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Hedge trading spieler system derived from futures spread trading

  • #821
  • Jul 30, 2008 11:52pm Jul 30, 2008 11:52pm
just a reminder that a CHF news is upcoming in an hour

CHF http://www.forexfactory.com/images/m...mpact_high.gif CPI m/m

would that be a problem?
  • #822
  • Jul 30, 2008 11:59pm Jul 30, 2008 11:59pm
Quoting jonaslt
The way I see it is EURCHF cross is completely different since both of the components are exposed to USD in the world market. No matter which one you have when USD appreciates or depreciates your asset value in hand will change.
When you have a weighed UC and EU "against each other" they cancel the USD expose at that time since they are as much USD long as short therefore USD exposure is 0 or close. Of course the currencies change so that won't always remain so but it's much less than being .3 lots USD directional or whatever that percentage of your position is.
Once you eliminate USD then you can see the real correlational spread between the two currencies CHF and EUR since you eliminated the global component of USD.

Sorry if it is a little wordy but if anyone understands it, let me know if it makes sense.




EDIT: O just if anyone wants to try...draw a graph of USDCHF + EURUSD and have USDCHF multiplied by enough to match EURUSD's exposure to USD at each point, you get a completely different and much more normalized graph that would be perfect to trade and very easy (of course this is impossible)
thanks for the explanation

but... umm... I think the USD component in the cross EURCHF is eliminated as well. Because, by its definition, it is the ratio of how much EUR is worth compared to CHF, there is no USD there? at least not as USD-dependent as USDCHF + EURUSD.

I am not saying the cross is better, since from the statistics and spieler's experience , it really appears to be better in terms of applicability of this kind of strategy. But somehow I am really curious why is it so...

Any discussion or input on this subject would be appreciated.
  • #823
  • Jul 31, 2008 2:44am Jul 31, 2008 2:44am
Quoting spieler
still short 1 lot with a small open loss
these last 2 weeks have been very poor in term of signals but all have been closed with a profit.
Waiting again ...............
Hi Spieler, what's your strategy for today ? Do you will add another lot at 0.50% (related to 29 Jul open) at 1.6348 or wait until 0.25% (related to today's open) is reached at 1.6370 ?

Thx
Skyline
  • #824
  • Jul 31, 2008 3:39am Jul 31, 2008 3:39am
considering we have only one lot 0.50 is ok and i put a second lot when eur/chf was at 163.50 ( just hit)
if i had 2 lots i will have wait 0.25% more than the yesterday closed and that is 163.71
  • #825
  • Jul 31, 2008 3:45am Jul 31, 2008 3:45am
Quoting spieler
considering we have only one lot 0.50 is ok and i put a second lot when eur/chf was at 163.50 ( just hit)
if i had 2 lots i will have wait 0.25% more than the yesterday closed and that is 163.71
ok that's clear thank you
(still waiting to enter second lot since in my platform 1.6350 not reached yet)

Skyline
  • #826
  • Jul 31, 2008 4:55am Jul 31, 2008 4:55am
2nd lot in at 15616 and 10468. Are we going to take profit when EURCHF reaches the entry point of the first lot?
  • #827
  • Jul 31, 2008 4:55am Jul 31, 2008 4:55am
Just entered second lot (1.6350 hit) :

EURUSD @ 1.5616
USDCHF @ 1.0468

waiting for EURCHF to go down to +0.25% (around 1.6308) to take some nice profit
  • #828
  • Jul 31, 2008 5:06am Jul 31, 2008 5:06am
Quoting spieler
considering we have only one lot 0.50 is ok and i put a second lot when eur/chf was at 163.50 ( just hit)
if i had 2 lots i will have wait 0.25% more than the yesterday closed and that is 163.71
Spieler,
My chart and levels are correct then?
Attached Image (click to enlarge)
Click to Enlarge Name: EURCHF.JPG Size: 112 KB
  • #829
  • Jul 31, 2008 5:49am Jul 31, 2008 5:49am
Added 2nd position at EUR/CHF 1.6359
Short EUR/USD @ 1.5613
Short USD/CHF @ 1.0474
Waiting for pullback to EUR/CHF 1.6329 to close this new position or move to EUR/CHF 1.6439 to add 3rd position (+.50% from last entry point)
  • #830
  • Jul 31, 2008 5:55am Jul 31, 2008 5:55am
Quoting dreamtrader
thanks for the explanation

but... umm... I think the USD component in the cross EURCHF is eliminated as well. Because, by its definition, it is the ratio of how much EUR is worth compared to CHF, there is no USD there? at least not as USD-dependent as USDCHF + EURUSD.

I am not saying the cross is better, since from the statistics and spieler's experience , it really appears to be better in terms of applicability of this kind of strategy. But somehow I am really curious why is it so...

