Hedge trading spieler system derived from futures spread trading | Page 45 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Volume for indices, tick and the exchange derived volume 4 replies

Are quotes for minor pairs real or just derived from majors? 0 replies

Oanda spread versus MB Trading spread 27 replies

HOW TO PLOT derived cross 0 replies

Derived Currency Strength Indicator from multiple pairs 0 replies

Attachments: Hedge trading spieler system derived from futures spread trading
Exit Attachments

Hedge trading spieler system derived from futures spread trading

  • #881
  • Aug 4, 2008 5:25am Aug 4, 2008 5:25am
Quoting PipStar
1. I am looking at the 1 hour chart of EUR/CHF with Spielershedge EA set on 2 tradestations the first one with server time of GMT and the second tradestation with server time of GMT + 2. The GMT server chart shows reading of 0.00 % and the GMT + 2 chart shows reading of -0.05%. So it makes a difference for entry. So the question is which server time are we supposed to use?

2.Regarding spielershedge EA again, if we hold position from previous day, do we change the shift days reference in the EA to 2 instead of 1 to take into account the 2 days?

Is there someone that can answer these questions? Thanks.
PipStar-

1. You should always use server time GMT=0

2. I don't use the EA but I think for next day just set shift days ref to 2.
  • #882
  • Aug 4, 2008 5:33am Aug 4, 2008 5:33am
Guys-

I think another important thing to notice is the way spieler often closes half his position when he externalizes profit on a 0.25 pull back. By exiting his last position to take profit AND also halving his exiting lot size at that level he lightens the load and increases his buying power in case price carries on to make a bigger trending move.

This is all part of his excellent MM and I am hoping he will soon expand a little on that.
  • #883
  • Edited 7:43am Aug 4, 2008 5:36am | Edited 7:43am
The 0.25/0.25/0.25/0.50 rule is for intraday only and dont forhet it could be 0.25/0.30/.... if speed is fast.

When you are ON the second lot should start at 0.25% compared to the close of the previous day if we closed aboye your entry point and 0.25% more than your entry point if we closed under . This from a conservative trading.

I agree i did differently coupel of days ago but was for 2 reasons
1) we had few trades these lasting weeks so i wanted to make more
2) we looked to be at the high of a trend so seems less risky to wait less.
But if i had wait the real entry point which was 163.70 i would have make a big profit.

the market seems in range these days ( typical of a august month) so dont be surprised by the few number of trades usually it is a lot more so more profits in term of %

I dont put half a lot to start as suggested because i never know if i will be wrong or not on this lot and as i am well capitalised and dont use too much leverage thas fine like that .
  • #884
  • Aug 4, 2008 9:57am Aug 4, 2008 9:57am
I don´t understand why do you use 1,5 lots for USDCHF and 1 lot for EURUSD
  • #885
  • Aug 4, 2008 10:04am Aug 4, 2008 10:04am
Quoting neurus
I don´t understand why do you use 1,5 lots for USDCHF and 1 lot for EURUSD
If you read the thread from start you can understand why.
  • #886
  • Aug 4, 2008 11:37am Aug 4, 2008 11:37am
Spieler-

I really like your system so I wanted to really test it by finding a nightmare type situation (huge very strong trend) to see how it coped. The worst situation I could find is the down trend that started on the 28th Dec last year at around 1.6600 and reached a low of 1.5326 on the 17th March this year. See attached chart snapshot. This trend also had very few pull backs making it even more nightmarish. I figured if your system could cope with this it can probably cope with anything. Anyway I have back tested it using 15 min bars (not as good as 5 min I know but pretty accurate) and also, to keep it simple, I have not allowed for any spread/ swap fees in my calculations. I have used the rules of the system as I currently understand them but have not allowed for the speed of the market when making entries. Also I am using data from ibfx MT4 platform, the accuracy of which should be alright but not perfect I am sure. OK, I calculate that entries to build position would be made as follows:-

