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Hedge trading spieler system derived from futures spread trading

  • #1,601
  • Sep 10, 2008 11:09pm Sep 10, 2008 11:09pm
Quoting lietuve
A while ago I asked the same question and even posted charts to make the point. Once you start building up a position, you should keep your own pace with +-%. Let's say August 7th 0% line was at 1.6330. Your position in following days would be built like this:
Long @-.25% 1.6290
Long @-.50% 1.6250
Long @-.75% 1.6210
Long @-1.0% 1.6170

You'd had 4 lots (average price 1.6230). On August 12th high of the price reached up to 1.6240. 4*10-spread= no loss or tiny profit, but now you are all money and can start building on a short side.
That's how I understood it. Doesn't matter what everybody else is doing at the time, once you started building up a position you should do keeping increase or decrease in % from the 0 line you started from.
then you close the position when you are profitable or at least b/e if it is a long trend against you.
There is also a hint, exiting half of the position at 0 line, but to be frank I don't get it. For me - averaging of a price and exiting with profit from average price looks good enough if I were in trouble.
Hi lietuve,

I had the same problem with this. I had some days where I would do well, or would have done well if I had closed all positions then. But then others where I would hold on to them and add to them as I understood the rules and it would just keep going and going against me.

It would be great if there was a clear-cut set of rules for exactly what to do and when to do it.

Maybe I'm not to bright, I don't know, but I have been following this thread from the beginning and I still don't have an exact system to follow that produces consistent results.

I have always heard that if you don't have a system that you can explain to someone else rather simply then you don't really have a system.

There seem to be some people who are profiting from it but I still am not clear.

Hopefully there is some way to make it more easy to know how to trade it instead of being so confusing.

PD
  • #1,602
  • Sep 11, 2008 12:22am Sep 11, 2008 12:22am
Every single day you get a new starting point based on the previous days close. In the example you shared you present it as though all the trades to follow the first one, are anchored to the original entry for the "Following Days". That is not the case. If it happened in a single day then it is correct.

If this isn't clear let me know and I will give it another run.

BR



Quoting lietuve
A while ago I asked the same question and even posted charts to make the point. Once you start building up a position, you should keep your own pace with +-%. Let's say August 7th 0% line was at 1.6330. Your position in following days would be built like this:
Long @-.25% 1.6290
Long @-.50% 1.6250
Long @-.75% 1.6210
Long @-1.0% 1.6170

You'd had 4 lots (average price 1.6230). On August 12th high of the price reached up to 1.6240. 4*10-spread= no loss or tiny profit, but now you are all money and can start building on a short side.
That's how I understood it. Doesn't matter what everybody else is doing at the time, once you started building up a position you should do keeping increase or decrease in % from the 0 line you started from.
then you close the position when you are profitable or at least b/e if it is a long trend against you.
There is also a hint, exiting half of the position at 0 line, but to be frank I don't get it. For me - averaging of a price and exiting with profit from average price looks good enough if I were in trouble.
  • #1,603
  • Sep 11, 2008 12:28am Sep 11, 2008 12:28am
PD,

If you can explain where your stuck or prepare a spreadsheet listing the positions taken for comparison
OR
Another option is to go through the thread for the trading days in question and compare your actions against others to see what is different and why and the focus can be explaining that single trade.

BR


Quoting PistolDave
Hi lietuve,

I had the same problem with this. I had some days where I would do well, or would have done well if I had closed all positions then. But then others where I would hold on to them and add to them as I understood the rules and it would just keep going and going against me.

It would be great if there was a clear-cut set of rules for exactly what to do and when to do it.

Maybe I'm not to bright, I don't know, but I have been following this thread from the beginning and I still don't have an exact system to follow that produces consistent results.

I have always heard that if you don't have a system that you can explain to someone else rather simply then you don't really have a system.

There seem to be some people who are profiting from it but I still am not clear.

Hopefully there is some way to make it more easy to know how to trade it instead of being so confusing.

