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Zeusjoes Market-Neutral Hedge Strategy

  • #361
  • Jul 23, 2008 2:23pm Jul 23, 2008 2:23pm
Quoting mrkam
Yes!! This may just be one of those "resetting" times where the correlation goes wacko for a bit, then re-settles into more of that "pendulum" pattern we we are trying to take advantage of.

Even then, there is a give and take between the two pairs, still offering opportunity, if we can identify and manage....

very interesting stuff....

and just as a note, v3.4 still repaints, but the multi-level alarms might be nice!!
Zeusjoes' method of trading this may be the simplest and best way. He told how he did it in his first two or three posts.

He opened up a long G/J and a short EJ on a demo platform and kept them open..

He watched the "Profit" column to judge when they were out of correlation and traded accordingly.

That's about as simple and direct as you can get. Maybe an indicator that could give a graphic picture of that profit or loss. There would be no repainting. It would be possible to go back historically and determine thresholds.
  • #362
  • Jul 23, 2008 2:35pm Jul 23, 2008 2:35pm
This is also interesting, someone could say that L on EU and S on GU is the same as L on EUR/GBP.

Look at screen below and one on my previous post. Value of EUR/GBP is the same but sum of EU and GU is significantly different.
Attached Image (click to enlarge)
Click to Enlarge Name: EU_GU2.JPG Size: 170 KB
  • #363
  • Jul 23, 2008 3:41pm Jul 23, 2008 3:41pm
That's a very good option and maybe the only way to have an accurate entry.

Quoting billbss
Zeusjoes' method of trading this may be the simplest and best way. He told how he did it in his first two or three posts.

He opened up a long G/J and a short EJ on a demo platform and kept them open..

He watched the "Profit" column to judge when they were out of correlation and traded accordingly.

That's about as simple and direct as you can get. Maybe an indicator that could give a graphic picture of that profit or loss. There would be no repainting. It would be possible to go back historically and determine thresholds.
Inflation in things we need, Deflation in things we want.
  • #364
  • Jul 23, 2008 5:53pm Jul 23, 2008 5:53pm
Quoting billbss
Zeusjoes' method of trading this may be the simplest and best way. He told how he did it in his first two or three posts.

He opened up a long G/J and a short EJ on a demo platform and kept them open..

He watched the "Profit" column to judge when they were out of correlation and traded accordingly.

That's about as simple and direct as you can get. Maybe an indicator that could give a graphic picture of that profit or loss. There would be no repainting. It would be possible to go back historically and determine thresholds.
billbss,

I'm beginning to think that may be the simplest and best way to trade this.

I don't seem to be getting anywhere with the indicators that repaint. I really never know when to enter or exit.

I agree, you would have to be able to determine some reasonable thresholds to give you an idea when to enter.

I am still optimistic that this can be a profitable strategy to trade.

PD
  • #365
  • Jul 23, 2008 6:12pm Jul 23, 2008 6:12pm
Quoting billbss
Zeusjoes' method of trading this may be the simplest and best way. He told how he did it in his first two or three posts.

He opened up a long G/J and a short EJ on a demo platform and kept them open..

He watched the "Profit" column to judge when they were out of correlation and traded accordingly.

That's about as simple and direct as you can get. Maybe an indicator that could give a graphic picture of that profit or loss. There would be no repainting. It would be possible to go back historically and determine thresholds.
Bliss,

I had been thinking the same thing. I have tried to get several people to try and change this indicator so instead of actually showing live trades going on at the same time, the user could put in the variables-- starting date, ending date, currency pairs, direction traded, lot size --then see over that time what it would have done. But haven't been able to find anyone to do it yet.

Any programmers want to take on that challenge?
Attached Image (click to enlarge)
Click to Enlarge Name: hedge equity indicator.jpg Size: 344 KB
Attached File(s)
File Type: mq4 Bal_Eq_Ind.mq4   6 KB | 744 downloads
  • #366
  • Jul 23, 2008 7:13pm Jul 23, 2008 7:13pm
I just did a rough volatility comparison of GBP/JPY vs EUR/JPY.

