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Hedge trading spieler system derived from futures spread trading

  • #1,781
  • Sep 23, 2008 10:48am Sep 23, 2008 10:48am
Quoting Archie
I would really appreciate help with the issue posted some posts back.

Perhaps this is a newbie question, but I have read scanned through the thread and I can't find the answer anywhere. I have some problems getting the EA to work properly.

1) Which chart and timeframe should I use?
2) Any indicator?

I set it up with the divergence indicator on EUR/CHF, but I got the following error messages

"Symbol name for marketinfo must be a string"
"Symbol name for ordersend function must be a string"

I don't know what is wrong, help would be very appreciated.


hi,
sorry but I dont't think you would be able to trade this system with an EA as it does require some discretion.
Maybe there was an EA posted earlier but it hasn't been discussed here at all lately and the ones following this system now are doing it manually I guess
  • #1,782
  • Sep 23, 2008 4:28pm Sep 23, 2008 4:28pm
Quoting Archie
I would really appreciate help with the issue posted some posts back.

Perhaps this is a newbie question, but I have read scanned through the thread and I can't find the answer anywhere. I have some problems getting the EA to work properly.

1) Which chart and timeframe should I use?
2) Any indicator?

I set it up with the divergence indicator on EUR/CHF, but I got the following error messages

"Symbol name for marketinfo must be a string"
"Symbol name for ordersend function must be a string"

I don't know what is wrong, help would be very appreciated.

No indicator really needed. Look in the attachments for CrossHedgeCalc.xls. Time frame doesn't really matter, read the first post.
  • #1,783
  • Sep 23, 2008 8:38pm Sep 23, 2008 8:38pm
Quoting Big1red9
Did you trade USDCHF at about 1.5 X EURUSD?

Did you use the .25% for the day the position was traded....and not the current day?

BR
Yep, well actually 1.4 but its always worked before. I even let it run to a 50 pip move in the right direction and was only breaking even. The only thing I can think of is that I don't have the right figure for my entry point as I took it at 2 am my time on the way to the little boys room.
  • #1,784
  • Sep 23, 2008 8:51pm Sep 23, 2008 8:51pm
Strange - if you had the trade isolated I could compare it to my work. I have not seen anything like that in something like a 50 pip move.
BR

Quoting mackus
Yep, well actually 1.4 but its always worked before. I even let it run to a 50 pip move in the right direction and was only breaking even. The only thing I can think of is that I don't have the right figure for my entry point as I took it at 2 am my time on the way to the little boys room.
  • #1,785
  • Sep 24, 2008 4:03am Sep 24, 2008 4:03am
I have been very busy this month .....counting my profits

THis is one of my best month ever i love volatility i can press a little bit more.

I am waiting so far +0,25% to start a new short position.
We had a lot of intraday profit trades this days, it is good for our account increasing day after day.
  • #1,786
  • Sep 24, 2008 4:05am Sep 24, 2008 4:05am
Hi, could someone please explain how the correlation/decorrelation is pictured in this method? I can't find a post explaning this.

If the price for EURCHF goes down by 0.25%, does this mean that the deviation between EURUSD/USDCHF is also 0.25%?

I'm not sure I understand how the daily open would be the one thing to follow instead of a continuous "rolling" ratio between the two traded pairs. Is this actually the decorrelation between the pairs, or are you looking at another type of decorrelation, than the deviation between the ratio of the pairs?

In "normal" pair trading, the ratio between the two pairs is calculated as a formula between the prices of the traded paris. How is this method different from the "normal" way?

It seems like this method is based on heavy money management, I see this as a problem for novice traders looking to "get rich quick". Hope you are all playing safe.

Also, is there someone who is good with backtesting that would be interested in trying some money management ideas I have and comparing to what you are currently using?

Thanks.
  • #1,787
  • Sep 24, 2008 4:09am Sep 24, 2008 4:09am
Couldn't agree more with you!
[Waiting to short also @ 1.5975]
Below you find the current levels for your interest.

1.00%0.01591.6094
0.85%0.01351.6070
0.75%0.01201.6055
0.65%0.01041.6039
0.55%0.00881.6023
0.50%0.00801.6015
0.45%0.00721.6007
0.35%0.00561.5991
0.25%0.00401.5975
0.20%0.00321.5967

Close EUR-CHF1.5935

0.20%-0.00321.5903
0.25%-0.00401.5895
0.35%-0.00561.5879
0.45%-0.00721.5863
0.50%-0.00801.5855
0.55%-0.00881.5847
0.65%-0.01041.5831
0.75%-0.01201.5815
0.85%-0.01351.5800
1.00%-0.01591.5776
  • #1,788
  • Sep 24, 2008 4:43am Sep 24, 2008 4:43am
"If the price for EURCHF goes down by 0.25%, does this mean that the deviation between EURUSD/USDCHF is also 0.25%?

yes

I'm not sure I understand how the daily open would be the one thing to follow instead of a continuous "rolling" ratio between the two traded pairs. Is this actually the decorrelation between the pairs, or are you looking at another type of decorrelation, than the deviation between the ratio of the pairs?

because barycentre is sometime mooving and then staying at a new place so that correlation of last month is not anymore efficient. Starting fresh everyday , of course keeping an eye of last days specialy if we get a directional rally, avoids this problem.