PD
  • #1,604
  • Edited 12:34am Sep 11, 2008 12:28am | Edited 12:34am
Quoting PistolDave
Hi lietuve,

I had the same problem with this. I had some days where I would do well, or would have done well if I had closed all positions then. But then others where I would hold on to them and add to them as I understood the rules and it would just keep going and going against me.

It would be great if there was a clear-cut set of rules for exactly what to do and when to do it.

Maybe I'm not to bright, I don't know, but I have been following this thread from the beginning and I still don't have an exact system to follow that produces consistent results.

I have always heard that if you don't have a system that you can explain to someone else rather simply then you don't really have a system.

There seem to be some people who are profiting from it but I still am not clear.

Hopefully there is some way to make it more easy to know how to trade it instead of being so confusing.

PD
Hi, PistolDave,
look at the post #911 on page 61 (my question to mr. Spieler) and his response-post #915 on the same page. With the chart everything is so clear - we build a position in levels, like climbing down the stairs, and when thread turns around our way - we unbuild the position taking profits climbing up the stairs. Just look once and you'll see.
No two way trades at the same time. The position should be closed completely and before one would start building another position again from the current 0% level. If the trend moves against you for a long time, you increase increments of % - let's say, after -1.0% you don't go long at -1.25%, but at -1.50%. The further one is from 0 line the bigger increments, but we still should take the trades(lots), because the last ones we accumulate affects averaging of the price of the lot - so the price doesn't have to go back all way where it started for us to be profitable when unloading accumulated lots.
To avoid the confusion with indicator levels, once I start building the position, I don't move the VL line until the position is fuly closed, so I see clearly where I started and where I should exit every single lot. I think moving indicator's VL line while having an open position causes all the confusion - cause a new current levels have nothing to do with the levels I am working with, so for a while the new ones should be just ignored. The current day's new 0% line is for traders that are all cash and are starting to build a new position. Amen.
Cheers,
Lietuve
  • #1,605
  • Edited 1:13am Sep 11, 2008 12:54am | Edited 1:13am
Quoting Big1red9
Every single day you get a new starting point based on the previous days close. In the example you shared you present it as though all the trades to follow the first one, are anchored to the original entry for the "Following Days". That is not the case. If it happened in a single day then it is correct.

If this isn't clear let me know and I will give it another run.

BR
Thank you, BigRed, for offering help, but I think you are mistaken. The position is anchored to the O line where it started. If we close the position (in this case it might be just one lot or two) the same day, then the new starting point stats based on the previous day's close, but when you are already in a trade, you should manage/work position on your terms, even if other guys are taking opposite trades.
Mr. Spieler stated clearly that the position might start anywhere, anytime, we take previous day's close as a point of correlation only 'cause we should start somewhere, other than that, it has no such value. If you'd look at correlation/decorrelation charts, they work the same way - the starting(correlated) bar is the first bar of the chart, you move the chart, and all correlation/decorrelation picture changes dramatically, because such a perfect point doesn't exist. If you would jump back and forth with everyday's open point, your incrementing levels might last forever at +-.25%.
Here is a copy from mr. Spieler's post (PAGE61). Building a position laste from 12/28 till 01/04, and it was built from the same 0%level.

<<28th 12 07 Long 166.21 -0.25 lot 1
28 12 07 long 165.79 -0.25 lot 2
31 12 07 long 165.37 -0.25 lot 3
02nd 01 08 long 164.54 -0.50 lot 4
04 01 08 long 163.71 -0.50%lot 5>>
Also look at my question/chart I mentioned before - the 0 leve and all others are clearly visible on the chart, the position lasted few days never changing o% point, until it was fully closed.
I think it is important to be clear about it, otherwise this point causes a lot of unneccessary confusion and might affect trading.
  • #1,606
  • Sep 11, 2008 1:12am Sep 11, 2008 1:12am
Based on previous reading, a position chart and dialog I have had I believe I am correct. Others might chime in to help.

