lines cross, and calc the Zero factor from that, and 2) using the SHI indicator at open of new day 0000 on the HOURLY chart. Both were with about 30 of each other.). Then, close at Delta = 0. This netted about +70 p as well.

So, from here, I will be working the 3.1 indicator, but just setting it for the week and letting it go, no adjustments, as they would change the bar values. And.... the price differential appoach, re-setting the ZeroFactor per the SHI at each new day, on hourly. We will see!!
mrkam,

Could you post your charts to show how "This netted about +70 p"?

Thanks.
Bruce
  • #315
  • Jul 15, 2008 3:19am Jul 15, 2008 3:19am
Quoting mrkam
Hi PD, precisely! We still need to iron a few things, but overall, I am optimistic... One thing to noodle, maybe, (BillSS!!) I have an EA (I paid a programmer to do it for me....) that trades this system purely on price differences between the two currencies, no indicators.

The formula for the delta is MarketCurr1 - MarketCurr2 - ZeroFactor = Delta.

ZeroFactor is just a number to adjust the two currencies to "zero". This was basically designed around trading the GU/EU pairs. The trick is how to define "zero"!!! The indicators do, somehow, either the oscilator or the overlaid line charts. Say we have such a zero point, and at that point, say the GU is 1.9886, and the EU at that same time is 1.5893. The straight mathematical difference is .3793. If I manually set the ZeroFactor to .3793, then my Delta is Zero. Then, I set my TriggerDelta (point at which I would enter trades) at, say 100. So, whenever the difference betweed the two currency PRICES gets to 100, I enter. Whenever the difference in Currency PRICES gets to Zero (after being adjusted by the ZeroFactor), I exit.

Kind of the same concept, but no indicators, just prices.... So how to set Zero???

Any ideas!!
I guess we can figure out the zero factor from EUR/GBP movement..same as Spieler looking for EUR/CHF movement before entering EUR/USD and USD/CHF..I am not sure ...all i know is when EUR/GBP goes down (GBP become stronger than EUR) Long GBP/USD will be beat short EUR/USD. The hedge will be broken up until 60 pips....just like happen today...
  • #316
  • Jul 15, 2008 4:03am Jul 15, 2008 4:03am
Quoting mrkam
Well.... got a bunch to report from the overnight swings....

Osc Indicator v3.3: indeed this does repaint!! As the bars "fall off" of the front end (old bars), and new bars are added at the back end (most recent bars...), apparantly the calc changes the height of the bars....

Osc Indicator v3.1: On the other hand, I was able to confirm that this indicator does NOT repaint (at least the way I set it up....)!! When this one progresses, bars do not fall off the front of the indicator as new bars are added. If you check the value of the most recent closed indicator bar, it remains the same as more and more bars are added... but, with this one, you have to make sure the date is set correctly, or else new bars will not be added...

Using the v3.3 bars, I had a couple trades pretty much break even, or small profit. Using the v3.1 bars, at a 7/14 0000 entry, and a 1100 close, cleared about 70 or so pips.

This trade mirrored using the price differential logic, with a ZeroFactor set two ways 1) looking back on the Overlayv3 indicator to where the lines cross, and calc the Zero factor from that, and 2) using the SHI indicator at open of new day 0000 on the HOURLY chart. Both were with about 30 of each other.). Then, close at Delta = 0. This netted about +70 p as well.

So, from here, I will be working the 3.1 indicator, but just setting it for the week and letting it go, no adjustments, as they would change the bar values. And.... the price differential appoach, re-setting the ZeroFactor per the SHI at each new day, on hourly. We will see!!

REV: Added screenshot per below request, although it doesn't really do us much good, which is why I didn't post it in the first place. The logic and aprpoach is described above. The Trade was taken automatically by my EA, but not closed when it should have been, (bug to work out...) so I closed it manually close to the zero point, (a bit on the other side.). You see the results of the two trades, and you can do the math for the net profit. You can also see the correspondance with the v3.1 Oscillator indicator, set up as described above, no changes once setup. On another chart, I traded the v3.1 EA, and it traded it fine, same basic results within a pip or two.

Again, we are REALLY early in these approaches, very experimental at this point... but worthy of pursuing in my mind!!
Hi, Mrkam,
It is possible to post your Ea here, I would like to test it, as now I test Spielers EA.
The graphical overlay is drawn by the EA, or is "AllUSDpairs" indi?
I don't say
  • #317
  • Jul 15, 2008 6:41am Jul 15, 2008 6:41am
Are you using = lots on both pairs

Quoting Andrie
I guess we can figure out the zero factor from EUR/GBP movement..same as Spieler looking for EUR/CHF movement before entering EUR/USD and USD/CHF..I am not sure ...all i know is when EUR/GBP goes down (GBP become stronger than EUR) Long GBP/USD will be beat short EUR/USD. The hedge will be broken up until 60 pips....just like happen today...
  • #318
  • Jul 15, 2008 11:48am Jul 15, 2008 11:48am
Quoting toddanderson
Are you using = lots on both pairs
correct...
  • #319
  • Jul 15, 2008 12:35pm Jul 15, 2008 12:35pm
Here is a shot of where I entered on the EURUSD vs USDCHF and another trade on the GBPUSD vs USDCHF hedge pair.

Note the red vertical line marking the time I entered. Also see the vertical yellow line showing the price spread (threshold value) at the time of entry. The yellow x's are about the area price was at at entry on these charts. I also placed some horizontal blue lines that intersect with the price lines as they were on the chart at this time. I will post them again in a few hours and see if the price lines have changed position on the charts as we have suspected.

I'm trying to see if this is an accurate real time prediction of the profit in pips that will result when the threshold reverts back to zero. If it is accurate then you could get an EA that would close the positions when the profit is at the amount predicted by the threshold value or more. As mrkam has mentioned, the tricky part is to determine this zero point.

Anyway take a look at the charts and you will see the entry and the values for the threshold and what I am expecting as the profit from these trades.

I'll post again soon with a view of what this has done after a few hours.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: market-neutral hedge 3.gif Size: 63 KB
Click to Enlarge Name: market-neutral hedge 4.gif Size: 63 KB
  • #320
  • Jul 15, 2008 12:51pm Jul 15, 2008 12:51pm
Quoting PistolDave
Here is a shot of where I entered on the EURUSD vs USDCHF and another trade on the GBPUSD vs USDCHF hedge pair.

Note the red vertical line marking the time I entered. Also see the vertical yellow line showing the price spread (threshold value) at the time of entry. The yellow x's are about the area price was at at entry on these charts. I also placed some horizontal blue lines that intersect with the price lines as they were on the chart at this time. I will post them again in a few hours and see if the price lines have changed position on the charts as we have suspected.

I'm trying to see if this is an accurate real time prediction of the profit in pips that will result when the threshold reverts back to zero. If it is accurate then you could get an EA that would close the positions when the profit is at the amount predicted by the threshold value or more. As mrkam has mentioned, the tricky part is to determine this zero point.

Anyway take a look at the charts and you will see the entry and the values for the threshold and what I am expecting as the profit from these trades.

I'll post again soon with a view of what this has done after a few hours.
But this is NoT HEDGE! It's a directional trade(pair of trades)
I don't say
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