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Zeusjoes Market-Neutral Hedge Strategy

  • #501
  • Edited 4:42am Aug 1, 2008 4:09am | Edited 4:42am
Here it is how the our zero (gain) point was moving on EUR/GBP:
Maybe delta zero point will follow the trend when it will be strong, and then we need small retracement to get our gain. To check this out we should wait for some one way week trend on EUR/GBP.
Attached Image (click to enlarge)
Click to Enlarge Name: zero_point.JPG Size: 80 KB
  • #502
  • Aug 1, 2008 4:50am Aug 1, 2008 4:50am
Quoting magictrader
Question is, is it possible to calculate where "0" point could be. ?
I think it will be very difficult to predict where this point is and when. Correlation between pairs may be easy broken and so easy come to normal..it is just the meter of time...and it's hard to predict it.

Quoting magictrader
And now if we look at EUR/GBP we've got sideways trend, but since 2007 was strong up trend. How then this system works?
Because pairs trading it is market-neutral strategy. no matter is there trend on the market or no...You only choose time frame. System works on all time frames. Small tf. -> small spread, quick trade; Higher -> spread bigger and you have to wait longer...
  • #503
  • Aug 1, 2008 5:05am Aug 1, 2008 5:05am
Quoting P 1
Because pairs trading it is market-neutral strategy. no matter is there trend on the market or no...You only choose time frame. System works on all time frames. Small tf. -> small spread, quick trade; Higher -> spread bigger and you have to wait longer...
But it's only possible if we look at some bars in past (e.g. 200 candles) then value of spread will be always changing. Like on the screen, in the morning it was about 70 pips, now less then 10 pips. I was starting build position when it was 40 pips and I'm still losing. It is because of strong down trend on CHF/JPY and the zero point is somewhere on that chart. It doesn't matter if we pull the trigger using indicators which will move with the market, or using delta with selected start time, because our gain is somewhere on cross pair chart.

Later I'll make spreadsheet for USDCHF/USDJPY.
Attached Image (click to enlarge)
Click to Enlarge Name: USDCHF_USDJPY2.JPG Size: 191 KB
  • #504
  • Aug 1, 2008 5:43am Aug 1, 2008 5:43am
Quoting magictrader
It is because of strong down trend on CHF/JPY and the zero point is somewhere on that chart. .
CHF/JPY is calculated from movements of USDCHF and USDJPY. And if on the CHF/JPY down trend its mean that USDCHF is in up trend and USDJPY is consolidating or vise versa (USDCHF is consolidating and USDJPY is in down trend), or so.
And it's risky to open neutral position (counter trend) when short time trend is in place on one pair. You need wait for consolidation (correction) to open position.
  • #505
  • Aug 1, 2008 5:59am Aug 1, 2008 5:59am
Let's see what will happen in the future (maybe NFP will help) because on M15 and M30 there is still big HedgeRange and it should go to zero.
  • #506
  • Aug 1, 2008 8:44am Aug 1, 2008 8:44am
Since the beginning of the week USD/CHF is big overperformer to USD/JPY with almost no cross. Maybe EUR/USD and GBP/USD will be more safe pairs?
Attached Image (click to enlarge)
Click to Enlarge Name: UJ_UC.JPG Size: 42 KB
  • #507
  • Aug 1, 2008 11:33am Aug 1, 2008 11:33am
Quoting magictrader
We can know possible average high delta in forward testing because bectest every week could be difficult.
.
how much the biggest size of delta that you got so far?how much the average delta?
  • #508
  • Aug 1, 2008 2:44pm Aug 1, 2008 2:44pm
..... and just for a parting shot before the weekend....

New SynchBar indicator, same indicator, just modified to show as a line. This one does not interface with the NHOv3.4 like the bar version does, so you do not need NHO on your chart. The "bars" are set to black, so to make them disappear, set them to the same color as your background, and you will just get the Synch line, the ZeroLine, and the two manually set Hi/Lo Entry lines.

The trade shown was from earlier today. Sell GU / Buy EU was determined per NHOv3.4. Use the "Entryline" exit, where you enter at one, exit at the other. (more aggressive).

Great weekend to all!!
Attached Image (click to enlarge)
Click to Enlarge Name: synchbars_line_1.gif Size: 9 KB
Attached File(s)
File Type: ex4 SynchBarsLine.ex4   6 KB | 1,399 downloads
  • #509
  • Aug 1, 2008 4:38pm Aug 1, 2008 4:38pm
swingman thanks, my bad - I found it.

thanks,
vip

Quoting SwingMan
guess121


Indicators are only the visualisation of spread sheets, that's all.
I think the first version(s) of the overlay indicator has a date as begin of the calculation.
  • #510
  • Aug 1, 2008 7:08pm Aug 1, 2008 7:08pm
Hi Swingman, good job on those indicators.

Question for you on NeutralPrice Oscillator v1, I see the Price_differences of GBP/USD and EUR/USD set to 34 by default, is it always 34 or how is that calculated?

Very good indicator BTW.