1st Entry 28/12/07 @1.6625 At -0.25% Interday move of -0.25
2nd Entry 28/12/07 @1.6575 At -0.50% Interday move of -0.25
3rd Entry 31/12/07 @1.6535 At -0.75% Interday move of -0.25
4th Entry 02/01/08 @1.6455 At -1.25% Entered -0.50 from 3rd entry
5th Entry 04/01/08 @1.6375 At -1.75% Entered -0.50 from 4th entry
Exit 5th Entry 07/01/08 @1.6415 At -1.50% Pull back of 0.25
In again on 5th 10/01/08 @1.6325 At - 2.25% -0.50 from last exited entry
6th Entry 15/01/08 @1.6165 At - 3.25% Entered -1.00 from 5th entry
7th Entry 21/01/08 @1.6005 At - 4.25% Entered –1.00 from 6th entry
8th Entry 23/01/08 @1.5845 At - 5.25% Entered –1.00 from 7th entry
Exit 8th Entry 23/01/08 @1.5825 At -4.75% Pull back of 0.50
Exit 7th Entry 25/01/08 @1.6085 At -3.75% Pull back of 0.50
In again on 7th 29/02/08 @1.5925 At - 4.75% -0.50 from last exited entry
In again on 8th 02/03/08 @1.5765 At - 5.75% -0.50 from last exited entry
Exit 8th Entry 03/03/08 @1.5845 At -5.25% Pull back of 0.50
In again on 8th 16/03/08 @1.5685 At - 6.25% -0.50 from last exited entry
9th Entry 16/03/08 @1.5525 At - 7.25% Entered –1.00 from 8th entry
Exit 9th Entry 18/03/08 @1.5605 At -6.75% Pull back of 0.50
Exit 8th Entry 24/03/08 @1.5765 At -5.75% Pull back of 0.50
Exit 7th Entry 17/04/08 @1.6005 At -4.25% Pull back of 0.50
Exit 6th Entry 24/04/08 @1.6245 At -2.75% Pull back of 0.50
In again on 6th 09/05/08 @1.6085 At - 3.75% -0.50 from last exited entry
Exit 6th Entry 12/05/08 @1.6165 At -3.25% Pull back of 0.50
In again on 6th 01/07/08 @1.6005 At - 4.25% -0.50 from last exited entry
Exit 6th Entry 01/07/08 @1.6085 At -3.75% Pull back of 0.50
1st, 2nd, 3rd, 4th and 5th entries still open as of 04/08/08.

Total profit externalized on pullbacks = +760 pips
Current drawdown from still open positions = -670 pips
Max drawdown from 1st Entry to low = Over 8,000 pips !

Well, I know I have obviously gone wrong somewhere big time with this back test. Allowing for the speed of the market may off delayed some of the entries a little and also prior to the start of this downtrend there was a small uptrend so the first long entry would probably have been delayed until maybe 1.6500. Still, even allowing for these points I must be totally misunderstanding something regarding the timing of the entries/ exits.

Spieler please advise where the problems are before I go bankrupt!. Thanks.

  • #887
  • Aug 4, 2008 12:26pm Aug 4, 2008 12:26pm
Richard,

I will explain tomorrow why your figures are not accurate
Going to bed now .

Typical august range day today, that is not the last of the month unfortunatly
  • #888
  • Aug 4, 2008 3:46pm Aug 4, 2008 3:46pm
Quoting spieler
Richard,

I will explain tomorrow why your figures are not accurate
Going to bed now .

Typical august range day today, that is not the last of the month unfortunatly
Sleep well, Lord Bless.
  • #889
  • Aug 5, 2008 12:20am Aug 5, 2008 12:20am
Quoting Richard
Spieler-

I really like your system so I wanted to really test it by finding a nightmare type situation (huge very strong trend) to see how it coped. The worst situation I could find is the down trend that started on the 28th Dec last year at around 1.6600 and reached a low of 1.5326 on the 17th March this year. See attached chart snapshot. This trend also had very few pull backs making it even more nightmarish. I figured if your system could cope with this it can probably cope with anything. Anyway I have back tested it using 15 min bars (not as good as 5 min I know but pretty accurate) and also, to keep it simple, I have not allowed for any spread/ swap fees in my calculations. I have used the rules of the system as I currently understand them but have not allowed for the speed of the market when making entries. Also I am using data from ibfx MT4 platform, the accuracy of which should be alright but not perfect I am sure. OK, I calculate that entries to build position would be made as follows:-

