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Hedge trading spieler system derived from futures spread trading

  • #641
  • Jul 23, 2008 11:38am Jul 23, 2008 11:38am
Dear Spieler,

A few questions:

1) Why is it more important to hedge out $ exposure in the trade (1 lot EURUSD vs. 1.6 lots USDCHF) than to hedge out the difference in volatilities between EURUSD andUSDCHF?
2) What is the MM after 3 lots? ---You mentionedd the MM changes.
3) What do you think about what Pippopotamus wrote on p. 39, post #571?
I quote it:
"Using a regression channel with graduated standard deviation levels makes it clear when to establish/add to positions. I am using .75,1.5,2.25, and 3 SDs as points to establish/increase position sizes. Channel length is about 10 days on hourly chart. Entering at 1x,2x,4x,and 8x standard position size, respectively..."
4) Why is it important to keep track of the % decorrelation when youcan keepexact track of it in pips? (It ranges from day to day between 35-40 pips)

Thanks very much,

Lenoxer
  • #642
  • Jul 23, 2008 11:50am Jul 23, 2008 11:50am
hi
i have entered short position on + 0.25 . when i exit i was in profit 2k but i donno when to exit when it reach 0 . or i wait until it goes in -
thanks
  • #643
  • Jul 23, 2008 12:10pm Jul 23, 2008 12:10pm
Are you sure for eur/usd because i have same chf but better by far on the euro
  • #644
  • Jul 23, 2008 12:19pm Jul 23, 2008 12:19pm
[quote=Lenoxer;2124244]Dear Spieler,

A few questions:

1) Why is it more important to hedge out $ exposure in the trade (1 lot EURUSD vs. 1.6 lots USDCHF) than to hedge out the difference in volatilities between EURUSD andUSDCHF?

volatilities mooving a lot and that is the way i do it market neutral on usd. If you find an other way you can give it a try. Why would i change something i am doing for years with success??

2) What is the MM after 3 lots? ---You mentionedd the MM changes.

If you read carefuly you will find the answer , it is not that easy for me to keep answering for a long time and i have alreday answer for the 4th lot.
For more i will answer if the situation occurs

3) What do you think about what Pippopotamus wrote on p. 39, post #571?
I quote it:
"Using a regression channel with graduated standard deviation levels makes it clear when to establish/add to positions. I am using .75,1.5,2.25, and 3 SDs as points to establish/increase position sizes. Channel length is about 10 days on hourly chart. Entering at 1x,2x,4x,and 8x standard position size, respectively..."

Ouch What the eck does that mean in intelligible words??
Surely that your account is gonna explose one day doing that way

4) Why is it important to keep track of the % decorrelation when youcan keepexact track of it in pips? (It ranges from day to day between 35-40 pips)

decorrelation/difference in pips theis is same thing but with decorrelation i can see better when there is a decorrelation and when i have toi adjust the balanced position always on the moove ( repainting)
  • #645
  • Jul 23, 2008 4:43pm Jul 23, 2008 4:43pm
Quoting spieler
Are you sure for eur/usd because i have same chf but better by far on the euro
Spieler,
I have to trade on my phone while at work and the quotes are delayed by 15 minutes so I was late on getting into the trade. Hopefully I'll be able to find some sort of email alert system or a website with up to the minute quotes.
  • #646
  • Jul 23, 2008 6:25pm Jul 23, 2008 6:25pm
Spieler .

What can we do when ...

Three or four ... black crowers appears in daily charts (without corrections) or the same in the opposite side ... three , four or more white soldiers ... stronger pattern bearish and bullish

For example 26/2/2008 to 03/03/2008 in dd/mm/yy format More than 400 pips without corrections near 3% .

This system like a lot : long dojis , hammers , doji ... etc ... but strong bearish or bullish candle are very dangerous , or no? . Tell me how can we be preparated for this ... how can we fight with this type of trend , for example : 5 candles bearish with open sesion in high and close sesion in minimun and all day bearish with microwaves bullish only +0,1% that cann't close any positions any day .

Regard
  • #647
  • Jul 23, 2008 6:39pm Jul 23, 2008 6:39pm
Spieler,

I am using the SpielersHedge EAv_2.4 by SwingMan to enter and exit trades.