Thanks
  • #511
  • Aug 2, 2008 1:58am Aug 2, 2008 1:58am
Quoting juxta14
Question for you on NeutralPrice Oscillator v1, I see the Price_differences of GBP/USD and EUR/USD set to 34 by default, is it always 34 or how is that calculated?
The Period_Differences=34 is for the calculation of Mean and StdDeviation, and is only a Fibonacci number.
  • #512
  • Aug 2, 2008 5:09am Aug 2, 2008 5:09am
Hello, bad weather today so I try something with setting start time for counting delta. I set start time on the top of EUR/GBP last monday. There were no possibility to get gain and delta chart looks almost exactly like EUR/GBP chart delta is getting wider.
Attached Image (click to enlarge)
Click to Enlarge Name: delta_EG.JPG Size: 108 KB
  • #513
  • Aug 2, 2008 11:57am Aug 2, 2008 11:57am
Hi Swingman/All,

If anyone can answer this, does Chart Overlay Point-Time indicator repaint?

Thanks,
Vip
  • #514
  • Aug 2, 2008 1:35pm Aug 2, 2008 1:35pm
Quoting guess121
Hi Swingman/All,

If anyone can answer this, does Chart Overlay Point-Time indicator repaint?

Thanks,
Vip
Yes, Overlay Point repainting.

This is weird, but when I was looking on similarity between shape of delta EU GU and EUR/GBP I put delta chart on EUR/GBP chart (since 18.07.2008 M15). Correlation between them is over 96%. Maybe thanks to that we can set better entry points. Also I think that there are now two reasons why we can get some gain.
1. Correlations between pairs,
2. Correlations between delta and cross pair.

What do you think about it?
Attached Image (click to enlarge)
Click to Enlarge Name: spreadEU_GU_EURGBP.JPG Size: 74 KB
  • #515
  • Aug 2, 2008 1:54pm Aug 2, 2008 1:54pm
I am using the one with date and time.

And specifying date and time, therefore I am guessing that this should not repaint - or I am incorrect in my assumption.

I think high correlated pairs... I am not really looking at delta, as this is very difficult to provide, unless we have some maths guru that can help out.

Though I am more looking for your first point... we want price to deviate some what and then trade per the 'threshold'.

I am more looking at change like spielers system on a daily basis and entering trades daily and then closing out the trades daily as well, if I can.

I personally think this is what we should concenrate on, what do you?

We look at price deviation in the day, forex opens and closes 5PM EST time - that's when roll is paid.

If we have to hold positions, then we look at position averaging.

Quoting magictrader
Yes, Overlay Point repainting.

This is weird, but when I was looking on similarity between shape of delta EU GU and EUR/GBP I put delta chart on EUR/GBP chart (since 18.07.2008 M15). Correlation between them is over 96%. Maybe thanks to that we can set better entry points. Also I think that there are now two reasons why we can get some gain.
1. Correlations between pairs,
2. Correlations between delta and cross pair.

What do you think about it?
  • #516
  • Aug 2, 2008 2:02pm Aug 2, 2008 2:02pm
Everything is easy when cross pairs are in sideways trend. What if there will be 0,5% day change, then 0,4% day change, and so on? If cross pair is trending then standard looking for deviation could be not enough. Like now on CHF/JPY. I entered on HedgeRange 40 pips and I'm still loosing. (demo account).
  • #517
  • Aug 2, 2008 2:03pm Aug 2, 2008 2:03pm
Magic Trader,

I have attached this spreadsheet, this imports the data from the MT4.

All - I have got this from Brians Rollover Method - in Forex Disscussion.

I am not the aurther of this excel spreadsheet or export data script. I have amended this for my purposes, it is totally different.

If you want me to remove it, I will - but here it is.

The Dsn-02_QuoteToExcel_MultiPair-GEN.ex4 file needs to go in your script folder.

This is a work in progress if anyone wants to improve and make this better and get it working properly - as it sort of works - but I cannt extract whole day data at the moment, not have a chance to look at it.

thanks,
vip
Attached File(s)
File Type: ex4 Dsn-02_QuoteToExcel_MultiPair-GEN.ex4   7 KB | 700 downloads
File Type: xls Test.xls   85 KB | 790 downloads
  • #518
  • Aug 2, 2008 2:31pm Aug 2, 2008 2:31pm
Quoting guess121
Magic Trader,

I have attached this spreadsheet, this imports the data from the MT4.

All - I have got this from Brians Rollover Method - in Forex Disscussion.

I am not the aurther of this excel spreadsheet or export data script. I have amended this for my purposes, it is totally different.

If you want me to remove it, I will - but here it is.

The Dsn-02_QuoteToExcel_MultiPair-GEN.ex4 file needs to go in your script folder.

This is a work in progress if anyone wants to improve and make this better and get it working properly - as it sort of works - but I cannt extract whole day data at the moment, not have a chance to look at it.

thanks,
vip
VIP,

Something is not right with your Test.xls file... I unzipped it, but there is no .xls file.... please check it out and post a working file...

Thanks

Bruce
  • #519
  • Aug 3, 2008 2:10am Aug 3, 2008 2:10am
Office 2007 - grrr... i hate Mircosoft - they don't make anything easy do they?!?!

I have saved this as MS Office 2003, try this again and let me know if this works.

Thanks,
Vip
Attached File(s)
File Type: xls Test(2).xls   85 KB | 751 downloads
  • #520
  • Aug 3, 2008 12:25pm Aug 3, 2008 12:25pm
Hi everybody, hi this thread,

where disappeared the very simple and profitable method by ZeusJoes?
Thank you ZeusJoes! No problem, simply gains and gains again ! Trade well!

Josef.
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