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Hedge trading spieler system derived from futures spread trading

  • #541
  • Jul 20, 2008 10:45am Jul 20, 2008 10:45am
Quoting Vfforexlee
Nah, still have the same default settings. It could be my broker's time that could caused the problem. Guess I have to look at cnbc.com to check the real percentage change.

BTW, wouldn't it be better to wait until price percentage goes to 50% and then buy or sell from there?

I think spieler said that basically yes, the more you wait the safer you are, but obviously the more you wait the less trading opportunities you're going to have, because sometimes it'll just go to say +/-0.25 and then back to zero.
  • #542
  • Jul 20, 2008 10:45am Jul 20, 2008 10:45am
Thought I'll add something for those who are still trying to figure this out and don't really understand what's going on, maybe it will help.

This is basically what we are trading with this system going long and short on. Other way to look at it, if you go long on both, that will be your equity curve.
So this is historical, one is intraday 5 days period and other is a year's span.

Hopefully it clears up some air especially for those who still think EURCHF and what this strategy trades is the same...compare the charts...they're similar, but not the same.
Also, looking at this chart you can see why MM Spieler uses works with this system and there has only been a couple of places during the year where it could have gotten him into trouble.

I usually use Excel for this stuff but thought might as well get a lil fancy with it to save some time. haha

Hope it helps.

http://img261.imageshack.us/img261/2...yspreadzk3.gif

http://img529.imageshack.us/img529/5...rspreadhm4.gif
  • #543
  • Jul 20, 2008 5:51pm Jul 20, 2008 5:51pm
You can test the version 2.6:

- 4 levels for DivergenceLimits
- a new input parameter: "StartTrade_Immediately" allows to buy or sell automatically if you haven't any active orders.

If the EA works without bugs for entrys on the levels, I try to programe the scaled exits. I think as example to take as exit for the level 0.75% the 0.50%, for 0.50% the 0.25% and for 0.25% the 0%.
As problem if we are e.g. over 0.50%, remain to take automatically the right value for the ShiftDay_ForReference.
.
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf_hedge6.gif Size: 14 KB
Attached Image
Attached File(s)
File Type: ex4 SpielersHedge EA_v2.6.ex4   44 KB | 690 downloads
  • #544
  • Jul 20, 2008 6:07pm Jul 20, 2008 6:07pm
Quoting SwingMan
You can test the version 2.6:

- 4 levels for DivergenceLimits
- a new input parameter: "StartTrade_Immediately" allows to buy or sell automatically if you haven't any active orders.

If the EA works without bugs for entrys on the levels, I try to programe the scaled exits. I think as example to take as exit for the level 0.75% the 0.50%, for 0.50% the 0.25% and for 0.25% the 0%.
As problem if we are e.g. over 0.50%, remain to take automatically the right value for the ShiftDay_ForReference.
.
SwingMan,

Thanks for the updated version of the EA.
I have a question.
"- a new input parameter: "StartTrade_Immediately" allows to buy or sell automatically if you haven't any active orders."
Will we have to change it back to false after it enters the orders, so as to prevent it for entering new trades automatically right after the active orders have been closed in profit? or will it after this first time only depend upon the levels to enter?

Thanks
Bruce
  • #545
  • Jul 20, 2008 9:45pm Jul 20, 2008 9:45pm
Alot of questions these 3 days , i ll try to answer today.