In "normal" pair trading, the ratio between the two pairs is calculated as a formula between the prices of the traded paris. How is this method different from the "normal" way?

Same here formula is in place to neutralise the usd position

It seems like this method is based on heavy money management, I see this as a problem for novice traders looking to "get rich quick". Hope you are all playing safe."

Not heavy but sound

100% of the systems worth nothing without a sound mm
  • #1,789
  • Sep 24, 2008 5:01am Sep 24, 2008 5:01am
Hi Spieler,

Nice to see you back.

Will you in the coming weeks maybe elaborate more about the one leg thing?

(I think you promised Richard few weeks/days ago..)

I took a seel position yesterday at around +0,25%, I entered the first leg and then I had a internet connection problem and I took my other leg few minutes later.

Thanks only to luck I could see that my hedge was very very positive because my first position went in the 'right' direction...

So I felt by total luck the power of knowing which leg to enter first and then let it run a little before entering the second leg...

I bet you can do the same for the exit...

Nice to have you back
A bientot
BD
  • #1,790
  • Sep 24, 2008 5:32am Sep 24, 2008 5:32am
Spieler, welcome back. We hope you stay a while. Nice thing you have going here. I've been running this on a demo for a week now with good results. I'll be looking forward to your thoughts from here on in. And don't apologize for counting your profits.

Thanks again for a introducing us to a promising system.
  • #1,791
  • Sep 24, 2008 5:41am Sep 24, 2008 5:41am
Quoting Big1red9
Strange - if you had the trade isolated I could compare it to my work. I have not seen anything like that in something like a 50 pip move.
BR
Opened short at 2:57 AM EDT (7:57 AM GMT) 9/19/2008.
6 mini lots @ EUR/USD 1.4247
8 mini lots @ USD/CHF 1.1171
  • #1,792
  • Edited Sep 25, 2008 4:45am Sep 24, 2008 10:11am | Edited Sep 25, 2008 4:45am
it is a quiet day...

I was not able to pull the trigger yet...

I am sure Spieler by using his tools was able to catch some pips?

BD
  • #1,793
  • Sep 24, 2008 10:23am Sep 24, 2008 10:23am
Spieler, great to have you back.

When you have a spare moment any advice you can offer on the questions in my Post 1693 would be most welcome. Thanks.
  • #1,794
  • Sep 24, 2008 10:50am Sep 24, 2008 10:50am
Hello All

As this thread is large, where would be best place to start / get a summarry whilst I begin my journey from post 1.Also I am unable to open the latest word document, which seems to be corrupt.

thanks

No worries, I managed to get the doc opened.
  • #1,795
  • Sep 24, 2008 11:09am Sep 24, 2008 11:09am
Well i created a summary of this 115+ forum pages.

And I posted it few pages ago...

But I can post it again: (hope it works this time)
Attached File(s)
File Type: doc Spieler's Trading System Summary.doc   208 KB | 788 downloads
  • #1,796
  • Sep 24, 2008 12:16pm Sep 24, 2008 12:16pm
Quoting boeingdriver
Well i created a summary of this 115+ forum pages.

And I posted it few pages ago...

But I can post it again: (hope it works this time)

thank I did get it.
  • #1,797
  • Sep 24, 2008 12:40pm Sep 24, 2008 12:40pm
At the time those trades were put on...EURCHF was 1.5915 +/-.
That would put the % at about +.35% on that day.

What did you close them at?

Quoting mackus
Opened short at 2:57 AM EDT (7:57 AM GMT) 9/19/2008.
6 mini lots @ EUR/USD 1.4247
8 mini lots @ USD/CHF 1.1171
  • #1,798
  • Sep 25, 2008 1:47am Sep 25, 2008 1:47am
let's get some movement today!
Attached Image
  • #1,799
  • Sep 25, 2008 2:06am Sep 25, 2008 2:06am
Good Morning Everyone!

Yes well I hope for some movement today too, as yesterday was very quiet.

So which will happen first? 15982 or 15902?

The only thing we can be almost sure of is that we are back to full correlation and in the middle of the Barycentre (like spieler calls it) or Center of Gravity...

Have a great trading day
BD
  • #1,800
  • Sep 25, 2008 5:17am Sep 25, 2008 5:17am
Welcome back Spieler.

I am wondering if you will reveal us you GBP or any other equivalent stressfree strategy too !(HUMOR)

The only "problem" -except the long days of trending like a train -with this strategy is to set your mobile alarms connected with the indis in order to close the positions with profit.

Thank you for mentoring mate.

B
Learn something difficult and earn real money for ever, a lot.
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