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Zeusjoes Market-Neutral Hedge Strategy

  • #461
  • Jul 30, 2008 5:12pm Jul 30, 2008 5:12pm
I've been granted a dispensation of grace, so am back again. Will go back to lurking for a whiles' though.... am testing my last posted approach, and will return when I have some concrete or beneficial results.....
  • #462
  • Jul 30, 2008 6:36pm Jul 30, 2008 6:36pm
Swingman,

Can you please supply us with an indicator, which I think you half have, chart overlay with a start date/time?

i would like to use the previous days or start of day to see how price deviates from a correlated pair.

thanks,
vip
  • #463
  • Jul 30, 2008 7:13pm Jul 30, 2008 7:13pm
Here's a site with charts were you can overlay each pair:

http://www.dailyfx.com/charts/Chart.html
  • #464
  • Jul 30, 2008 7:23pm Jul 30, 2008 7:23pm
Quoting SwingMan
I think so , we must only be careful not to cut finger!

For alarms please remmber me in the next days, but I don't know which are for you the entry/exit points.
I must SEE trades from you or other members.
Hi SwingMan,

I've tested run NeutralPrice Oscillartor_v1 with good accuracy of entry/exit following your post #417 screenshot- three vertical orange lines where each orange line can serve both of entry or exit depending on get in the trade or get out the trade. Therefore, if you don't mind, the alarm can be set at the bar below the top upper band (previous bar still punch above upper band) or the bar above the lowest band (previous bar still punch below lowest band) with turning on/off option and prefer to have two different chimes where one for upper and other for lower so one can tell from the sound where the signal is from the upper or lower.

The alarm applies on one bar only and no need to continue for next bars. A pop up is welcome to state the time of trigger. There is no need to have any alarm at the zero line.

Thanks a lot.
  • #465
  • Edited 8:43pm Jul 30, 2008 8:31pm | Edited 8:43pm
I also have been testing the NeutralPrice Oscillartor_v1 and I'd like to see a little more flexibility with the alarms.

My birthday wish is for a user input parameter for a "short" alarm, and another one for the "long" alarm; with the inputs to be for a std deviation threshold. For example, my preference is to enter a "buy GU / sell EU" when the bar breaks down through a -2.5, so I'd like to be able to enter -2.5 for the "long" alarm.

Conversely, I'd like to enter +2.7 or so for the "short" alarm so when the bar breaks up through the 2.7 threshold I would know to "sell GU / buy EU". This way, over time, I can adjust these settings without SwingMan having to be bothered with it.

Thanks, SwingMan!!!!
  • #466
  • Jul 31, 2008 1:11am Jul 31, 2008 1:11am
ok, the alarms come in the next version.
  • #467
  • Jul 31, 2008 7:02am Jul 31, 2008 7:02am
Quoting SwingMan
ok, the alarms come in the next version.
There goes my day job!
  • #468
  • Jul 31, 2008 7:46am Jul 31, 2008 7:46am
Please check your PM inbox SwingMan.
  • #469
  • Jul 31, 2008 8:12am Jul 31, 2008 8:12am
Hi,

I continue my experiments for cumulative series of every M5 candle range. I try do download data from MT4 servers but there was a lot of missing candles (don't know why, even dl from history center), so I dl it from GFT text file, convert it to .xls file. I've got only closing prices differences (close - previous close) eliminating gaps on opening candle. This type of chart won't repaint, and we've got all closing prices and times! So backtest is a piece of cake. I bectested it, and what is very good, that spread betweetn pairs is +--10 pips our gain when it come back to "0" or about zero.

Here is the screen of cumulative series with spread from 25.07.2008 20:00 to 07:20 31.07.2008 GMT time for EU and GU.
Attached Image (click to enlarge)
Click to Enlarge Name: cumulative_series_EU_GU.JPG Size: 66 KB
  • #470
  • Jul 31, 2008 9:11am Jul 31, 2008 9:11am
Quoting SwingMan
ok, the alarms come in the next version.
WaHooooooooo.... !
  • #471
  • Jul 31, 2008 9:36am Jul 31, 2008 9:36am
Everybody, I'm so imporessed that this cumulative series works! Especially that the spread value between two pairs (delta) is very near to our gain.
Here is the spreadsheet (GMT+1), please look at it, maybe it is possible to make something like this in MT4.
Attached File(s)
File Type: xls EUGU.XLS   386 KB | 557 downloads
  • #472
  • Jul 31, 2008 9:59am Jul 31, 2008 9:59am
Check this out, example from last minutes:
Attached Image (click to enlarge)
Click to Enlarge Name: delta.JPG Size: 92 KB
  • #473
  • Jul 31, 2008 10:32am Jul 31, 2008 10:32am
Quoting magictrader
Everybody, I'm so imporessed that this cumulative series works! Especially that the spread value between two pairs (delta) is very near to our gain.
Here is the spreadsheet (GMT+1), please look at it, maybe it is possible to make something like this in MT4.