1st Entry 28/12/07 @1.6625 At -0.25% Interday move of -0.25
2nd Entry 28/12/07 @1.6575 At -0.50% Interday move of -0.25
3rd Entry 31/12/07 @1.6535 At -0.75% Interday move of -0.25
4th Entry 02/01/08 @1.6455 At -1.25% Entered -0.50 from 3rd entry
5th Entry 04/01/08 @1.6375 At -1.75% Entered -0.50 from 4th entry
Exit 5th Entry 07/01/08 @1.6415 At -1.50% Pull back of 0.25
In again on 5th 10/01/08 @1.6325 At - 2.25% -0.50 from last exited entry
6th Entry 15/01/08 @1.6165 At - 3.25% Entered -1.00 from 5th entry
7th Entry 21/01/08 @1.6005 At - 4.25% Entered –1.00 from 6th entry
8th Entry 23/01/08 @1.5845 At - 5.25% Entered –1.00 from 7th entry
Exit 8th Entry 23/01/08 @1.5825 At -4.75% Pull back of 0.50
Exit 7th Entry 25/01/08 @1.6085 At -3.75% Pull back of 0.50
In again on 7th 29/02/08 @1.5925 At - 4.75% -0.50 from last exited entry
In again on 8th 02/03/08 @1.5765 At - 5.75% -0.50 from last exited entry
Exit 8th Entry 03/03/08 @1.5845 At -5.25% Pull back of 0.50
In again on 8th 16/03/08 @1.5685 At - 6.25% -0.50 from last exited entry
9th Entry 16/03/08 @1.5525 At - 7.25% Entered –1.00 from 8th entry
Exit 9th Entry 18/03/08 @1.5605 At -6.75% Pull back of 0.50
Exit 8th Entry 24/03/08 @1.5765 At -5.75% Pull back of 0.50
Exit 7th Entry 17/04/08 @1.6005 At -4.25% Pull back of 0.50
Exit 6th Entry 24/04/08 @1.6245 At -2.75% Pull back of 0.50
In again on 6th 09/05/08 @1.6085 At - 3.75% -0.50 from last exited entry
Exit 6th Entry 12/05/08 @1.6165 At -3.25% Pull back of 0.50
In again on 6th 01/07/08 @1.6005 At - 4.25% -0.50 from last exited entry
Exit 6th Entry 01/07/08 @1.6085 At -3.75% Pull back of 0.50
1st, 2nd, 3rd, 4th and 5th entries still open as of 04/08/08.

Total profit externalized on pullbacks = +760 pips
Current drawdown from still open positions = -670 pips
Max drawdown from 1st Entry to low = Over 8,000 pips !

Well, I know I have obviously gone wrong somewhere big time with this back test. Allowing for the speed of the market may off delayed some of the entries a little and also prior to the start of this downtrend there was a small uptrend so the first long entry would probably have been delayed until maybe 1.6500. Still, even allowing for these points I must be totally misunderstanding something regarding the timing of the entries/ exits.

Spieler please advise where the problems are before I go bankrupt!. Thanks.


Hello. Richard! I must say I truly appreciate your effort in doing this backtest, and I was wondering if you also verified in the same period of time the behavior of the EUR/USD and USD/CHF?
A good trade is when I Break Even. A great trade is when I Take Profit.
  • #890
  • Aug 5, 2008 1:18am Aug 5, 2008 1:18am
Quoting Cornelius
Hello. Richard! I must say I truly appreciate your effort in doing this backtest, and I was wondering if you also verified in the same period of time the behavior of the EUR/USD and USD/CHF?
Cornelius-

Yes, I did look at how the hedge was moving in relation to EUR/CHF. I use an indicator which plots the movement of the hedge itself, a screenshot of it is in my Post 55. The correlation between the hedge and EUR/CHF is 86% so results of any back testing will be the same.
  • #891
  • Aug 5, 2008 5:13am Aug 5, 2008 5:13am
Quoting Richard
Spieler-

