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Hedge trading spieler system derived from futures spread trading

  • #2,121
  • Oct 21, 2008 5:40pm Oct 21, 2008 5:40pm
Quoting imad
now it s -1.89 . how come you have only 2 long ? should be much more .
anyway i hope spieler , will say to us how we should be in stituation like this
i have 4 total positions, 2 for EURUSD and 2 for USDCHF, i meant to say 2 hedged positions, both long. My indicator was wrong, so i have less hedged positions.
  • #2,122
  • Oct 21, 2008 5:41pm Oct 21, 2008 5:41pm
i have 5 positions and i dont dare to enter more. and i should enter one more now . until now i always finished winning with this system , but this drop today is the first time i see this .
  • #2,123
  • Oct 21, 2008 5:49pm Oct 21, 2008 5:49pm
Quoting imad
this drop today is the first time i see this .
This is decorrelation, as i understand it. My guess is that the DOW fell and everyone went back to the dollar? Like 300+ PIP move for EURUSD, i don't see any fundamental data for the buy back on dailyfx calendar for USD.
.
  • #2,124
  • Oct 21, 2008 10:54pm Oct 21, 2008 10:54pm
hi
can you please say what we can do now . this drop is amazing. do we keep entering lots . ?? or we wait until -2 .
regards
  • #2,125
  • Oct 22, 2008 12:56am Oct 22, 2008 12:56am
Good morning,

it's hard to believe what the chart shows this gmt morning. eurchf has been dropping for about 480 pips since yesterday 0:00. I have 5 open positions of which the two last ones I have doubeled, hoping that they will get a profitable exit so that they can make up for the losses of the first positions. If I'd get out of this trade breakeven I'd be happy. Patience now ....

Regards
  • #2,126
  • Oct 22, 2008 1:03am Oct 22, 2008 1:03am
incredible drop yes, would be also very interested to have spieler's view on this as well...
  • #2,127
  • Oct 22, 2008 1:19am Oct 22, 2008 1:19am
The recent volatility is rare on EURCHF and if this system could still breakeven/profit at the end of the month, I think this system will work in a long run.

The volatility will claim down one day
  • #2,128
  • Oct 22, 2008 1:53am Oct 22, 2008 1:53am
this website might help in trading this system

http://www.mataf.net/en/tools/correlation-detail
  • #2,129
  • Oct 22, 2008 2:56am Oct 22, 2008 2:56am
I now have the following positions:

1st @ 1.5281
2nd @ 1.5243
3rd @ 1.5204 - took it out with a profit at 1.5243
reentered 3rd @ 1.5166
4th @ 1.0595

So now we're waiting, right Spieler?
  • #2,130
  • Oct 22, 2008 3:41am Oct 22, 2008 3:41am
All,

We are having a very strong decorrelation and that's very interesting to trade.

At the moment I have 3 open positions (less than some of you because I took a very conservative approach not adding positions - longs - as I should).

Please do note that we can't have a decorrelation occuring without, at some point, a recorrelation. Unless the pairs decorrelate completly and the system won't work anymore.

So be patient, work the position (in and out inside the decorrelation) as Spieler learned us to do.

The recorrelation is coming. Don't over-leverage and keep ammunition for the coming battles.

Good Luck.
  • #2,131
  • Edited 9:03am Oct 22, 2008 3:59am | Edited 9:03am
anyone know how to calculate the ratio of the hedge pair ?

If i wanna trade GBPUSD , GBPCHF (both positive related) what will be the ratio of the position ?
  • #2,132
  • Oct 22, 2008 5:37am Oct 22, 2008 5:37am
Don't think it will turn today, prepare for adding more positions...
There are no certainties only oppurtunities.
  • #2,133
  • Edited 9:33am Oct 22, 2008 6:44am | Edited 9:33am
Uuuh, does not look good. One would make a killing beting against me.
  • #2,134
  • Oct 22, 2008 9:00am Oct 22, 2008 9:00am
Quoting c0d3
I'm in the chat, i have 0.2 lots with EURUSD and 0.22 lots with USDCHF, i have two hedged positions, both are LONG. I'm not sure what Spieler would do, he might of avoided entering.

The ratio now have change to 1 lot EURUSD to 1.1 lot USDCHF ?
  • #2,135
  • Oct 22, 2008 9:06am Oct 22, 2008 9:06am
Quoting j84_2
this website might help in trading this system

http://www.mataf.net/en/tools/correlation-detail
hi j84_2,
great site thanks but I do not understand what is the cell "Number of points":
, by...
  • #2,136
  • Edited 9:46am Oct 22, 2008 9:35am | Edited 9:46am
I think the logical way to calculate lot size would be to use the daily moving range of both pairs and get the ratio. Which means more volatile pair get less lot and less volatile pair get more lot.

For example, the daily average range for EURUSD is 245 and USDCHF is 151

The pair with more range will take 1 lot.

So we have a ratio of 1 lot of EURUSD to 1.6225 lot of USDCHF. Adjust ur lot size according to the volatility of the market.

Stake, the number of point is:

In probability theory and statistics, correlation, (often measured as a correlation coefficient), indicates the strength and direction of a linear relationship between two random variables. In general statistical usage, correlation or co-relation refers to the departure of two variables from independence.

In the correlation table, the two random variables are two pairs and the number of points is the number of data of each pairs.

Example: calculate the hourly correlation during the last 24 hours between EURUSD and GBPUSD.
I'll select EURUSD and GBPUSD and the number of points will be 24.

Using the information, we know that the more "hours" the more correlated the pair is. That is why when u are holding EU/UC hedge losing position you have to wait. How long to wait is another thing.
  • #2,137
  • Oct 22, 2008 9:48am Oct 22, 2008 9:48am
Quoting j84_2
anyone know how to calculate the ratio of the hedge pair ?

If i wanna trade GBPUSD , GBPCHF (both positive related) what will be the ratio of the position ?
I think i can answer myself now. GBPUSD ATR is 394 and GBPCHF is 440

1 lot of GBPCHF to 1.116 lot of GBPUSD
  • #2,138
  • Oct 22, 2008 2:18pm Oct 22, 2008 2:18pm
Hi,

this February/March there has been a simmilar fall of eurchf.
I'm attatching two charts with a 50 pip grid. Feb/Mar 08 and Oct 08.

By comparing the chats one may think about an exit strategy concerning the open positions of 21st October.

Regards
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurchf1.gif Size: 22 KB
Click to Enlarge Name: eurchf2.gif Size: 22 KB
  • #2,139
  • Edited Oct 23, 2008 3:40am Oct 22, 2008 2:59pm | Edited Oct 23, 2008 3:40am
Quoting ashes
1st long at 1,5276

2nd long at 1,5220

3rd long at 1,5136

... what a volatility .. I actually missed my 3rd entry at 1,5160 because I haven't been at the computer for a while.

4th long at 1,5050, double

5th long at 1,4910, double

the last two positions should get a profitable exit, I hope

at least we're interest positive


5th closed at 1,5015

re-opened 5th at 1,4980, double

closed 5th at 1,5030
  • #2,140
  • Oct 22, 2008 3:26pm Oct 22, 2008 3:26pm
1st lot yesterday 1.5054
2nd lot half an hour ago 1.4898

Since this great volatility I'm waiting 4 150 pips of decorrelation
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