Strategy of the day : We are in short since friday , the position so far is loosing a little bit.
Close of sunday is exactly close of friday .
We closed a little bit higher than our entry point.
Considering that friday have been a range day i assume that eur/chf price are beeing well balance .
Considering that i always want to minimize risk i will wait 0,25% on eur/chf today to put a second short ( in theroy i will have to wait less because we ended friday above our entry price).
And dont forget the speed , if we arrive very fast to the 0,25% zone i will be ready to jump but waiting a slow motion to come in always shorting the negativ leg first to try to win some precious pips.
( My position is negativ but in real it is not because if you reread my friday post i made an outright trade winning 2,6k which is my position as of today in negativ).
And this outright trade was a begining of an hedge but just after the short prices went down in seconds so i never shorted the other leg .So this is part of the strategy and not outside it and that s why you cannot make a full operational EA on it.
  • #546
  • Jul 20, 2008 11:47pm Jul 20, 2008 11:47pm
Japan market closed today so nothing should happen before london session
  • #547
  • Jul 21, 2008 12:13am Jul 21, 2008 12:13am
Quoting brucech
I have a question.
"- a new input parameter: "StartTrade_Immediately" allows to buy or sell automatically if you haven't any active orders."
Will we have to change it back to false after it enters the orders, so as to prevent it for entering new trades automatically right after the active orders have been closed in profit? or will it after this first time only depend upon the levels to enter?
I programmed to entry immediately only if you haven't any active orders.
But, if you will to close manual the orders, you must set the parameter on false, to avoid an automatically reentry.
I think this option is useful if you have for example the ratio 0.26%, and it was not selled.
  • #548
  • Jul 21, 2008 12:49am Jul 21, 2008 12:49am
Please replace the EA version 2.6,

because I just found a little bug in the entrys (the EA don't selled automatically at the current ratio = 0.26%).
I think that with the last change we don't need the parameter "StartTrade_Immediately=true", because this happened automatically for the parameter "Autom_OpenOrders=true".

To have as reference the close from friday, you must set the ShiftDay = 3.

As Spieler says, it is not possible to completely automated this system, but the EA can be very good use for manual trading.
.
Attached Image
Attached File(s)
File Type: ex4 SpielersHedge EA_v2.6.ex4   44 KB | 740 downloads
  • #549
  • Jul 21, 2008 1:23am Jul 21, 2008 1:23am
Quoting spieler
Alot of questions these 3 days , i ll try to answer today.

Strategy of the day : We are in short since friday , the position so far is loosing a little bit.
Close of sunday is exactly close of friday .
We closed a little bit higher than our entry point.
Considering that friday have been a range day i assume that eur/chf price are beeing well balance .
Considering that i always want to minimize risk i will wait 0,25% on eur/chf today to put a second short ( in theroy i will have to wait less because we ended friday above our entry price).
And dont forget the speed , if we arrive very fast to the 0,25% zone i will be ready to jump but waiting a slow motion to come in always shorting the negativ leg first to try to win some precious pips.
( My position is negativ but in real it is not because if you reread my friday post i made an outright trade winning 2,6k which is my position as of today in negativ).
And this outright trade was a begining of an hedge but just after the short prices went down in seconds so i never shorted the other leg .So this is part of the strategy and not outside it and that s why you cannot make a full operational EA on it.
Thanks for the update on today's strategy, spieler. When you have some spare time, could you please let me know what you think about my question on page 36, post 532?
  • #550
  • Jul 21, 2008 1:38am Jul 21, 2008 1:38am
Quoting pipsalot
I just realized something... My broker doesn't allow multiple open trades on the same pair. So that when I want to add a second lot, it is added to the same trade I had earlier and averaged. So this may cause some confusion when using this strategy, because I can't really see the individual profit loss from each lot but instead the overall profit and loss of the entire position. Any idea on how to get around this?
Do you have a spreadsheet program? Enter all the pertinent details of each trade on a new line and have it calculate the loss or profit when you enter the current price.
  • #551
  • Jul 21, 2008 1:57am Jul 21, 2008 1:57am
easiest way would be to change of broker that s so easy
  • #552
  • Edited 2:25am Jul 21, 2008 2:14am | Edited 2:25am
Thanks a lot for your suggestions By the way, I'm not really sure I want to change my broker because they have really low spreads, which is great for this strategy.
  • #553
  • Jul 21, 2008 2:49am Jul 21, 2008 2:49am
Quoting spieler

And dont forget the speed , if we arrive very fast to the 0,25% zone i will be ready to jump but waiting a slow motion to come in always shorting the negativ leg first to try to win some precious pips.
( My position is negativ but in real it is not because if you reread my friday post i made an outright trade winning 2,6k which is my position as of today in negativ).
And this outright trade was a begining of an hedge but just after the short prices went down in seconds so i never shorted the other leg .So this is part of the strategy and not outside it and that s why you cannot make a full operational EA on it.
Spieler,
On what you mentioned about regarding about only being in one of the legs, when would you consider adding the second leg of the hedge?