I really like your system so I wanted to really test it by finding a nightmare type situation (huge very strong trend) to see how it coped. The worst situation I could find is the down trend that started on the 28th Dec last year at around 1.6600 and reached a low of 1.5326 on the 17th March this year. See attached chart snapshot. This trend also had very few pull backs making it even more nightmarish. I figured if your system could cope with this it can probably cope with anything. Anyway I have back tested it using 15 min bars (not as good as 5 min I know but pretty accurate) and also, to keep it simple, I have not allowed for any spread/ swap fees in my calculations. I have used the rules of the system as I currently understand them but have not allowed for the speed of the market when making entries. Also I am using data from ibfx MT4 platform, the accuracy of which should be alright but not perfect I am sure. OK, I calculate that entries to build position would be made as follows:-

1st Entry 28/12/07 @1.6625 At -0.25% Interday move of -0.25
2nd Entry 28/12/07 @1.6575 At -0.50% Interday move of -0.25
3rd Entry 31/12/07 @1.6535 At -0.75% Interday move of -0.25
4th Entry 02/01/08 @1.6455 At -1.25% Entered -0.50 from 3rd entry
5th Entry 04/01/08 @1.6375 At -1.75% Entered -0.50 from 4th entry
Exit 5th Entry 07/01/08 @1.6415 At -1.50% Pull back of 0.25
In again on 5th 10/01/08 @1.6325 At - 2.25% -0.50 from last exited entry
6th Entry 15/01/08 @1.6165 At - 3.25% Entered -1.00 from 5th entry
7th Entry 21/01/08 @1.6005 At - 4.25% Entered –1.00 from 6th entry
8th Entry 23/01/08 @1.5845 At - 5.25% Entered –1.00 from 7th entry
Exit 8th Entry 23/01/08 @1.5825 At -4.75% Pull back of 0.50
Exit 7th Entry 25/01/08 @1.6085 At -3.75% Pull back of 0.50
In again on 7th 29/02/08 @1.5925 At - 4.75% -0.50 from last exited entry
In again on 8th 02/03/08 @1.5765 At - 5.75% -0.50 from last exited entry
Exit 8th Entry 03/03/08 @1.5845 At -5.25% Pull back of 0.50
In again on 8th 16/03/08 @1.5685 At - 6.25% -0.50 from last exited entry
9th Entry 16/03/08 @1.5525 At - 7.25% Entered –1.00 from 8th entry
Exit 9th Entry 18/03/08 @1.5605 At -6.75% Pull back of 0.50
Exit 8th Entry 24/03/08 @1.5765 At -5.75% Pull back of 0.50
Exit 7th Entry 17/04/08 @1.6005 At -4.25% Pull back of 0.50
Exit 6th Entry 24/04/08 @1.6245 At -2.75% Pull back of 0.50
In again on 6th 09/05/08 @1.6085 At - 3.75% -0.50 from last exited entry
Exit 6th Entry 12/05/08 @1.6165 At -3.25% Pull back of 0.50
In again on 6th 01/07/08 @1.6005 At - 4.25% -0.50 from last exited entry
Exit 6th Entry 01/07/08 @1.6085 At -3.75% Pull back of 0.50

1st, 2nd, 3rd, 4th and 5th entries still open as of 04/08/08.

Total profit externalized on pullbacks = +760 pips
Current drawdown from still open positions = -670 pips
Max drawdown from 1st Entry to low = Over 8,000 pips !

Well, I know I have obviously gone wrong somewhere big time with this back test. Allowing for the speed of the market may off delayed some of the entries a little and also prior to the start of this downtrend there was a small uptrend so the first long entry would probably have been delayed until maybe 1.6500. Still, even allowing for these points I must be totally misunderstanding something regarding the timing of the entries/ exits.

Spieler please advise where the problems are before I go bankrupt!. Thanks.

Hi Richard,

Thanks for the extraction, just slendid. These example really show how the system works although may not be Spieler actual.

Looking at this figures, the MM really an important issues. If not handle with care, the account can easily burn offs. Unlike others, I can only invest with limited capital. How can tiny me can pull thru ... during the massive decorrelation ... Kinda scary... I'm even calculating the MM from micro acct rather than mini acct. But overally, I'm digesting the system now.
Banker please return my pipins.
  • #892
  • Aug 5, 2008 6:09am Aug 5, 2008 6:09am
I was out today just back.

Will answer later but there is a trick to survive when you have this kindda trend.

Anyway you should add the swap interest in your period you will see that it is huge with 7 months with a long position...........

