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Hedge trading spieler system derived from futures spread trading

  • #2,181
  • Oct 24, 2008 7:31am Oct 24, 2008 7:31am
Down 50% on capital - cut losses, will build again next week. Went down to 8 positions, made some come back on the rises, but killed on the retracement to current levels.

Took the medicine and bailed. Probably not the right thing to do, but I think this could get a lot worse.

Extreme situation - never seen before - ever!!! Nice to part of history, just wish it was the other way round.
  • #2,182
  • Oct 24, 2008 7:34am Oct 24, 2008 7:34am
Hi,

I hope that this support area of the monthly chart will hold.

As far as my historical charts go there has not been such a monthly move on eurchf since 1978 (!).

Here with standard deviation channel.

Scary stuff
Attached Image (click to enlarge)
Click to Enlarge Name: eurchf_monthly.gif Size: 14 KB
  • #2,183
  • Oct 24, 2008 10:45am Oct 24, 2008 10:45am
Quoting c0d3
I hedged many times, and have enough experience with hedging to say that the DD that everyone is experiencing right now is normal, and that this happens all the time. After watching my EAs take heavy DD, i started researching something to hedge the hedge. I think in this situation, it would of been good to have a hedge for the hedge. I always followed the classical hedging style, i.e. mean-reversion pairs trading based on a ratio. Spieler introduced something new, based on deviation, i'm wondering if using correlation for 4 pairs could be used to hedge the hedge. Read my thread, as i think it applies to this case of heavy DD with hedging...

http://www.forexfactory.com/showthread.php?t=53919
Hi c0d3,

thank you for the idea and the link. This looks like serious studying.
Would it be possible to secure a spieler hedge that has gone off like this one from 21 October with another hedged pair?
I will read the thread and will try to understand it. and then I will most probably come back with questions.

Regards
  • #2,184
  • Oct 24, 2008 11:32am Oct 24, 2008 11:32am
Quoting ashes
Hi c0d3,


Would it be possible to secure a spieler hedge that has gone off like this one from 21 October with another hedged pair?

Regards
That is the idea, so that when moments like this happen, your heavy DD is hedged with another hedge. Right now, i'm trying to get a good standing on directions of hedged.
  • #2,185
  • Oct 24, 2008 12:00pm Oct 24, 2008 12:00pm
Quoting c0d3
That is the idea, so that when moments like this happen, your heavy DD is hedged with another hedge. Right now, i'm trying to get a good standing on directions of hedged.
Hi c0d3,

would it be possible to enter a hedging pair (gbpusd/audusd) already after the eurusd/usdchf has gone off, let's say -350 pips, to secure the spieler hedge?

Or would we have to enter both hedges at the same time according to entry rules?

Regards
  • #2,186
  • Oct 24, 2008 12:05pm Oct 24, 2008 12:05pm
Quoting ashes
Hi c0d3,

thank you for the idea and the link. This looks like serious studying.
Would it be possible to secure a spieler hedge that has gone off like this one from 21 October with another hedged pair?
I will read the thread and will try to understand it. and then I will most probably come back with questions.

Regards
To protect the spieler trade from the 21st, when you entered LONG on (EURUSD and USDCHF), you would of hedged the hedge with LONG GBPUSD and SHORT AUDUSD.

Since the correlation was negative, you were LONG on both hedges. LONG hedge for EURUSD and USDCHF ratio is (long/long), LONG hedge for GPBUSD and AUDUSD ratio is (long/short).
  • #2,187
  • Oct 24, 2008 12:08pm Oct 24, 2008 12:08pm
Quoting ashes
Hi c0d3,

would it be possible to enter a hedging pair (gbpusd/audusd) already after the eurusd/usdchf has gone off, let's say -350 pips, to secure the spieler hedge?

Or would we have to enter both hedges at the same time according to entry rules?