Hello MagicTrader

Can you explain your spreadsheet a little bit? How are you coming up with Columns C, D, E, and H?

By the way can setup Excel to read MT4 close data in realtime if this helps.

Trade Well...
Brent
  • #474
  • Jul 31, 2008 10:44am Jul 31, 2008 10:44am
I have started looking at this thing about 3 months ago, didnt realise there was so many indicators and other methods surrounding this. Can somone point me to a post that will explain indicators on this thread?
  • #475
  • Jul 31, 2008 10:52am Jul 31, 2008 10:52am
Quoting forex2stay
Hello MagicTrader

Can you explain your spreadsheet a little bit? How are you coming up with Columns C, D, E, and H?

By the way can setup Excel to read MT4 close data in realtime if this helps.

Trade Well...
Brent
When I've dl data in txt file, I convert it to xls file, and it convert like in one cell was 1,5 and in other e.g 595 so I simply add 15000 to the rest. The same with GU. But it doesn't change anything, we just don't have "," .
  • #476
  • Jul 31, 2008 11:19am Jul 31, 2008 11:19am
Quoting fry2010
I have started looking at this thing about 3 months ago, didnt realise there was so many indicators and other methods surrounding this. Can somone point me to a post that will explain indicators on this thread?
There really is not such a single post. I had to read the whole thread to get caught up. Search for all posts to this thread by SwingMan for his indicators. He is also contributing greatly to the Speiler Hedge thread and has produced a great combo of indicators based on the Ehrman book on how to trade pairs.

mrkam is working on the SynchBar indicator and EA, so you can search for his name for posts within the last three weeks or so to cover it. His conversations with billbss will provide pretty good insight to where their strategy has evolved, and we're all looking forward to his next version.

Then of course, magictrader is working on his strategy and has posted some great stuff. I'm not sure how we're going to marry all of these strategies together into a nice package, but the end result looks promising.


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  • #477
  • Jul 31, 2008 11:45am Jul 31, 2008 11:45am
Dear Magictrader,

What is your method?

Thanks,

Lenoxer
  • #478
  • Jul 31, 2008 11:49am Jul 31, 2008 11:49am
Quoting magictrader
When I've dl data in txt file, I convert it to xls file, and it convert like in one cell was 1,5 and in other e.g 595 so I simply add 15000 to the rest. The same with GU. But it doesn't change anything, we just don't have "," .
Got it...then it's no problem to do this in realtime with Excel. Please see attached Excel file. It will pull data for GBPUSD and EURUSD in realtime from MT4. So you need to have MT4 open. You'll also need to "Enable DDE Server" in MT4 by going to Tools -> Options, select Server Tab and check box "Enable DDE Server".

Trade Well.....
Brent
Attached File(s)
File Type: xls EURUSD-GBPUSD Spread.xls   19 KB | 717 downloads
  • #479
  • Jul 31, 2008 12:07pm Jul 31, 2008 12:07pm
Quoting forex2stay
Got it...then it's no problem to do this in realtime with Excel. Please see attached Excel file. It will pull data for GBPUSD and EURUSD in realtime from MT4. So you need to have MT4 open. You'll also need to "Enable DDE Server" in MT4 by going to Tools -> Options, select Server Tab and check box "Enable DDE Server".

Trade Well.....
Brent
WOW! this is GREAT and so simple
Can't wait for the next week to test it.
Theory is, that the spread value is almost or the same value as our gain. So what we need to do is to wait for good delta for us (e.g. 30 pips) then we know when spread is 0 then we've got 30 pips (- transaction spread). We' re reliable on that pairs will come back and spread will be "0" at some time. If sread is getting wider then easily we can add some positions.

Thanks again forex2stay!

Lenoxer,
I'm trading with SwingMan indicators with great results (hundred of pips in a week) so it's very good method, but in the same time I was trying to develop something else. Now I can test it too and compare this two methods.
  • #480
  • Jul 31, 2008 12:07pm Jul 31, 2008 12:07pm
Great job magictrader. I look foward to setting this up in Excel using IBFX data feed. I hope for success undergoing this task.
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