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Hedge trading spieler system derived from futures spread trading

  • #2,281
  • Dec 10, 2008 11:33am Dec 10, 2008 11:33am
This was taken from the thread. It should answer your question and others.
BR

lot 1 -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



Quoting Ods
Hi Folks,

I have read nearly all threads about SPielrs System.
I know the levels ( ,25 ....) , I know about the legs....
But I really dont know one:
Lets say, I have entered long at -0,25% then I entered into another trade at -0,50%
then the market moves back to -0,25%
Do I close all positions or just close the position which I have opened at -0,50%

Thanks for your help
Frank
  • #2,282
  • Dec 10, 2008 1:43pm Dec 10, 2008 1:43pm
thanks for your description, but I dont really get it.

-0,25 buy 1 unit ( 1lot eur usd and 1.6 lots usd chf)
-0,50 buy 1 unit

on pullback to -0,25 do I exit one unit or both units?
  • #2,283
  • Dec 10, 2008 2:03pm Dec 10, 2008 2:03pm
The way I understand the system you exit an individual position after a .25% move in the profitable direction from the entry of that position. The exceptions to this would be if you've held a short position for 10 days and are losing roll or if you have worked the trade to where you can close out the rest of the positions at a loss and still show an overall profit.
  • #2,284
  • Dec 10, 2008 2:15pm Dec 10, 2008 2:15pm
Does make sense, doesnt it?

If one would close the whole position one would be more or less brak-even.
Am I right?

In the case that I have openen 3 units.
Second unit would be closed on pullack
First unit would be closed at 0.00 half
and other half at ,25 + - ?
  • #2,285
  • Dec 10, 2008 3:37pm Dec 10, 2008 3:37pm
Quoting Ods
thanks for your description, but I dont really get it.

-0,25 buy 1 unit ( 1lot eur usd and 1.6 lots usd chf)
-0,50 buy 1 unit

on pullback to -0,25 do I exit one unit or both units?
one unit

Example.....
each unit = 1 eurusd + 1.x usdchf. the .x is a variable that changes over time it appox = .5

.25% = 40 pips +/-

Buy unit 1 at 1.5000
Buy unit 2 at 1.4960
Buy unit 3 at 1.4920

Exit unit 3 at 1.4960
Exit unit 2 at 1.5000
Exit 1/2 of unit 1 at 1.5040
Exit 1/2 of unit 1 at 1.5080

BR
  • #2,286
  • Dec 10, 2008 5:07pm Dec 10, 2008 5:07pm
Thanks a lot,
now it is clear.
Just one more question.
If the market was flat he days before, we just calculate from the beginning
of the current day (close previous day).
How to calculate the starting point in a trending EUR CHF?
  • #2,287
  • Dec 10, 2008 5:30pm Dec 10, 2008 5:30pm
Your Welcome.

Based on rules........the EURCHF values that one would trade at does not change because of a trend or lack thereof. It is not impacted by market conditions or news either......Spieler has from time to time said to increase the .25% to .50% or more. This is where a qualitative feel overrides the quantitative values. It is my opinion that this brings an element of discretion to this method which impact cash management which impacts results. For some this will not work.

BR

Quoting Ods
Thanks a lot,
now it is clear.
Just one more question.
If the market was flat he days before, we just calculate from the beginning
of the current day (close previous day).
How to calculate the starting point in a trending EUR CHF?
  • #2,288
  • Dec 10, 2008 5:50pm Dec 10, 2008 5:50pm
Ok,
I understand, so we only calculate from the previous days close,
no matter if the market was range bound or in a trend the days before.

So we only add on if the market goes against our hedge,
we close the additional lots at 0,25% retracements,
close the first lots at 0,00% half and + - 0,25% half,

We calculate the ad-on levels only from the previous days close,
no matter if we have been in the position for days.

Its an easy system.
Are experienced in trading correlation / decorrelation?
Do you trade Spielers system?
  • #2,289
  • Dec 10, 2008 6:39pm Dec 10, 2008 6:39pm
The written language has created misunderstandings for some terms.

Divergence or correlation as defined in American English has nothing to do with trading spieler's method. Divergence nor Correlation is measured or compared. What is measured is the current difference in the EURCHF value when compared against yesterdays close. When the difference increases trades are opened, when the difference decrease trades are closed. This is not divergence or decorrelation, it is difference.

It maybe that the strong correlation of EURUSD and USDCHF impacts EURCHF's probability of returning to the zero point and or not trend as much as other pairs - nothing that I have seen yet points to this.

No, I do not trade this method. If there was the support to really gain an understanding and tweak it, I would have considered adding it to the models I am trading now. The keyword is "IF".

I have been prior to this trading opposite market direction, and add additional positions to a trade. Main differences are I have rules for exiting losers, I trade long and short at the same time, my cash management is different, I trade other pairs and I have different levels at which I add positions.

BR


Quoting Ods
Ok,
I understand, so we only calculate from the previous days close,
no matter if the market was range bound or in a trend the days before.

So we only add on if the market goes against our hedge,
we close the additional lots at 0,25% retracements,
close the first lots at 0,00% half and + - 0,25% half,

We calculate the ad-on levels only from the previous days close,
no matter if we have been in the position for days.