Regards
You could do it both ways, but if you want to hedge the hedge you would want to enter all positions at the same time. With -350 pips, at this point, i doubt you can secure the trade, since the DD is heavy. I also, think that there should be some kind of a stoploss, not on a individual instrument scale, but in general, if the hedge is -100 pip, close positions, i think i will incorporate something like that to have some kind of a protection, the DD can eat your account dry.
  • #2,188
  • Edited 4:48am Oct 27, 2008 2:27am | Edited 4:48am
Quoting ashes
re-opened 5th at 1,4900, double

not according to the rules, but I hope 1,4900 holds as support

opening 6th at 1,4590, double

closed 6th at 1,4750

re-enter of 6th would be around 1,4550
re-entered 6th at 1,4550

7th entered at 1,4350

7th closed at 1,4450

re-entry 7th would be around 1,4250
  • #2,189
  • Oct 27, 2008 10:00am Oct 27, 2008 10:00am
What do you say to a small survey on the broker used? I think that might be useful to share our experiences and opinions about the various broker!!!
Regards...
  • #2,190
  • Oct 27, 2008 8:53pm Oct 27, 2008 8:53pm
Where is Spieler?
  • #2,191
  • Edited 4:28am Oct 28, 2008 3:14am | Edited 4:28am
I was travelling between usa and europe so could not work the position but would have been difficult due to extreme conditions.I still have 5 long positions with big potential loss.I have never seen such a volatility specialy on eur/chf with a 575 pips loss intraday on friday and then again 400 last night.I said 2 weeks ago to widden enter conditions and leverage due to these conditions never seeN before even if somebody here said this is a normal situation??
  • #2,192
  • Oct 28, 2008 3:54am Oct 28, 2008 3:54am
Hey Spieler ,welcome back.
I had to cut my position att 22% loss but that's ok.Had a leverage of 2.2:1 so only going to use 1.5-1.8 in the future regardless of market condition.
There are no certainties only oppurtunities.
  • #2,193
  • Edited Oct 29, 2008 3:20am Oct 28, 2008 4:04am | Edited Oct 29, 2008 3:20am
1st short at 1,4517

missed exit of 1st

2nd short at 1,4630

3rd short at 1,4670


3rd closed at 1,4570
  • #2,194
  • Oct 28, 2008 12:30pm Oct 28, 2008 12:30pm
Quoting spieler
somebody here said this is a normal situation??
I was referring to the heavy DD with hedging, being normal, because of the correlation and de-correlation. I was not referring to EURCHF volatility.
  • #2,195
  • Oct 28, 2008 12:51pm Oct 28, 2008 12:51pm
Welcome back Spieler. I hope you don't lose too much.
  • #2,196
  • Oct 28, 2008 1:29pm Oct 28, 2008 1:29pm
Quoting spieler
I was travelling between usa and europe so could not work the position but would have been difficult due to extreme conditions.I still have 5 long positions with big potential loss.I have never seen such a volatility specialy on eur/chf with a 575 pips loss intraday on friday and then again 400 last night.I said 2 weeks ago to widden enter conditions and leverage due to these conditions never seeN before even if somebody here said this is a normal situation??
Bonjour Spieler,

I am on a demo account and still loosing on 4 positions (I entered late).

Could you please tell us what are your trading plan?
- Close the position with a loss ?
- Keep working out the position ?
- Wait for a 'recorrelation' ?

I understand this is an unusual condition, and I assume you had profits during 2008 so you could close that positions with a loss without hurting your overall yearly profits.

Your answear would let us evaluate the 'limits' of this system and how to deal with it.

Merci.
  • #2,197
  • Oct 28, 2008 2:25pm Oct 28, 2008 2:25pm
146,80 way way better
i cut one lot and will wait more now something like 150/153 is doable
But difficult to say something the market is like a zombie

Look GBP/jpy crazy lol i was hesitating to take a lot long at 148,50 4 hours ago we are 725 pips higher now????????????
  • #2,198
  • Oct 28, 2008 4:23pm Oct 28, 2008 4:23pm
Hello

I'am a newbie

I downloaded SpielerHedgeDivergence indicator but i still don't know when i have to open positions. Could someone help me?
  • #2,199
  • Edited 7:39pm Oct 29, 2008 3:25am | Edited 7:39pm
Quoting ashes
re-entered 6th at 1,4550

7th entered at 1,4350

7th closed at 1,4450

re-entry 7th would be around 1,4250
closed 6th at 1,4650

opened 6th at 1,4618 to close the gap to re-entry of 7th ( 400 pips)

closed 6th at 1,4750

re-entry 6th at 1,4610

closed 6th at 1,4720
  • #2,200
  • Oct 29, 2008 6:23am Oct 29, 2008 6:23am
I'd been demoing this system since July and wanted to really learn what could happen if I let it ride. Unfortunately got margin called out of my 5 positions last week. Strangely enough, even though its just a demo account I find myself hesitating to take entries per the system rules.
Just opened 1st long position @ EUR/CHF 1.4682, right before it plunged to 1.4642. Have to love this volitality.
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