ATR 1000 on G/J is 39.6 pips on the 1H chart.
ATR 1000 for E/J is 26.08 pips.

To normalize these pairs for a spread, I would trade 1 G/J lot to every 1.52 E/J lots.

I will open 1 long G/J and 1.52 long E/J on a demo.

I'll watch the separations change in the profit column.

I'll watch it for the next day and see if I can find a pattern for a max before it starts closing back.

Once I've found some reasonable numbers, I'll trade it for a few days and see how it works.

I did this a few weeks ago and it seemed to work. I think we'll find out that something along these lines is the best way to trade this.
  • #367
  • Jul 24, 2008 12:46am Jul 24, 2008 12:46am
Tomorrow or the next day I will have an indicator that does this: (but it is costing me $125... anybody want to share!!! The more folks, the cheaper it is!!! Not looking to make money, only to share the costs for shared benefit.)

1. Input Curr1 and Curr2.
2. Calc and plot the difference (Delta) between the two prices, tick by tick, indicator bar stops at start of new chart candle, Curr1-Curr2. Will not repaint because the value of the closed bar is simply the difference in close values of the individual currency candles, which do not change.
3. Look back N number of bars (input selectable) and determine the high and low of the oscillator bars plotted by #2.
4. Calc the "Zero Line" by (Hi + Lo)/2 . This would be a line halfway between the low Delta and the High Delta of the set time period. One month back would be about 20 daily bars, or about 480 hourly bars, or... you get the idea. You can customize the period by the chart you have.

One could either trade hi to lo, or low to hi, (at a given # of pips away from hi or low). Or one could enter at say 20p below the hi, or 20p above the low, and exit at the ZeroLine (conservative.)

This indicator will be STRICTLY price based. No calcs, no repainting.

Should have tomorrow or the next day, I will test from there. Once I verify proper functioning, I will show potential entry/exit points and resulting trades.

This is what I have been trying to do with these indicators, but as mentioned above, the repainting is too squirly... although it (my EA based on NeutralHedgeOscillator) still has worked for me.. (3 wins today, totalling about 65p, on the 30m GU/EU ....)

Strictly price action.. that's what I am after. Even with the drop in the EURGBP, no problem with this indicator because it will only show the DIFFERENCE in the prices. If both drop the same, the Delta remains the same, evens the whole thing out. It will remove the market movements, and focuse solely on the Synch between the pairs, as they move closer or farther apart from each other, with no concern to individual trending...

Now, you can see the next step if this functions as I expect... anybody want to share in that?!?
  • #368
  • Jul 24, 2008 4:57am Jul 24, 2008 4:57am
Quoting mrkam
Tomorrow or the next day I will have an indicator that does this: (but it is costing me $125... anybody want to share!!! The more folks, the cheaper it is!!! Not looking to make money, only to share the costs for shared benefit.)

1. Input Curr1 and Curr2.
2. Calc and plot the difference (Delta) between the two prices, tick by tick, indicator bar stops at start of new chart candle, Curr1-Curr2. Will not repaint because the value of the closed bar is simply the difference in close values of the individual currency candles, which do not change.
3. Look back N number of bars (input selectable) and determine the high and low of the oscillator bars plotted by #2.
4. Calc the "Zero Line" by (Hi + Lo)/2 . This would be a line halfway between the low Delta and the High Delta of the set time period. One month back would be about 20 daily bars, or about 480 hourly bars, or... you get the idea. You can customize the period by the chart you have.

One could either trade hi to lo, or low to hi, (at a given # of pips away from hi or low). Or one could enter at say 20p below the hi, or 20p above the low, and exit at the ZeroLine (conservative.)

This indicator will be STRICTLY price based. No calcs, no repainting.

Should have tomorrow or the next day, I will test from there. Once I verify proper functioning, I will show potential entry/exit points and resulting trades.

This is what I have been trying to do with these indicators, but as mentioned above, the repainting is too squirly... although it (my EA based on NeutralHedgeOscillator) still has worked for me.. (3 wins today, totalling about 65p, on the 30m GU/EU ....)