Am still short half a lot and market still sleeping
August has never bee a nice month
  • #893
  • Aug 5, 2008 6:11am Aug 5, 2008 6:11am
Quoting spieler
I was out today just back.

Will answer later but there is a trick to survive when you have this kindda trend.

Anyway you should add the swap interest in your period you will see that it is huge with 7 months with a long position...........

Am still short half a lot and market still sleeping
August has never bee a nice month

Hi Spieler, good to have you back. Looking forward to learning about the trick
  • #894
  • Aug 5, 2008 6:19am Aug 5, 2008 6:19am
Quoting spieler
I was out today just back.

Will answer later but there is a trick to survive when you have this kindda trend.

Anyway you should add the swap interest in your period you will see that it is huge with 7 months with a long position...........

Am still short half a lot and market still sleeping
August has never bee a nice month
spieler-

I did not want to add swap interest because I figured this big trend situation could easily by reversed one day and then we would be caught in many open short positions meaning big loss on negative swaps.

Also looking forward to learning survival tips
  • #895
  • Aug 5, 2008 6:33am Aug 5, 2008 6:33am
Richard
when i am building a short position because of the negative swap i have a rule i will explain with the one i will give on your long exemple .
So you should take into account the interest because they have a role to play.
  • #896
  • Aug 5, 2008 6:36am Aug 5, 2008 6:36am
Hi Spieler, welcome back !
I think I had to change broker to trade properly your system since they get negative swap on both long/short for USDCHF
Waiting for some move here too, I'm still short with remaining lot

Cheers,
Skyline
  • #897
  • Aug 5, 2008 8:59am Aug 5, 2008 8:59am
Quoting spieler
Richard
when i am building a short position because of the negative swap i have a rule i will explain with the one i will give on your long exemple .
So you should take into account the interest because they have a role to play.
spieler-

Any extra rules and tips relating to how we should be trading your system will be much appreciated.

Also I did ask the question earlier, do you use the same lot size for every entry used to build a position?
  • #898
  • Aug 5, 2008 9:16am Aug 5, 2008 9:16am
Hi,
This is my unpretentious contribution to this thread...
First a PDF file (Hedge trading SPIELER.pdf) available for download at this URL : http://www.divshare.com/download/5103727-84e

and second a ZIP file (Spieler_Hedge_Indicators.zip) which contains the full and up-to-date set of indicators, EA, templates published in this thread available for download at this URL : http://www.divshare.com/download/5103726-107

The PDF file represents the whole thread (with some personal housekeeping) till the p59 / # 883 Spieler’s post and it’s 99 pages long.
I hope this will help....Let me know (if you please).

Good reading and good trades.

BBF

Spieler was informed and he very kindly (thanks a lot) gave me his agreement.
BigBlackfeet Always on the(forex) war path !
  • #899
  • Aug 5, 2008 11:34am Aug 5, 2008 11:34am
Quoting spieler
Richard
when i am building a short position because of the negative swap i have a rule i will explain with the one i will give on your long exemple .
So you should take into account the interest because they have a role to play.
Spieler-
In some reply of treath some one ask for a good money managment mode.
Im so sorry Ihave not idea how it´s (MM) work in your HEDGING System I really apreciate if you can explain it more. because if i have a couple of position one in EU an the other in UC if the decorelation goes to estrong margin call is very dangerous.
the concrete question have to be How many lots have to be each position in a 10K Account?
Thanks a lot


Sorry extranger English.
  • #900
  • Aug 5, 2008 2:00pm Aug 5, 2008 2:00pm
Quoting BLACKFEET
Hi,
This is my unpretentious contribution to this thread...
First a PDF file (Hedge trading SPIELER.pdf) available for download at this URL : http://www.divshare.com/download/5103727-84e

and second a ZIP file (Spieler_Hedge_Indicators.zip) which contains the full and up-to-date set of indicators, EA, templates published in this thread available for download at this URL : http://www.divshare.com/download/5103726-107

The PDF file represents the whole thread (with some personal housekeeping) till the p59 / # 883 Spieler’s post and it’s 99 pages long.
I hope this will help....Let me know (if you please).

Good reading and good trades.

BBF

Spieler was informed and he very kindly (thanks a lot) gave me his agreement.

Thanks a lot for your work, BLACKFEET! That is a nice summary.
0 traders viewing now