Hedge trading spieler system derived from futures spread trading

Dear Thread,

In the spirit of contribution, demoed the following today
on Saxo Bank platform: had -.48 on EURUSD and +.73 on USDCHF at 11:19 AM GMT. Sold EURUSD at 1.58585 and sold USDCHF at 1.02315. Closed USDCHF at 9:30 GMT at parity (0%) at 1.0163 (+68 pips) and EURUSD at 1.5858 (-44 pips) for a net of +24 pips. I also used BillyRay Valentine's S/R levels on EURCHF to determine exactly when to sell the spread once it had reached -.25. The S/R levels combined with the % divergence seems to make for a safer trade. Comments? Thanks.

Lenoxer

Divergence indicators v3:

New parameters:

- ShiftDays_ForReference = 1
For analysis is possible to give more as 1 day back for the reference close (2, 3, 4 day)

- Close_asReferencePrice = true
Alternative to Close, is possible to give the open as reference price


SpielersHedge EA_v4

New parameters:

MagicNumber = 0
- The EA has an internal MagicNumber. If you give here an other value as zero, you can trade the EA with different parameters on the same acount, for the same or for other pair combinations.

Send_Mail = true
- you can send and receive mails for Entry and Exit orders
.

Hi..

Well It looks like we are going to have fun with all the different closing times on all the different brokers...


well like others have said while I slept......I also go nowhere near -0.20 so no long trade here..

And as far as risk goes...yeah while the pair does its usual thing Chf goes one way and eur goes the other...but I have seen on the charts where at times they both go in the same direction making a big move and in this case we would have had longs where the eur and chf was heading south. ie losses on both pairs

ie...Backward testing...why...rather test going forward as not all conditions can be seen looking back..

And as far as adding anything...S/R lines and any other indicators...how about we just test it as is for a while and see how it goes.

this is interesting to read as I've been working on this for a bit myself. nice to see people still talking about this, there were similar systems out here before but most of them got flamed because of poor MM. this strategy has potential since the whole concept of pair trading has been profitable.

the only thing I don't necessarily agree with is not using stops of any sort. If you take a look at a historical graph of the spread, there are more than a "few" times a year this happens and sometimes this goes on for days and days and days. So I would be interested what Spieler uses in general to stay out of these besides what he said so far. These jumps in the spread are huge compared to the profits you make.

Very interesting thread and to see how it will develop, good to see some people I havn't seen in a while either. I've been working on the corporate side a little recently with mutual funds...it's a drag, haha.

SwingMan thanks for all the work and sharing the EA, keep it up and thanks to Spieler ofc for bringing this idea up in the first place and to everyone contributing. I'm interested to see this develop more and will post if I have fresh ideas about the spread trends but april-may was critical as was last fall on the graphs for correlation strategies as there were some shifts in correlation ratios that were a bit major within the past year.

Hi...


I am looking for a price around 1.6120 or lower.....for a long entry..

#the only thing I don't necessarily agree with is not using stops of any sort. If you take a look at a historical graph of the spread, there are more than a "few" times a year this happens and sometimes this goes on for days and days and days. So I would be interested what Spieler uses in general to stay out of these besides what he said so far. These jumps in the spread are huge compared to the profits you make.#

give me exemple with day and month i ll tell you what i did

Hi....


Well while I am waiting for the next trade...

what did you do around the days...

2008.05.07 and on for about 3 day I think..

i said to enter a position at +/-0.25% not 0.20%

Sometimes i enter at 0.20% because i have a specific tool so you all have to wait 0.25.

When in a big trend i heve already explain how to work the position and i will show how to manage that if we go further than 0.75% decorrelation without retracing 0.25%( meaning having already 3 lots).
I built a strategy for that case too of course otherwise you could win during 3 years and loss everything on a single trade in theory.
Murphy's law always in my mind

Hi...

I will be out for a while so may miss this next trade...who knows..


But the problem with explaining it later is....that some testing here may be in a trade already and by the time you come online to explain....its all done..over..they jumped ship..

07th may and days following have been quite inconfortable to say the least but finished by a big winner.

at 162.10 i had 4 lots at -1%

Then we get a pull back allowing me to get out of the last lot even, so i had only 3 lots position after that .

Then my rules are to wait 0.50 more ( starting from -1%) before entering expecting that does not happened but it did and i had 4 lots again .
then had to wait 0.50% more which did not happen.
Days after back to correlation quickly scaling out on the path generating a nice profit.

That means that you dont have to overleverage on the first entry otherwise you have to wait 0.50 instead of 0.25 to put one more lot.
You should be abble to handle a 2% moove without pull back of 0.25%( i dont remember this kinda things already happen i dont think so)
YOu cam easyly understand that all hedging strategy that dont have a working position rule are very good on paper but will kill you one day .
Same for hedging involving gbp and jpy i worked hundreds of hours on this as well.

Hi...


Not sure its going to come down far enough for me to get into a trade...its looking like it wants to turn up now.....still waiting

Hi


How about a percentage check... ECN -0.12....CHF -0.38....EUR 0.28

I am in ( graph following)
Long 1 lot eur/usd 1.5965
long 1.5 lot usd/chf 1.0099

live:

@ -0.25% on EUR/CHF (1.6122)

long EUR/USD @ 1.5964
long USD/CHF @ 1.0102 (X 1.6)

regards
daytrading

We have some strong movements today. It will be interesting.

My EA, didn't open any trades. Only, audio signals. Where can be the problem?

hi..


Ok....my numbers are about 1-2 pips difference close enough ..

CHF 1.0097
EUR 1.5966

ECH was @ -0.31 on entry

ea i dont know ask swingman.

waiting -0.50% now or back to zero line or more depending on the speed

C,

...would you like my opinion?

Tip : for a long always enter the one which is up first so you can sometime never enter th eother leg and take profit on the long only.
But be carrefull as soon as it stopps going north or if it goes back 3 pips get in IMMEDIATLY on the other leg.
same strategy for exit , using that i can save hundreds of pips sometimes more on a yearly basis

Of course!

I must specify, that I have enabled the EA, I've checked also the "Allow live trading" option.