If yesterdays close was 1.6000 then today I buy my first buy at 1.5960. Assume it closes at 1.5960 then tomorrow my 0 point is 1.5960 and I would buy again when the price dropped to 1.5920. Assuming prices then rose to 1.5960, I sell my position and should prices continue higher I would sell 1/2 of the first position at 1.6000. and close out the trade with the last 1.2 being sold at 1.6040.

We need to keep track of each days trading levels to be used for the trades for that day.
BR

Quoting lietuve
Thank you, BigRed, for offering help, but I think you are mistaken. The position is anchored to the O line where it started. If we close the position (in this case it might be just one lot or two) the same day, then the new starting point stats based on the previous day's close, but when you are already in a trade, you should manage/work position on your terms, even if other guys are taking opposite trades.
Mr. Spieler stated clearly that the position might start anywhere, anytime, we take previous day's close as a point of correlation only 'cause we should start somewhere, other than that, it has no such value. If you'd look at correlation/decorrelation charts, they work the same way - the starting(correlated) bar is the first bar of the chart, you move the chart, and all correlation/decorrelation picture changes dramatically, because such a perfect point doesn't exist. If you would jump back and forth with everyday's open point, your incrementing levels might last forever at +-.25%.
  • #1,607
  • Sep 11, 2008 1:24am Sep 11, 2008 1:24am
Quoting Big1red9
Based on previous reading, a position chart and dialog I have had I believe I am correct. Others might chime in to help.

If yesterdays close was 1.6000 then today I buy my first buy at 1.5960. Assume it closes at 1.5960 then tomorrow my 0 point is 1.5960 and I would buy again when the price dropped to 1.5920. Assuming prices then rose to 1.5960, I sell my position and should prices continue higher I would sell 1/2 of the first position at 1.6000. and close out the trade with the last 1.2 being sold at 1.6040.

We need to keep track of each days trading levels to be used for the trades for that day.
BR
Assume it would not close exactly at the price where you went long? Assume it dropped 200 pips?
Refresh the thread and look how mr. Spieler did it, look at his posts, look at his explanations of my chart.
If he is mistaken, I am glad to be mistaken together with him
Cheers,
Lietuve
  • #1,608
  • Sep 11, 2008 2:38am Sep 11, 2008 2:38am
Quoting PistolDave
Hi lietuve,

I had the same problem with this. I had some days where I would do well, or would have done well if I had closed all positions then. But then others where I would hold on to them and add to them as I understood the rules and it would just keep going and going against me.

It would be great if there was a clear-cut set of rules for exactly what to do and when to do it.

Maybe I'm not to bright, I don't know, but I have been following this thread from the beginning and I still don't have an exact system to follow that produces consistent results.

I have always heard that if you don't have a system that you can explain to someone else rather simply then you don't really have a system.

There seem to be some people who are profiting from it but I still am not clear.

Hopefully there is some way to make it more easy to know how to trade it instead of being so confusing.

PD
Guys-

It’s great that you are putting the effort in with the back testing but none of you are following the rules of the system.

Spieler is away this week so too busy to post and as I have been trading this system live for a while now I am going to try and help out by posting the entries/exits made during the period you are trying to back test following the rules of the system.

Starting from the 7th August.

Lot1 - Entry Long @ 1.6289
Lot2 - Entry Long @ 1.6227
Lot3 - Entry Long @ 1.6158
Exit Lot 3 - @ 1.6198 + 40 pips externalized profit
Lot3 – Re-entry Long @ 1.6118
Exit Lot 3 - @ 1.6158 + 40 pips externalized profit
Lot3 – Re-entry Long @ 1.6115
Exit Lot 3 - @ 1.6145 + 40 pips externalized profit
Lot3 – Re-entry Long @ 1.6045
Exit Lot 3 - @ 1.6105 + 40 pips externalized profit
Lot3 – Re-entry Long @ 1.6012
Lot4 - Entry Long @ 1.5932
Lot5 - Entry Long @ 1.5852
Exit Lot 5 - @ 1.5892 + 40 pips externalized profit
Exit Lot 4 - @ 1.6066 + 134 pips externalized profit
Exit Lot 3 - @ 1.6066 + 54 pips externalized profit
Lot3 – Re-entry Long @ 1.5986
Lot4 – Re-entry Long @ 1.5906
Exit Lot 4 - @ 1.5946 + 40 pips externalized profit
Awaiting re-entry of Lot4 @ 1.5799