Any discussion or input on this subject would be appreciated.
Maybe it is simply the position size of CHF then that has to be accounted for and not necessarily the USD, but in essense you normalize USD exposure by equaling the weights of EUR and CHF against eachother, can't have one without the other kind of thing, but I guess it's not the driving factor as I thought, it's in fact the other way around
  • #831
  • Jul 31, 2008 5:55am Jul 31, 2008 5:55am
Quoting mackus
Added 2nd position at EUR/CHF 1.6359
Short EUR/USD @ 1.5613
Short USD/CHF @ 1.0474
Waiting for pullback to EUR/CHF 1.6329 to close this new position or move to EUR/CHF 1.6439 to add 3rd position (+.50% from last entry point)
mackus or anybody else
could you please inform me what the "Shift Days for Reference" setting should be? as this makes a difference to the =/- %`s

Thanks
  • #832
  • Jul 31, 2008 6:47am Jul 31, 2008 6:47am
Short earlier this morning at EUR/CHF 1.6348...EUR/USD 1.5616, USD/CHF 1.0471. Will TP at EUR/CHF 1.6320 or will double pos. size at EUR/CHF 1.6379. Trading minis. Pippo
Vincit qui se vincit.
  • #833
  • Jul 31, 2008 7:00am Jul 31, 2008 7:00am
Hey guys, how many lots do you open if price will reach +0.25 or -0.25? 1 lot for EUR/USD and 1.6 lots for USD/CHF? Is that right? Thanks
  • #834
  • Jul 31, 2008 7:14am Jul 31, 2008 7:14am
Hi S3n!or,

I've been going thru this thread lately. BUT one thing for sure, I've backtested this for few times. Basically the result is great. But I found my chart abit funny thou, comparing EU-UC and SwingMan indicators. Basically
I'm following swingman divergence. Am I following the correct way ...

Again, for Spieler the founder, I'm really appreciate you method and @ll others who are assisting t00.
Attached Image (click to enlarge)
Click to Enlarge Name: 123.gif Size: 27 KB
Banker please return my pipins.
  • #835
  • Jul 31, 2008 7:20am Jul 31, 2008 7:20am
Quoting xkuba
Hey guys, how many lots do you open if price will reach +0.25 or -0.25? 1 lot for EUR/USD and 1.6 lots for USD/CHF? Is that right? Thanks

Yeah, but it's not about lots, it's about ratio. So if you open 2 lots EURUSD, you should open 3.2 lots USDCHF.
  • #836
  • Jul 31, 2008 7:47am Jul 31, 2008 7:47am
Wow...

Look at today performance, looks like US news really help reducing the divergence process at maximum. Apparently, I didnt wait till zero.

I manage to cut out EU earlier base on EJ ( cannot break thru support line ) while waiting UC to continously drop. Overally I'm taking 60pips with 2:3 ratio.

Admit that nervous that make me cut out earlier. Just gotto keep on practising when theres opportunity arise.
Banker please return my pipins.
  • #837
  • Jul 31, 2008 10:19am Jul 31, 2008 10:19am
As I write, EUR/CHF is at 1.6347, virtually unchanged from my point of entry at 1.6348. I am +.0020 on EUR/USD short, and -.0012 on USD/CHF short. TP at EUR/CHF 1.6327. Of course by the time I transmit values will be changed. Pippo
Vincit qui se vincit.
  • #838
  • Jul 31, 2008 11:19am Jul 31, 2008 11:19am
what would we have done today? eurchf (orange) was at 0.20%
eurusd (blue) short would have made profit but usdchf (green) would have made loss.
Attached Image (click to enlarge)
Click to Enlarge Name: snapshot-16.png Size: 93 KB
  • #839
  • Jul 31, 2008 12:08pm Jul 31, 2008 12:08pm
  •  Trader#0000
  • | Status: Unregistered Trader
Spieler-

how many pips have you experienced in the biger "non-correlation" on
eurusd Vs usdchf?

thanks.
  • #840
  • Jul 31, 2008 9:11pm Jul 31, 2008 9:11pm
Quoting jonaslt



EDIT: O just if anyone wants to try...draw a graph of USDCHF + EURUSD and have USDCHF multiplied by enough to match EURUSD's exposure to USD at each point, you get a completely different and much more normalized graph that would be perfect to trade and very easy (of course this is impossible)
It is not impossible, I am just surprised a spread trader doesn't actualy use a spread chart. On the attached chart the top is a P&L chart of eurusd + usdchf x 1.425 (1.5 times .95 cents per pip) so if you trade on a 1.5 to one basis, each tick on the above chart is one dollar (mini lots). If you zero out the USD exposure, your are only trading the EURCHF cross, in that case it is NOT more normalized. You can check yourself. Open a game account at OANda, and 1st put on a synthetic and zero out the USD exposure, and take note of the EUR exposure and CHF exposure. Then close those positions and open a EURCHF posiiton, and the exposure is the exact same. In forex, it is all about exposure. In the chart the red line is just a 30 SMA. In the way your guys are trading, the only advantage is if you make extra pips legging into or out of the spread. The disadvantage is more pip spreads paid. Are you a good enough trader to leg in well enough to overcome the extra spread costs?
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