Hedge trading spieler system derived from futures spread trading

Dear Spieler and Thread,

Though the MM remains the very most important part of this model, as Spieler says again and again, nevertheless, the second most important feature seems to be one's point of entry and, hence, where one begins the MM progression. There is more of a trend component to this "hedge" than you realize until you trade it live. Therefore, what Spieler calls watching the "pace" of EURCHF becomes paramount. Use S/R levels (that's what I do) to begin the trade, use MAs, but some sort of judgement is needed. The market is paying you for your judgement, not for the mechanized part of the model. We're doing some research on surviving trend runs against you with this strategy and will post what we find. Not yet being terribly exact, you might need to be able to survive possible 500 point runs against your position. I'm thinking that a modified Martingale (see FXTradePro on FF) would help here. A question for Spieler: if you look on MATAF.net at the correlation table, you'll see that the daily correlation for EURUSD/USDCHF is
-91 whereas the dailly correlation for CHFJPY/EURJPY is 95.9. You said that you don't like using the JPY hedge, that it is too volatile, but if USD is hedged out in your trade and JPY is hedged out in the other trade, why should one trade be more volatile than the other? (On an hourly basis, the EURUSD/USDCHF correlation is only -67.9 whereas the CHFJPY/EURJPY is 97.2). In short, why couldn't you adjust lot sizes to hedge out the JPY and hedge out the vols and trade that more correlated hedge?

Thanks so much, Spieler. Your efforts are greatly appreciated.

Lenoxer

position good so far .
as we are friday perhaps i am going to cut not waiting 0,25 with a profit to finish the week nicely

position closed

Took only +0,10% but good to be cash sometimes

Eur/usd closed at 1,5689 -13 pips
usd/chf closed at 1,0378 +15X1,6 = 24
total +11 pips 1012,58 $

I will answer this week end to questions on jpy

Bye all

i should have wait a little bit more position very good now would have make more than double.
Are you still in?

hey spieler,

i done the same as well

wicked... it worked out nicely!

thanks,
vip

Spieler, nice system. I am always interested in this kind of hedge trading/kind of arbitrage. You seem to be trading this system with quite large volume and as per your example above $ 92.00 per pip. I will give the system a go next week.

P.S: To anyone who can clarify this: I understand how the system works but I have a question. If ever I need to hold the positions over 2 days do I need to change the "Shift Days reference" in the Spielers hedge Divergence indicator to 2 instead of 1? Or do I leave it unchanged?

Hi Spieler

I have another little question. On a day like May 16, when you have an entry signal (long, in this case), then several hours later you can take profit at the zero line and complete the trade, and several hours after that you get an opposite entry signal (short), do you take the second trade?

Pipsalot : Yes and i like these days

NowAndLater-

Your indicator is great and I was wondering if it would be possible to improve it even more by including an additional input tab where we could add more levels if needed. Spieler always says that if the price is moving through a level at speed then wait before entering, example enter at +/-0.35% instead of +/-0.25%. It would be very useful to be able to add additional levels, as in SwingMans Divergence indicator, as and when needed. Thanks again.

Dear Spieler and Thread,

1) What is the formula for determining the $ pip value of the spread itself and then the $ pip value of the spread per each pip movement in the EURCHF?
2) What is a simple formula for normalizing the vols between EURUSD and USDCHF?

Thanks,

L.

A little bug is fixed: after closing a position, the EA has open several new trades.

In the ZeusJoes thread I just posted two indicators for normalized price ratios. Is not what you need, but similar...
.

swingman on what time frame and which currency should we put your EA?

I'll look into that... But if you can do it with Swingman's indicator, why not use his?

Dear Swingman,

I'm a Saxo Bank guy and not a MT4 guy. Can you tell me how to do the vols by hand? As well, do you know how to determine the $ pip value of the spread and how that relates to EURCHF? Thanks very much.

L.

I'm still in the position started on Friday. Here's what I'm looking for from the EUR/CHF.Entry point: Short @ 1.6303Friday Close: 1.6279I will add another position at: 1.6344 (entry point +.25%, also over +.25% for the day)I will close the current position at: 1.6262 (entry point -.25%)If the EUR/CHF continues decline will enter long position @ 1.6237 (-.25% from Friday close)

"
I'm still in the position started on Friday. Here's what I'm looking for from the EUR/CHF.Entry point: Short @ 1.6303Friday Close: 1.6279I will add another position at: 1.6344 (entry point +.25%, also over +.25% for the day)I will close the current position at: 1.6262 (entry point -.25%)If the EUR/CHF continues decline will enter long position @ 1.6237 (-.25% from Friday close)"

1) What i will do in your case ( always thing about conservatice approach and not aggressive one ( this advice is whatever the system used and will save your a...) wait another 0,25% from today s opening and not your entry point.
2) you missed the exit because 1,6262 has been hit on friday just after i exited myself.


My strategy of the day : waiting +0,25% based on today ( so on sunday 's exit) to get in 1 lot short.
Wait -0,25% based on friday closed ( 162,40 ) to get in long.

As for trading something with jpy inside i was speaking of gbp/jpy vs usd/jpy for exemple well correlated but with some divergences days so that you could not keep a position .

For eur/jpy chf/jpy paires the correlation is good on tha last month according to mataf with a daily of 95,1 as you mentioned and a 1 hour of 98,2.

I am not sure it has always been the case , i need to download on an excell file to made a longer calculation.

On eur/usd usd/chf correlation have been bad month only -0,87
but on a 1 year we have -0,98% and same for 2 years .

Whan daily correlatrion is good like for eur/usd and usd/chf and 1 hour not so good this is exactly what we are looking for decorrelation/recorrelation.

That is why it is a good candidate.

If you have always correlation you dont get opportunity to get in.

Anyway your remark could be a good idea so i will intraday watch and will give you my sentiment in few days.
Thanks for that

eur/usd and usd/chf i mean have been bad this month.
BUt despite that fact we have been abble to make profit on all trades being winners ........
And i posted real time all trades even before giving points
No comment

Spieler,
Thanks for the feedback. The reason I missed the 1.6262 exit on Friday was that I have to trade from work during the day and can't watch all the time. I know this puts me at a disadvantage but I still feel that the system can be profitable.