During the above period there were many opportunities to close the whole position at a very decent overall profit and start again the next day at zero. This of course is the whole idea of Spieler’s strategy. However, if you decided for some reason not to do that and to continue suffering the DD from the earliest opened lots instead, then above is where you would be right now. Position would still be up over 100 pips.
  • #1,609
  • Sep 11, 2008 2:53am Sep 11, 2008 2:53am
Richard, so you still have the first 3 lots opened?
  • #1,610
  • Sep 11, 2008 3:04am Sep 11, 2008 3:04am
Quoting FXSnipe
Richard, so you still have the first 3 lots opened?
No, exited whole position @ 1.6145.
  • #1,611
  • Sep 11, 2008 3:14am Sep 11, 2008 3:14am
Quoting lietuve
A while ago I asked the same question and even posted charts to make the point. Once you start building up a position, you should keep your own pace with +-%. Let's say August 7th 0% line was at 1.6330. Your position in following days would be built like this:
Long @-.25% 1.6290
Long @-.50% 1.6250
Long @-.75% 1.6210
Long @-1.0% 1.6170

You'd had 4 lots (average price 1.6230). On August 12th high of the price reached up to 1.6240. 4*10-spread= no loss or tiny profit, but now you are all money and can start building on a short side.
That's how I understood it. Doesn't matter what everybody else is doing at the time, once you started building up a position you should do keeping increase or decrease in % from the 0 line you started from.
then you close the position when you are profitable or at least b/e if it is a long trend against you.
There is also a hint, exiting half of the position at 0 line, but to be frank I don't get it. For me - averaging of a price and exiting with profit from average price looks good enough if I were in trouble.
Hi lietuve,

thank you for your answer. It looks like this topic is not yet clear.
I have backtested that 7th aug trade on a 4h candle close basis and ended up with five positions. The result of it is still in minus when closing the entire trade at the last chance on 22nd aug, when price came back to the 3rd entry point.

(I have to admit that I did not multiply usdchf pips with 1,5 because I trade differently. I make sure when I enter a trade, that every pips is worth the same. On oanda you can do that.)

Regards


PS: I just realized that Richard has posted. Thank you for the example. I will follow it up and hopefully get the rules down.
Attached Image (click to enlarge)
Click to Enlarge Name: 7 aug trade.jpg Size: 46 KB
  • #1,612
  • Sep 11, 2008 3:20am Sep 11, 2008 3:20am
Richard, am i confused here. I understand spieler's system but what do your Lot1, lot 2 or lot 3 represent?

My understanding of your post s this:

You entered 3 lots at differnt levels, exited the 3rd lot at 1.6198, enentred the 3rd lot and exitd at 1.6145. You do not mention anything regarding the first two lots
  • #1,613
  • Sep 11, 2008 3:39am Sep 11, 2008 3:39am
Quoting FXSnipe
Richard, am i confused here. I understand spieler's system but what do your Lot1, lot 2 or lot 3 represent?

My understanding of your post s this:

You entered 3 lots at differnt levels, exited the 3rd lot at 1.6198, enentred the 3rd lot and exitd at 1.6145. You do not mention anything regarding the first two lots
FXSnipe-

When you start to build a position, by opening Lot1, any additional Lots entered in the same direction are all counted as being in one single position. Differant Lots are not differant positions but instead all part of one whole position. That position is only finished once you have closed all of the differant lots, after which you start again to build another position.