I have it set so it enters a trade when the divergence is +0.25 or -0.25 and exits when the divergence goes back to 0. This is always at the end of the trading day. I suppose that is because it is set to do that.

This means that if the EA enters a trade it will always close it at the end of the trading day? Even if in profit or loss?

I have done fairly well using this EA this week. My account balance is up about 2% so far, but some days it has closed with a loss.

Is this the way it should be used to trade with? Or, is there a way to make it keep open the trades for more than one day?

Thanks for your help,

PD
  • #648
  • Jul 23, 2008 7:37pm Jul 23, 2008 7:37pm
quote:

During the campaign Sarkozy never stopped telling that the euro was too strong and that we need to do like japan, China and usa by weakening our money.
I would say that Sarkozy's victory should psychologically be weak on a short term basis for euro and strong on a long term because he is the most liberalist.
PS: I am french
Sarkozy get at least 80% chance to be president ( 100% in my opinion)
Today euro is weak

Hi all,

I am one of Jacko's original "turtles" (whom i might add out of the original 20 or so, 3 are prop traders for US banks and 3 are full time pro traders ( plus i manage funds for a number of large accounts..... sorry to the other turtles who have also progressed and i have not mentioned).

I am always open minded to new ideas and peoples suggestions, and will either try to help them develop a good idea or be constructive in trying to debate why something wont work. Thats democracy and free speech, and its great.

I have been looking at this strategy periodically, but my mind is always to trade the trend. Think of any "famous" trader.... Jesse Livermore, Paul Tudor Jones, Ed Seykota... I could go on. What do they do (did)? They trade the trend. Look at the above statement "the euro is weak", but is the euro weak? On which day was the Euro weak,.and does that matter "on the day"?

Personally, I have never traded the legs on option spreads... but I do understand it is a very tough business. Vols, curve, atmf etc.... tooo much for me. Dont get me wrong, I trade backwardation/contagion on futures, but i would rather just trade trends. (the pro's will know i know nothing... the newbs that i worked for barings!!).

I know of a few traders on here (who shall remain nameless but have contributed to this thread) that are pro traders.

So what am i saying? It is very hard to be market neutral, and make money. Margaret Thatcher once said " you cant buck the market".... bloody true.

**** I am certainly not rubishing speilers strategy, but am simply saying that trading option/future spreads is totally different to currencies****

Just my view, as a totally brain washed trend follower!!!!!!!!!!!!!!!

kisses xxx

shinny
Nobody can be told what The Matrix is. You'll have to see it yourself.
  • #649
  • Jul 23, 2008 9:46pm Jul 23, 2008 9:46pm
[quote=shinny;2124930]quote:

During the campaign Sarkozy never stopped telling that the euro was too strong and that we need to do like japan, China and usa by weakening our money.
I would say that Sarkozy's victory should psychologically be weak on a short term basis for euro and strong on a long term because he is the most liberalist.
PS: I am french
Sarkozy get at least 80% chance to be president ( 100% in my opinion)
Today euro is weak

Hi all,

I am one of Jacko's original "turtles" (whom i might add out of the original 20 or so, 3 are prop traders for US banks and 3 are full time pro traders ( plus i manage funds for a number of large accounts..... sorry to the other turtles who have also progressed and i have not mentioned).

Sorry for my ignorance i know nothing about jacko's turtle( i know about original turtle of course) . I am sure it was a great experience for you

I am always open minded to new ideas and peoples suggestions, and will either try to help them develop a good idea or be constructive in trying to debate why something wont work. Thats democracy and free speech, and its great.

I completely agree

I have been looking at this strategy periodically, but my mind is always to trade the trend. Think of any "famous" trader.... Jesse Livermore, Paul Tudor Jones, Ed Seykota... I could go on. What do they do (did)? They trade the trend. Look at the above statement "the euro is weak", but is the euro weak? On which day was the Euro weak,.and does that matter "on the day"?

Jesse Livermore commited suicide made fortune and lost everything each time ( 2 times officialy declared bankruptcy).
He wasq a great trader for sure but could not followed his own rules ( letting winner run and cutting quickly loss)

Paul Tudor Jones is a great trader that s for sure but a contrarian one ( like me ) So he always try to guess change of trend.If he is wrong he cut and then keep going with the trend. Tha s not what i call a real trend follower even if he follows it once thend goes his way.