Its an easy system.
Are experienced in trading correlation / decorrelation?
Do you trade Spielers system?
  • #2,290
  • Dec 11, 2008 1:49am Dec 11, 2008 1:49am
Indeed you are right,

we only trade the difference of yesterdays close to the current price.
I have taken the assumtion that the the strong negative correlation of EUR USD
/ USD CHF increases the probability of EUR CHF to come back to the zero point as an axiom.
Maybe there is no truth to it...

I am trading a 4H trend following modell an adding to my positions in a strong trend environment is in my sight what makes the difference betwenn an aerage trader an a prof.

I just like the thought to ad a different -more or less- uncorrelated trading modell to my tradign arsenal.

Lets just assume that the strong negative correlation o EUR USD / USD CHF
affects the movement of EUR CHF, then Spielers method would be one which depends on makro econonical data. I am german. living in Switzerland, so I dara to say that the Macro Economics of Switzerland and EURO-Zone dont change that fast, if at all. An following this, the System would be which has a positive outcome over time, if on applies sound money-management.

Frank
  • #2,291
  • Dec 11, 2008 4:48am Dec 11, 2008 4:48am
While I do not trade live I have demo'd this system for quite a while and seen it to generate solid profits.
  • #2,292
  • Dec 11, 2008 5:26am Dec 11, 2008 5:26am
Are you considering trading it on a real-money account?
  • #2,293
  • Dec 11, 2008 6:17am Dec 11, 2008 6:17am
Could someone post some print screens of thier setup and show
when you entered and exit the trades
  • #2,294
  • Dec 11, 2008 6:32am Dec 11, 2008 6:32am
Quoting Ods
Are you considering trading it on a real-money account?
Yes I am. Most likely after the new year.
Opened 3rd and 4th short positions today at eur/chf 1.5679 and 1.5757.
  • #2,295
  • Dec 11, 2008 6:56am Dec 11, 2008 6:56am
Hi guys,

I started to read this thread from the beginning, but it is very long, so before I could continue, may I ask some questions to confirm my understanding? (Sorry if these are already obvious to everyone, but I am quite new.)

So if I got it right, this method measure the correlation between two pairs (EURUSD and USDCHF) by means of a third pair (EURCHF), is it correct?

As far as I know, on the forex market such triplets are highly glued together to the very tick, that is, for example if EURUSD goes up by exactly 1% and USDCHF goes up by exactly 1%, then EURCHF immediately goes up by exactly 2%. If it weren't so, an inconsistency would appear between the three currencies, and someone could take riskless profyt by simply circle-trading the 3 pairs.

But if this is the case, then trading the correlation between EURUSD and USDCHF isnt just the same as trading simply EURCHF?

On the other hand, this method relies on the assumption that EURUSD and USDCHF will tend to recorrelate with each other, which supposes that EURCHF will tend to go nowhere. Now what validates this assumption? If I look back at the EURCHF chart, it is not a horizontal line, as would be required, but it looks like just any other charts, sometimes it trends up, sometimes down. And when EURCHF is in a strong trend, how can it even be used as a measurement of correlation between the other pairs?

Sorry if I ask obvious things, but I think I should understand it before I read through the whole tread.
Thanks.
  • #2,296
  • Dec 11, 2008 8:44am Dec 11, 2008 8:44am
Exactly......it is why I continue to read and once awhile post in this thread.
BR

Quoting Ods
Indeed you are right,
I just like the thought to ad a different -more or less- uncorrelated trading modell to my tradign arsenal.

Lets just assume that the strong negative correlation o EUR USD / USD CHF
affects the movement of EUR CHF, then Spielers method would be one which depends on makro econonical data. I am german. living in Switzerland, so I dara to say that the Macro Economics of Switzerland and EURO-Zone dont change that fast, if at all. An following this, the System would be which has a positive outcome over time, if on applies...
  • #2,297
  • Dec 11, 2008 10:47am Dec 11, 2008 10:47am
A question related to my previous post:

Today the "divergence" of EURCHF is about 1%, and it shows no intension to go back to 0. The same happened on dec. 5. The deivergence jumped up, and it never went back to 0 (only when it was artificially adjusted back at the beginning of next day). How this method can be traded in such cases?
  • #2,298
  • Dec 12, 2008 12:17pm Dec 12, 2008 12:17pm
Quoting Arilou
A question related to my previous post:

Today the "divergence" of EURCHF is about 1%, and it shows no intension to go back to 0. The same happened on dec. 5. The deivergence jumped up, and it never went back to 0 (only when it was artificially adjusted back at the beginning of next day). How this method can be traded in such cases?
Hi Arilou,

what you wrote in your previous post is in my opinion correct. Trading eurusd and usdchf is as if trading eurchf. I actually trade the spieler system this way, directly on eurchf. I use the table Big1Red9 has posted as an orientation guideline. Trading directly on eurchf is margin friendly, especially if the price moves away from you like these days, having multiple short positions. The strategy here is to patiently hold and open positions according to the posted table.

Regards
  • #2,299
  • Dec 17, 2008 3:59am Dec 17, 2008 3:59am
Hi eveybody
Hope you are doing fine.

I will restart talking on the system next year .

2008 has been a very good year for hedging systeme despite the last trade ( cut too soon by far because waiting some more days would have generate high profits).

We need now volatility to slow down a little bit to get back to 0,25 ratio.

Trade safe
  • #2,300
  • Dec 17, 2008 4:32am Dec 17, 2008 4:32am
Spieler, are you still on manual execution.....
or the ea posted here can realy do the job???

Respect
forexflash
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