When the price breaks out of range and trends for a bit it is quite probable that it may never return to the entry point of your first opened Lots. So the idea is to work the position by entering and exiting additional Lots at differant levels until you have enough profits (spieler calls these externalised profits)to close the position in profit. Earlier Lots closed at a loss but position still profitable.
  • #1,614
  • Sep 11, 2008 3:44am Sep 11, 2008 3:44am
Quoting ashes
Hi lietuve,

thank you for your answer. It looks like this topic is not yet clear.
I have backtested that 7th aug trade on a 4h candle close basis and ended up with five positions. The result of it is still in minus when closing the entire trade at the last chance on 22nd aug, when price came back to the 3rd entry point.

(I have to admit that I did not multiply usdchf pips with 1,5 because I trade differently. I make sure when I enter a trade, that every pips is worth the same. On oanda you can do that.)

Regards


PS: I just realized that Richard has posted. Thank you for the example. I will follow it up and hopefully get the rules down.
ashes-

The 4 hour chart is not good with this system because some entries/ exits will be missed.
  • #1,615
  • Sep 11, 2008 3:53am Sep 11, 2008 3:53am
Quoting Richard
ashes-

The 4 hour chart is not good with this system because some entries/ exits will be missed.
Hi Richard,

I have realized that, but think I may have to sacrifice a few entries/exits in order to have a life while trading, that's why I backtest on 4h. Actually my live trading has always been on 1h.

Regards
  • #1,616
  • Sep 11, 2008 4:17am Sep 11, 2008 4:17am
[quote=Richard;2213037]Guys-

It’s great that you are putting the effort in with the back testing but none of you are following the rules of the system.

Spieler is away this week so too busy to post and as I have been trading this system live for a while now I am going to try and help out by posting the entries/exits made during the period you are trying to back test following the rules of the system.

I was not trying to backtest anything, just gave Ashes approximation what it would be with those first lots from August 7th, if he would follow an uncomplicated and simple logic of this system. He would have bee either GE or at insignificant loss; Now look what you are proposing:

Starting from the 7th August.

Lot1 - Entry Long @ 1.6289
Lot2 - Entry Long @ 1.6227

1,6289+1.6227=3.2516/2=1.6258
Exit @1.6145; 1.6258-1.6145=113*2=226 pips (Who is talking about huge drawdowns?)

Lot3 – Re-entry Long @ 1.6115
Exit Lot 3 - @ 1.6145 + 40 pips externalized profit

1.6145-1.6115=30

I didn't back tested just checked your logic - because


During the above period there were many opportunities to close the whole position at a very decent overall profit and start again the next day at zero. This of course is the whole idea of Spieler’s strategy. However, if you decided for some reason not to do that and to continue suffering the DD from the earliest opened lots instead, then above is where you would be right now.

I believe you are forgettin one more important thing, Richard. You are talking patronizing tone with mature individuals here who trade their own money.

BTW I didn't have any drawdowns, and I don't know if Ashes had them, he was just asking a question, so... who lost 226 pips?

Cheers.
Lietuve



  • #1,617
  • Sep 11, 2008 4:27am Sep 11, 2008 4:27am
Richard is just trying to help, nothing else.
Regards
  • #1,618
  • Sep 11, 2008 4:39am Sep 11, 2008 4:39am
Quoting howard
Richard is just trying to help, nothing else.
I understand that, I also understand that in spite of many questions that he asked while learning, he still makes mistakes. Whoever lost 1st trades from August 7th, they did it not because they choose to do it, but, just like him, were not experienced enough to exit on time, or to average on time.
I would say that for the sake of the thread some constructive criticizm would be more welcome.
I also think, it would be helpful if at the begining of the day somebody would post a chart with levels and later some comments could be added, then really we could follow each other advice how and when is better to enter the trade. There are many discretionary things in this system, it is not mechanical at all.
Good trading day to all.
  • #1,619
  • Edited 5:09am Sep 11, 2008 4:54am | Edited 5:09am
Hello Richard,

copied your table to make things clearer to me.