Strictly price action.. that's what I am after. Even with the drop in the EURGBP, no problem with this indicator because it will only show the DIFFERENCE in the prices. If both drop the same, the Delta remains the same, evens the whole thing out. It will remove the market movements, and focuse solely on the Synch between the pairs, as they move closer or farther apart from each other, with no concern to individual trending...

Now, you can see the next step if this functions as I expect... anybody want to share in that?!?
I'll share. PM me the details of how to get the money to you.
  • #369
  • Jul 24, 2008 5:32am Jul 24, 2008 5:32am
SwingMan,
You've done a tremendous amount of work on this project.
Why don't you open a PayPal account. I'm sure a lot of us would like to show our appreciation. I know I would.
  • #370
  • Jul 24, 2008 8:19am Jul 24, 2008 8:19am
Great!! have 3 or 4 interested, and probably a few more. How's $20 sound?? (I'll post paypal details after I am sure it works... and post examples here for you all to see and decide...)

I have the indicator now, and will be testing today. If I don't get too busy at "work" here, I will post some example screenshots....

Next step will be the EA. I have the logic, and the programmer. Again, once the indi is where I (we) want it, I will task him with the EA. Maybe we all can share with that too???

Thanks for the interest...

mk
  • #371
  • Jul 24, 2008 8:36am Jul 24, 2008 8:36am
Greetings,

First post after reading for a couple of years, as this seems to me to be a great way of trading.

Swingman nice indicatiors, you seem to be a good programmer.

Maybe to help Pistol Dave and others, here is my suggestion on how to enter and exit uncorrelated pairs. When your currency pairs show separation with the NeutralHedge Overlay indicator look to the cross pair. The cross pair should be hitting or have crossed the upper or lower Bollinger Band (20,2). Wait for MACD (5,13,1) to change momentum. When it does then enter the uncorrelated pairs in the proper directions. Example of yesterdays to todays trade below.


In this example when the EURUSD and GBPUSD on 15min began to separate look to the EURGBP 1hr. When the MACD changed momentum time to enter EURUSD long and GBPUSD short. Exit when NeutralHedge Overlay crosses on EURUSD 15min.

Attached Image (click to enlarge)
Click to Enlarge Name: ScreenHunter_1.jpg Size: 107 KB
Attached Image (click to enlarge)
Click to Enlarge Name: ScreenHunter_2.jpg Size: 105 KB


GBPUSD short at 1.9999 exit at 1.9856 (1.9860 with spread) = +139 pips
EURUSD long at 1.5709 exit at 1.5681 (1.5879 with spread) = - 30 pips
Total is 109 pips

I took this trade, albeit I entered and exited bit early, and made 74 pips.

MACD used in pics:

Settings: 5,13,1
Attached File(s)
File Type: mq4 3 Colour Macd.mq4   4 KB | 483 downloads


Bollinger Bands setting is 20,2 - the Metatrader default
NeutralHedge Overlay_v3 Period_ratio setting at 205

Note - as I write this the NeutralHegde Overlay uncrossed as it repainted however profit was made. I don't think the repaint will effect the entry as you are using the cross pair to time the entry.
  • #372
  • Jul 24, 2008 9:25am Jul 24, 2008 9:25am
OK.... I have to run, but wanted to post this for discussion. I have confirmed that this indicator works the way I want.

1) Input # of bars back to consider... screenshot shows ~ 2 weeks of hourly bars.

2) Indicator bars plotted are a DIRECT difference in currency prices, GU/EU here.

3) The green line is the halfway point between the current hi and low prices for the time frame on the indicator.

4) It does not (should not!!) repaint.

You will see that it clearly shows the PRICE ACTION (with no calcs) of the two currencies as they move closer together, further apart, and back again.

This is EXACTLY what we are trying to capitalize on, using direct price action... Leterally, we can trade this indicator, no need to see the individual charts. Nice and clean. I like that!!