Ed Seykota : Inspired by livermore is the most trend follower of the list but his success has more to see with his money management algorythms.



Personally, I have never traded the legs on option spreads... but I do understand it is a very tough business. Vols, curve, atmf etc.... tooo much for me. Dont get me wrong, I trade backwardation/contagion on futures, but i would rather just trade trends. (the pro's will know i know nothing... the newbs that i worked for barings!!).

Every style has his place and trend following is certainly one of the best if correctly done and well managed i agree with you



I know of a few traders on here (who shall remain nameless but have contributed to this thread) that are pro traders.

So what am i saying? It is very hard to be market neutral, and make money. Margaret Thatcher once said " you cant buck the market".... bloody true.

Once again you are right on the paper being 100% delta neutral can generateonly few % return if you have very low commission.

I settled a hedge fund long/short intermarket futures which get really great return but was not a 100% market neutral.

neither is the system i am speaking about here


**** I am certainly not rubishing speilers strategy, but am simply saying that trading option/future spreads is totally different to currencies****

Once again i agree Finally we are ok on almost everything

IT is completely different and that s dont mean that we cannot have the same approach but adapted

I have always be a contrarian trader based on the fact that more than 90% of private traders loose money by following ( or trying to ) sentences like trend is your friend cut your loss you know what i mean.
And i was winning so i will continue my way of lonesome trader

  • #650
  • Jul 23, 2008 10:00pm Jul 23, 2008 10:00pm
trizhyd

THis system has nothing to do with technical analysis and that s why it is difficult to implement for somebody trying to adapt with black crowers dojis and other stuff like that working one time on 2
  • #651
  • Jul 23, 2008 11:42pm Jul 23, 2008 11:42pm
[quote=spieler;2125042]
Quoting shinny
quote:

During the campaign Sarkozy never stopped telling that the euro was too strong and that we need to do like japan, China and usa by weakening our money.
I would say that Sarkozy's victory should psychologically be weak on a short term basis for euro and strong on a long term because he is the most liberalist.
PS: I am french
Sarkozy get at least 80% chance to be president ( 100% in my opinion)
Today euro is weak

Hi all,

I am one of Jacko's original "turtles" (whom i might add out of the original 20 or so, 3 are prop traders for US banks and 3 are full time pro traders ( plus i manage funds for a number of large accounts..... sorry to the other turtles who have also progressed and i have not mentioned).

Sorry for my ignorance i know nothing about jacko's turtle( i know about original turtle of course) . I am sure it was a great experience for you

I am always open minded to new ideas and peoples suggestions, and will either try to help them develop a good idea or be constructive in trying to debate why something wont work. Thats democracy and free speech, and its great.

I completely agree

I have been looking at this strategy periodically, but my mind is always to trade the trend. Think of any "famous" trader.... Jesse Livermore, Paul Tudor Jones, Ed Seykota... I could go on. What do they do (did)? They trade the trend. Look at the above statement "the euro is weak", but is the euro weak? On which day was the Euro weak,.and does that matter "on the day"?

Jesse Livermore commited suicide made fortune and lost everything each time ( 2 times officialy declared bankruptcy).
He wasq a great trader for sure but could not followed his own rules ( letting winner run and cutting quickly loss)

Paul Tudor Jones is a great trader that s for sure but a contrarian one ( like me ) So he always try to guess change of trend.If he is wrong he cut and then keep going with the trend. Tha s not what i call a real trend follower even if he follows it once thend goes his way.

Ed Seykota : Inspired by livermore is the most trend follower of the list but his success has more to see with his money management algorythms.



Personally, I have never traded the legs on option spreads... but I do understand it is a very tough business. Vols, curve, atmf etc.... tooo much for me. Dont get me wrong, I trade backwardation/contagion on futures, but i would rather just trade trends. (the pro's will know i know nothing... the newbs that i worked for barings!!).

Every style has his place and trend following is certainly one of the best if correctly done and well managed i agree with you



I know of a few traders on here (who shall remain nameless but have contributed to this thread) that are pro traders.

So what am i saying? It is very hard to be market neutral, and make money. Margaret Thatcher once said " you cant buck the market".... bloody true.

Once again you are right on the paper being 100% delta neutral can generateonly few % return if you have very low commission.

