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Hedge trading spieler system derived from futures spread trading

  • #461
  • Jul 17, 2008 8:05am Jul 17, 2008 8:05am
Hi Spieler,

in the indicator, there is parameter called daysback, set it to 0, then it will start with brand new calculation

Thank you,
SapiEMAS

Quoting spieler
SAPIEMAS

your formula is good but does not take into account the deviation of the correlation which does not remain the same.
eur/chf worth X today in 1 week it will worth Y and Y will be my new zero standard.
The only case i take into account days before today is when there is a big trend like 2 days ago .

I just see that 2 hours ago the hedge was good for us i was up 7K too bad to sleep
Attached Image
  • #462
  • Jul 17, 2008 8:28am Jul 17, 2008 8:28am
im using dukascopy the spread is less than 1 pip for eu and sometimes is between 1 to 2 pip for uc . is that ok , to do this strategy with a broker having spread so low ?
thanks
  • #463
  • Jul 17, 2008 9:10am Jul 17, 2008 9:10am
Quoting imad
im using dukascopy the spread is less than 1 pip for eu and sometimes is between 1 to 2 pip for uc . is that ok , to do this strategy with a broker having spread so low ?
thanks
I guess (but Spieler pls correct me if I'm wrong) that this strategy isn't based on spread between bid/ask but negative correlation divergence between EURUSD and USDCHF. If you paid only 1-2 pips for EU these are money that you save and don't go into your broker's pocket

Cheers,
Skyline
  • #464
  • Jul 17, 2008 9:20am Jul 17, 2008 9:20am
thanks skyline
still u have to count the commission i think since they have low spread but you have to pay commission
grazie
ciao
  • #465
  • Jul 17, 2008 9:27am Jul 17, 2008 9:27am
Lower cost is *always* better no matter what the strategy. If you can get lower bid/ask spreads so much the better.
You are in a maze of twisty little passages, all alike.
  • #466
  • Jul 17, 2008 10:34am Jul 17, 2008 10:34am
SwingMan-

I have been testing the last EA you posted and need to ask a question. The EA is taking positions based on a ratio of 1 EURUSD and 2 USDCHF. Is there a way to change this ratio in the settings?
  • #467
  • Jul 17, 2008 10:56am Jul 17, 2008 10:56am
Waiting a little bit for a short
+à,50 will be fine i think
  • #468
  • Jul 17, 2008 10:58am Jul 17, 2008 10:58am
+0,50 will b efin efor a short we are 0,42

Just waiting and seeing if it slows close to 0,50.
if yes i get in short
  • #469
  • Jul 17, 2008 11:03am Jul 17, 2008 11:03am
I already shorted at .25 and I'm feelin' the heat.
You are in a maze of twisty little passages, all alike.
  • #470
  • Jul 17, 2008 11:05am Jul 17, 2008 11:05am
Quoting spieler
+0,50 will b efin efor a short we are 0,42

Just waiting and seeing if it slows close to 0,50.
if yes i get in short
For me will be third position (+0.75% related to yesterday divergence)
  • #471
  • Jul 17, 2008 11:10am Jul 17, 2008 11:10am
Quoting spieler
I made a lot of training on trading years ago and the more usefull think was to trade real time and let the attendants do it as well .

So if i explain now 3 months ago i had this and managed like that; Itwill be complicated for me to remember exact figures , configurations and state of mind of the market at this time ( yes the market has a mind, silly sometime).

I think it is better to do the way we do now saying on morning what i am looking for , giving entry point when i enter the market and explining how i work the position.
Dont you think so§?
I understand you want to learn fast but i dont think it will be as profitable as just following how i follow my rules and how i adapt them depending on circonstances.
This is great to see it taking place before your very eyes and feel the moment as the trades are doing their thing... and then to have your comments.... this is just great!

Bruce
  • #472
  • Jul 17, 2008 11:12am Jul 17, 2008 11:12am
If no trade today, tomorrow we will start again at zero so will be easier to follow.
Just waiting the +/-25% to get in action
  • #473
  • Jul 17, 2008 11:12am Jul 17, 2008 11:12am
Spieler-

Need to ask some questions please.