For your noodling now... After I get time to look a bit more, I can post a PayPal to help pay for this thing.... probably $20 would do it..
Attached Image (click to enlarge)
Click to Enlarge Name: synchbarsv1.00_1.gif Size: 36 KB
  • #373
  • Jul 24, 2008 9:38am Jul 24, 2008 9:38am
One more before I have to take off....

TRADE EXAMPLE on the GU/EU SynchPair, 15m..... I am using closes of bars for this example. This is PRICE only trading, so "should" be a good example. (i.e., no repainting....)

One idea of how to trade this....
Attached Image (click to enlarge)
Click to Enlarge Name: synchbarsv1.00_2.gif Size: 37 KB
  • #374
  • Jul 24, 2008 9:46am Jul 24, 2008 9:46am
MRKAM !!! Count me in for sharing
  • #375
  • Edited 12:37pm Jul 24, 2008 10:31am | Edited 12:37pm
OK, found something "lacking"....

The SynchBar indicator does a GREAT job (so far!!) of showing how the currencies move with relation to each other. What it does NOT do, (and I thought in might, with the ZeroLine), is show us WHICH direction to trade on each pair.

On the example above, the Sell GU/Buy EU was want worked to get the profit. HOWEVER, it is interesting to note that the SwingMan indicators each said different things, maybe because of repainting. I will need to observe in realtime... The Oscillator Indi was correct, told us to "SELL GU", which was the profitable trade.

REVISED: (See NEW chart below): I had the wrong setting on the Overlay, which made it say Buy GU.... I manually set the Mirroring to NO, and the new chart appeared, which CLEARLY shows Sell GU and Buy EU for both SwingMan indicators. I think this may work great for trade direction determination, with the SynchBar giving us the entry/exit timing....

So, SynchBar only gives us PART of the picture. Maybe we can use the Oscillator Indi ONLY for trade direction?? What to you all think. Is there a better way to tell buy or sell? Can we modify SynchBar to show us? (preferrable, then we only need one indi....)

Any ideas?? Open for suggestions.

If you all want a copy of this, you can PayPal me $20 usd and I will email to you right away. I will include any updates for free as we develop this together... Hopefully, we will get enough participation to fund this, and with all of our "synergy" we will succeed!! you can pp me at markkamrath"at"yahoo"dot"com. (Please don't email me there, it is just for PayPal... You can PM me here for any communication if you want.

Keep in mind you need charts for BOTH currencies open, in the timeframe(s) that you want to use in order for the Indi to get it's data, but you only need to put the Indi on ONE chart.
Attached Image (click to enlarge)
Click to Enlarge Name: synchbarsv1.00_4.gif Size: 14 KB
  • #376
  • Jul 24, 2008 10:56am Jul 24, 2008 10:56am
PS: Am I getting to far away from the original thread concept??

i.e., Should I start a new thread?
  • #377
  • Jul 24, 2008 11:00am Jul 24, 2008 11:00am
Quoting mrkam
PS: Am I getting to far away from the original thread concept??

i.e., Should I start a new thread?
No. This is closer to the original concept than anything we've done. Zeusjoes used raw price differences.
  • #378
  • Jul 24, 2008 11:03am Jul 24, 2008 11:03am
In summary Zeusjoes writing about selling overperformance pair and buying underperformance pair. Indicators show this, so I think this is good thread.
But where is Zeusjoes????
  • #379
  • Jul 24, 2008 11:04am Jul 24, 2008 11:04am
Quoting magictrader
In summary Zeusjoes writing about selling overperformance pair and buying underperformance pair. Indicators show this, so I think this is good thread.
But where is Zeusjoes????
He left us a long time ago.
  • #380
  • Jul 24, 2008 11:16am Jul 24, 2008 11:16am
Quoting mrkam
One more before I have to take off....

TRADE EXAMPLE on the GU/EU SynchPair, 15m..... I am using closes of bars for this example. This is PRICE only trading, so "should" be a good example. (i.e., no repainting....)

One idea of how to trade this....
Hi mrkam,
There got alot of bar (almost same high). How you determine or confirm the entry point is follow red line bar? Please advice.
Thanks.
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