And I tried to relate it to a table earier posted


1lot -0.25( or +0.25 of course) – Exit half at 0.00, other half close to +0.25
lot 2 -0.25 – Exit on 0.25 pb/ re-enter at -0.50 from previous exit
lot 3 -0.25 – Exit on 0.25 pb/ re-enter at -0.50 from previous exit
lot 4 -0.50 exit 0.25 pull back (pb) - re-enter at -0.50 from previous exit
Note: If first 4 entries in and no pullback then delay lot 5 until -1.0 not -0.50
Exit on -0.50 not -0.25and re-enter on -1.0 from previous exit
lot 5 -0.50 exit 0.25pb – re-enter at -0.50 from previous exit
lot 6 -1 exit 0.50 pb – re-enter at -1.00 from previous exit
lot 7 -1 exit 0.50 pb – re-enter at -1.00 from previous exit
lot 8 -2 exit 1 pb – re-enter at -2.00 from previous exit
lot 9 -2 exit 1 pb – re-enter at -2.00 from previous exit
lot10 -3% double lots exit 2pb -– No re-entry, just hold until pb


I have wrote down the distances each position would have to the other

Lot1 – entry long @1,6289 ---40 pips dist
Lot2 – entry long @1,6227 ---62 pips dist
Lot3 – entry long @1,6158 ---69 pips dist
Exit Lot3 @1,6198 +40 pips externalized profit ---40 pips dist
Lot3 – reentry long - @ 1,6118 ---80 pips dist
Exit Lot3 @1,6158 +40 pips externalized profit ---40 pips dist
Lot 3 – reentry long - @ 1,6115 ---43 pips dist
Exit Lot3 @1,6145 +40 pips ex profit ---30 pips dist
Lot 3 – reentry long @1,6045 ---100 pips dist
Exit Lot3 @1,6105 +40 pips ex profit ---40 pips dist
Lot 3 – reentry long @1,6012 ---93 pips dist
Lot 4 – entry long @1,5932 ---173 pips dist
Lot5 – entry long @1,5852 ---253 pips dist
Exit Lot 5 - @1,5892 +40 pips ex profit ---40 pips dist
Exit Lot 4 - @1,6066 +134 pips ex profit ---134 pips dist
Exit Lot 3 - @1,6066 +54 pips ex profit ---54 pips dist
Lot 3 – reentry long @1,5986 ---80 pips dist
Lot4 – reentry long @1,5906 ---160 pips dist
Exit Lot 4 - @1,5946 +40 pips ex profit ---40 pips dist
Awaiting re-entry of Lot 4 @ 1,5799 ---147 pips dist

it appears as if things slowly unfold infront of my eyes.

Why would you have entered the second and third postion in a distance of about 60 pips to the first and not 40 pips, as a 0,25% step are 40 pips?
Why do some distances vary so much and others appear to be in the 40,80 steps

Edit:
If I would have started a trade on 7th august, would all my positions during this trade relate to the price value of 7th aug 0:00 and the resulting levels?

Thank you for your effort

Regards
  • #1,620
  • Sep 11, 2008 4:56am Sep 11, 2008 4:56am
Quoting Richard
FXSnipe-

When you start to build a position, by opening Lot1, any additional Lots entered in the same direction are all counted as being in one single position. Differant Lots are not differant positions but instead all part of one whole position. That position is only finished once you have closed all of the differant lots, after which you start again to build another position.

When the price breaks out of range and trends for a bit it is quite probable that it may never return to the entry point of your first opened Lots. So the idea is to work the position by entering and exiting additional Lots at differant levels until you have enough profits (spieler calls these externalised profits)to close the position in profit. Earlier Lots closed at a loss but position still profitable.

I agree with your explanation here i just dion't see the logic of your earlier post. Lot 1 to me will represent (1 uerusd and 1.5 usdchf) and when you add lot 2 or lot 3 you are trying to average or "work" the position. I don't mean to start an unfruitful argument but I alwasy read psots here to make sure I understand spielr's system to the last degree. I couldn't have figured out where you exited lot 1 and lot 2 profit or loss of the total position?
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