1. You said in one of your earlier posts that when trading your strategy enough money should always be available in your account to survive a 2% move against you. At say 200:1 leverage how much would you consider is needed in the account to trade one whole lot (usual ratio of 1/1.5) and be able to survive a max 2% move against you.
2. You exited your last position today whilst I was still holding mine waiting for the 0% to be hit, my 0% being calculated from the day I opened that position. You said the reason for your exit was because correlation had returned to zero today. If you are holding positions opened one or two days ago I assumed that you must include and carry forward every day’s div calculation to know where your 0% exit point is for those positions? How did you calculate that correlation had returned to zero today and therefore you should exit your last position taken 2 days ago. Is it something to do with the Baricentre and if so how do you calculate Baricentre?
  • #474
  • Jul 17, 2008 11:37am Jul 17, 2008 11:37am
"1. You said in one of your earlier posts that when trading your strategy enough money should always be available in your account to survive a 2% move against you. At say 200:1 leverage how much would you consider is needed in the account to trade one whole lot (usual ratio of 1/1.5) and be able to survive a max 2% move against you."

I cannot answer very sharply because if you get-2% against you but with retracement of 0,25 at least your position will be worked externalising some profit.
lets say it goes 2% straight without pull back which is the worst case scenario , in that case you can easily calculate not how much capital you needed but how much leverage you have to use.






2. You exited your last position today whilst I was still holding mine waiting for the 0% to be hit, my 0% being calculated from the day I opened that position. You said the reason for your exit was because correlation had returned to zero today. If you are holding positions opened one or two days ago I assumed that you must include and carry forward every day’s div calculation to know where your 0% exit point is for those positions? How did you calculate that correlation had returned to zero today and therefore you should exit your last position taken 2 days ago. Is it something to do with the Baricentre and if so how do you calculate Baricentre?

You were right by holding yours and i think your zero have been hitted letting you with a very nice profit.

i cut the position before the original target i just covered the 7 pips spread on it and win some $.
I did that because i had to go away and because the whole profit on the 3 trades was ok for me.
But i am ok that i should have wait that s my discretional side

I think you have perfectly understand the basics of this system.
We will go deeper later
  • #475
  • Jul 17, 2008 11:46am Jul 17, 2008 11:46am
I just thought of something. Suppose you went long yesterday and never got an exit condition. So you held overnight and now the midnight open is at a different price and the levels are all shifted. Now today you get a short signal. You can't be both long and short, so does that just mean that you should go flat at that point?
You are in a maze of twisty little passages, all alike.
  • #476
  • Jul 17, 2008 11:49am Jul 17, 2008 11:49am
not sure to understand what shifted means in your question?
  • #477
  • Jul 17, 2008 11:53am Jul 17, 2008 11:53am
Well, I mean every day the midnight open price is different. So yesterday, based on yesterday's open I went long. But today based on today's open, I got a short.
You are in a maze of twisty little passages, all alike.
  • #478
  • Jul 17, 2008 11:54am Jul 17, 2008 11:54am
Quoting spieler
not sure to understand what shifted means in your question?
He means the levels have moved higher or lower
Regards
  • #479
  • Jul 17, 2008 11:56am Jul 17, 2008 11:56am
Quoting Richard
SwingMan-

I have been testing the last EA you posted and need to ask a question. The EA is taking positions based on a ratio of 1 EURUSD and 2 USDCHF. Is there a way to change this ratio in the settings?
Hi Richard,

That was the problem I was having too in getting the correct ratios.

Thanks to fxtrader2k7 for pointing out the problem.

In the EA properties>inputs you see the following:
-----------------------------
SpielersHedge EA_2.4
Autom_CloseOrders - true
TakeProfit_Pips - 0
StopLoss_Pips - 0
FirstDivergenceLimit - 0.2
DivergenceStep - 0.2
Lots - 0.1
LotsRatio - 0.0
Number_LevelsToTrade - 1
Send_Alert - true
Send_Mail - true
TestTime_until - 2008.08.08 08:08
only_demo_accounts
-----------------------------------------------

To change it to open one pair with 1 lot and one with 1.6 lots set the LotsRatio to 1.6

PD
  • #480
  • Jul 17, 2008 12:05pm Jul 17, 2008 12:05pm
"Well, I mean every day the midnight open price is different. So yesterday, based on yesterday's open I went long. But today based on today's open, I got a short."

Ok yesterday you were long me too so far normal.

imagine you were long when eur/chf was at -0,25% and imagine it finished the day at -0,15%.

You have to claculate that your half exit is starting at +0,10 only

imagine nowyou were long when eur/chf was at -0,25% and imagine it finished the day at -0,45%.

You know that you are going to put a second long at -0,05% and that your exit is at + 0,45 for half so a +0,25 will not be a sell signal for you .
That is why i said that before entering a trade you need to check what happen 1 or 2 days before and be cautious in case of a trend .
In case of sideway movment no problem
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