I settled a hedge fund long/short intermarket futures which get really great return but was not a 100% market neutral.

neither is the system i am speaking about here


**** I am certainly not rubishing speilers strategy, but am simply saying that trading option/future spreads is totally different to currencies****

Once again i agree Finally we are ok on almost everything

IT is completely different and that s dont mean that we cannot have the same approach but adapted

I have always be a contrarian trader based on the fact that more than 90% of private traders loose money by following ( or trying to ) sentences like trend is your friend cut your loss you know what i mean.
And i was winning so i will continue my way of lonesome trader
Spieler,

Very well said and I want to congratulate you for that.

Thank you again for this great method.
  • #652
  • Jul 24, 2008 12:26am Jul 24, 2008 12:26am
trizhyd.

You should read again my poste 79 page 6 .

Taking that into account the period you are describing have been a non evenement for me.

Maximum position was 5 lots but before arriving there i had cashed some profits so that was no big deal

after 4 lots you have to wait 1% more and close at +0,50% for exemple but i understand you did not have that in mind because i never tell.

Once more i dont say this is th eholy graal just that the MM i use for this system is supposed to let me alive whatever the conditions and that is the case so far.

By the way there are no written rules saying that you never have to close with a loss, by working position at one moment you can be even ( first lot being a big loss) so you can decide to stop suffering and cut and start next day with a fresh mind like Tudor used to do

So far My positions are red on this TRADE but i only loose 2,3k that is 0,30% my stress is under zero and this strategy is only one among others i am using.
I found it interesting to let know people interested in something new that they can make some profits doing things unusual
  • #653
  • Jul 24, 2008 1:09am Jul 24, 2008 1:09am
Hi everyone ,
sorry if I am being repitative but I have read all posts but can't make any conclusion.

I enter trade yesterday short 1 EURUSD and 1.6 USDCHF when EURCHF was at 1.6297 (+0.20). Since it did not cross over zero or move higher I have let this position roll over.
Here is my question : Todays open is 1.6288 , do I exit this trade when todays open is (-0.20) or do I track yesterdays level?

I think I must track yesterdays level and only use the new open for new entries?

Thanks in advance.
There are no certainties only oppurtunities.
  • #654
  • Jul 24, 2008 1:22am Jul 24, 2008 1:22am
Quoting spieler
I found it interesting to let know people interested in something new that they can make some profits doing things unusual
I agree with you 101%
  • #655
  • Jul 24, 2008 1:23am Jul 24, 2008 1:23am
udsek

track your entry price for exit .

Seems that euro wants to go south if so we are going to be asked to put an other lot
  • #656
  • Jul 24, 2008 1:59am Jul 24, 2008 1:59am
Quoting spieler
udsek

track your entry price for exit .

Seems that euro wants to go south if so we are going to be asked to put an other lot
Many Thanks.
There are no certainties only oppurtunities.
  • #657
  • Jul 24, 2008 3:50am Jul 24, 2008 3:50am
long eur/usd 1.5669
long usd/chf 1.0376

5 out of 5 successful trades so far
  • #658
  • Jul 24, 2008 6:08am Jul 24, 2008 6:08am
I'm with an excel about imported prices since 1979 with open high low high close , and i add more colums for example my reference price is open at 00:00 and %openlow and %openhigh %at close and l1 l2 l3 s1 s2 s3 at +0,25% , +0,50% , +0,75% , -0,25% , -0,50% , -0,75% this are condicional functions that telling when is open 1 2 3 short or longs .... but somebody can help me with the excel and continue this (when we must close this orders open ..) .... for example max lots open at market before earnings appears in trading .... average prices in shorts , average prices in longs , etc ...

Its compare the low of a session n+1 , n+2 n+3 .... with for example average of our short positions open or the high with our longs open in market, if the average of our short is > low session we are in earning , or average of our longs are < max session.
  • #659
  • Jul 24, 2008 6:33am Jul 24, 2008 6:33am
time to get out the second lot -0,30 since my entry yesterday still down but pace weakening

+5pips on usd/chf +800$
+33 pips on eur/usd +3300$

remaining 1 lot short

Global position is now showing a profit

I was not here when we hit a low point at 162,51
  • #660
  • Jul 24, 2008 6:35am Jul 24, 2008 6:35am
Tryzhyd

You need intraday quotes to do that; end of day does not show intraday pull back allowing us to go in and out
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