THanks.

Bruce
  • #554
  • Jul 21, 2008 3:33am Jul 21, 2008 3:33am
If th etrend goes your way on the first leg you can wait and closed that leg foir a profit sometimes.
usually i enter second leg about 3/6 pips from there so the spread is cover.
BUt you have to be very quick in case it goes wrong way and do not hesitate to enter second leg.
Same for exit
  • #555
  • Jul 21, 2008 4:29am Jul 21, 2008 4:29am
Spieler,

Have you ever thought about doubling your lot sizes as you go? I mean suppose you buy 1 lot eurusd and 1.6 lots usdchf at -0.25. Then at -0.5 you buy 2 lots eurusd and 3.2 lots usdchf, et cetera. That way you are keeping your average even lower and your profits will be bigger when the pairs recorrelate. Or is that going to cause problems in trending times?
  • #556
  • Jul 21, 2008 4:39am Jul 21, 2008 4:39am
Hi Spieler, pls refer to the below screenshot. I started to short EURUSD/USDCHF since past 16 Jul and now I'm with 3 positions opened (6 orders active) with another one that should be opened today (I missed it early this morning due sleeping but if price hit 1% again , following your system I should put 2 shorts again), a little bit scary this situation isn't it ?

Cheers,
Skyline
Attached Image (click to enlarge)
Click to Enlarge Name: Spieler example2.jpg Size: 164 KB
  • #557
  • Jul 21, 2008 4:40am Jul 21, 2008 4:40am
The idea is to have a system stable whatever happens.
your idea will work 95% of the time and you will win a lot and then one day you will blow out completly.

This is not a system for dreamers looking for 200% return par year or per month.
But 50% per year is not a big deal when correctly managed
  • #558
  • Jul 21, 2008 4:46am Jul 21, 2008 4:46am
Skyline.

First you have to wait 1,25% now after 3 lots and not 0,75%
second the 0,25% increment is not stativcal as i explained earlier, for exemple today +0,25% is ok but that s mean more than 0,25 from your last entry.
And THIRD and VERY IMPORTANT your entry point is absolutly awfull

We were all long and you entered short not taking into account the big drop of the day before as i said several times

When you start to built a position always look if we dont come from a big decorelation , your trades are against the theory correlation/decorrelation
  • #559
  • Edited 5:40am Jul 21, 2008 4:53am | Edited 5:40am
pipsalot, I like that MM approach. Must be careful, max risk must be decided before hand...ie.,max risk will be 15 lots, therefore 1 lot at .25%, 2 at.50%, 4 at .75%, and 8 at 1%. Total lots 15. Once position is doubled, a retrace to previous level produces a very nice profit.
Vincit qui se vincit.
  • #560
  • Jul 21, 2008 5:00am Jul 21, 2008 5:00am
Quoting spieler
Skyline.

First you have to wait 1,25% now after 3 lots and not 0,75%
second the 0,25% increment is not stativcal as i explained earlier, for exemple today +0,25% is ok but that s mean more than 0,25 from your last entry.
And THIRD and VERY IMPORTANT your entry point is absolutly awfull

We were all long and you entered short not taking into account the big drop of the day before as i said several times

When you start to built a position always look if we dont come from a big decorelation , your trades are against the theory correlation/decorrelation
Thx Spieler for your comments, ok it seems I'm really confused on when/why build positions using your system , I have to study the whole thread again

Skyline
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