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Hedge trading spieler system derived from futures spread trading

  • #741
  • Jul 28, 2008 7:03am Jul 28, 2008 7:03am
162,52 ( your entry minus 0,25%) is not the friday closed but a mid friday quotation.
There is a bug somewhere in your graph
  • #742
  • Jul 28, 2008 7:05am Jul 28, 2008 7:05am
1,6278*100,25% = 163,18
There is a bug even with 1,6278 because 163 never hit today
  • #743
  • Jul 28, 2008 7:11am Jul 28, 2008 7:11am
Quoting Cornelius

On my platform the Friday close, as I labeled it is 1.6278, so it cannot be Thursday close or Friday open.

But the point you're counting from (the zero point on your chart) is 1.6252, not 1.6278. Just move your zero point to Friday's close or today's open and you'll be fine.
  • #744
  • Jul 28, 2008 7:11am Jul 28, 2008 7:11am
"'Spieler, how long do you think the duration of a correlation pair is like we have now?(How long will it be tradeable?)
And more importantly , what do you think is the cause for it becoming tradeable or not?"
I think a long time it could change if switzerland had big change and i dont think that is gonna happen soon.
But we will jump on an other paires as i did when cac/stoxx stopped to work years ago because of f...g bank robots.
  • #745
  • Jul 28, 2008 7:33am Jul 28, 2008 7:33am
Cornelius,

check all your settings.
For friday is ShiftDays = 2 and not 3 as in your chart.
.
Attached Image
  • #746
  • Jul 28, 2008 2:59pm Jul 28, 2008 2:59pm
Dear Everyone,

Again, sorry for the bother, but can someone answer my question #1 on p. 48, post #710? Thanks very much in advance.

L.
  • #747
  • Jul 28, 2008 3:13pm Jul 28, 2008 3:13pm
Quoting SwingMan
Cornelius,

check all your settings.
For friday is ShiftDays = 2 and not 3 as in your chart.
.
Thanks! Solved it!
A good trade is when I Break Even. A great trade is when I Take Profit.
  • #748
  • Edited 6:09pm Jul 28, 2008 5:16pm | Edited 6:09pm
Quoting Richard
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.
Ok, added inputs, "ExtraLevel", to four additional levels. If left to "0" they will not appear as this is the same as closed price line (duh!). The inputs should be in this form: the desired deviation is +0.35% -> then the input should be "0.35", desired is -0.35 -> input is "-0.35", and so on. The ExtraLevel line's colour is purple.
Attached File(s)
File Type: mq4 EU-UC hedge.mq4   11 KB | 620 downloads
  • #749
  • Jul 28, 2008 6:46pm Jul 28, 2008 6:46pm
Slow day today. Seems like over the past 2 weeks the slow day are the ones where I'm holding at least 1 short position, losing the swap.
  • #750
  • Jul 28, 2008 7:41pm Jul 28, 2008 7:41pm
Hey guys, don't know if anyone will be interested but here's some basic histograms. The first one is EURCHF and the second one is the spread (what we trade weighed)
These histograms for eg. show how often the prices return to the daily levels after going how far out. for the spread we can see they deviate much less than the eurchf cross and it deviates by great amount less times than eurchf as well. I want to do some analysis of this and the different levels on my own on different TF but bloomberg is crappy sometimes and doesnt give as much detail as I would want.

Thought this might spark some ideas for people or at least understand the concept better.

Enjoy if it helps at all.





http://img524.imageshack.us/img524/8861/eurchfnh2.gif

http://img401.imageshack.us/img401/9941/eurchfum4.jpg
  • #751
  • Jul 28, 2008 8:05pm Jul 28, 2008 8:05pm
Just closed my 1 short position at EUR/CHF 1.6262.
Profit including 2 days negative swap: +.209%
Not a huge profit but a profit none the less.
Now looking for the next trade. Today's Close 1.6261
Will look for +.25% @ 1.6302 to take 1 Short position or -.25% @ 1.6220 to take 1 long position.
  • #752
  • Jul 28, 2008 8:33pm Jul 28, 2008 8:33pm
hey jonaslt

I have a few questions about this interesting statistics.

What are the "daily levels" you used here?

Is the spread chart (what we trade weighed) a synthetic chart of price based on the formula (1 e/u + 1.5 u/c)?

Thanks for bringing up some nice statistics that help us understanding why it really works better than the cross!



And why is the spread deviates less from daily levels in your opinion? (anyone has any theory?)
  • #753
  • Jul 28, 2008 9:22pm Jul 28, 2008 9:22pm
Quoting NowAndLater
Ok, added inputs, "ExtraLevel", to four additional levels. If left to "0" they will not appear as this is the same as closed price line (duh!). The inputs should be in this form: the desired deviation is +0.35% -> then the input should be "0.35", desired is -0.35 -> input is "-0.35", and so on. The ExtraLevel line's colour is purple.
NowAndLater-

Fantastic, a very useful adition. Thanks a lot.
  • #754
  • Jul 29, 2008 1:10am Jul 29, 2008 1:10am
Hi Macus,

could you tell me how do you calculate yesterday close and +0.25 and -0.25 levels. I have completele different levels - yesterday close is 1.6283 and -0.25 1.624. Where is problem? I use SpielersHedge EA v2.7. Thanks
  • #755
  • Jul 29, 2008 2:20am Jul 29, 2008 2:20am
Quoting jonaslt
Hey guys, don't know if anyone will be interested but here's some basic histograms. The first one is EURCHF and the second one is the spread (what we trade weighed)
These histograms for eg. show how often the prices return to the daily levels after going how far out. for the spread we can see they deviate much less than the eurchf cross and it deviates by great amount less times than eurchf as well. I want to do some analysis of this and the different levels on my own on different TF but bloomberg is crappy sometimes and doesnt give as much detail as I would want.

Thought this might spark some ideas for people or at least understand the concept better.

Enjoy if it helps at all.
Hey, those charts look very interesting, but could you please give a basic explanation on how to read them?
  • #756
  • Jul 29, 2008 3:24am Jul 29, 2008 3:24am
Hi Senior,

I've got a minor question. I've put the indicator in two platform, interbank fx and fxdd. However, both result showing me different divergence result base on all time frame.

interbank fx showing -0.06
fx dd showing -0.16

Can anyone help me which result is closer ? Or which MT4 is better ?
Banker please return my pipins.
  • #757
  • Jul 29, 2008 3:39am Jul 29, 2008 3:39am
Quoting pipsalot
Hey, those charts look very interesting, but could you please give a basic explanation on how to read them?

Ok, I think I figured it out :-)
  • #758
  • Jul 29, 2008 4:09am Jul 29, 2008 4:09am
Quoting Babyboy
Hi Senior,

I've got a minor question. I've put the indicator in two platform, interbank fx and fxdd. However, both result showing me different divergence result base on all time frame.

interbank fx showing -0.06
fx dd showing -0.16

Can anyone help me which result is closer ? Or which MT4 is better ?
Check to see if the closing price is the same on both, if not thats your answer. It will be different if the close of the day ends at different hours on the two platforms. Use Interbank as they operate on GMT hours which is what I believe Spieler does.


Quoting xkuba
Hi Macus,

could you tell me how do you calculate yesterday close and +0.25 and -0.25 levels. I have completele different levels - yesterday close is 1.6283 and -0.25 1.624. Where is problem? I use SpielersHedge EA v2.7. Thanks
Yesterdays close is not calculated, it's something you get from the charts. Look at the bar the corresponds to 2300 GMT and take the closing price of that bar. To get +0.25% you take: (closing price)*(1+0.25/100) = (closing price)*1.0025. To get -0.25% you take (closing price)*(1-0.25/100) = (closing price)*0.9975.
If the EA gives different prices than you see posted by others on this thread it will be because of difference in the closing time, see the above answer.
  • #759
  • Jul 29, 2008 4:57am Jul 29, 2008 4:57am
Quoting xkuba
Hi Macus,

could you tell me how do you calculate yesterday close and +0.25 and -0.25 levels. I have completele different levels - yesterday close is 1.6283 and -0.25 1.624. Where is problem? I use SpielersHedge EA v2.7. Thanks
xkuba,
I'm no expert but I use the closing amount of the 1 hour candlestick that starts at 7:00pm EST (GMT-4). Spieler would have to answer you as to whether the specific time you use for a close really matters as long as its the same from day to day because that I do not know. I use this one becaue it seems to coorespond to what everyone else is using so I'm on the same page with my targets. Also, since I'm not using an EA I just add or subtract 41 pips to find the +.25% and -.25% levels.
Thanks for the question because after reviewing my earlier post I was wrong about the close. It was at 1.6271 so that moves both of my targets up by 10 pips.
  • #760
  • Jul 29, 2008 5:55am Jul 29, 2008 5:55am
Quoting dreamtrader
hey jonaslt

I have a few questions about this interesting statistics.

What are the "daily levels" you used here?

Is the spread chart (what we trade weighed) a synthetic chart of price based on the formula (1 e/u + 1.5 u/c)?

Thanks for bringing up some nice statistics that help us understanding why it really works better than the cross!



And why is the spread deviates less from daily levels in your opinion? (anyone has any theory?)
The synthetic chart is including u/c weighed by 1.57 or 8 I think


I think the spread deviates less because it represents the correlation compared to EURCHF which represents the correlation with a position on USD as well. so where USD goes, EURCHF gets pushed the same way.

For anyone else thinking about it, think of the "bell curve" theory and that chart represents how often the values return to the daily price. So say for the spread after it deviates a certain amount it will return often and then less at higher deviations. It makes sense, just sometimes easier to see it visually and sometimes that might generate and idea or two.

I want to do these charts in excel with a dynamic weight for u/c and lower timeframes where it would matter more since we trade this shorter term.
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