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Hedge trading spieler system derived from futures spread trading

  • #2,321
  • Dec 25, 2008 11:16am Dec 25, 2008 11:16am
Merry Christmas to all on this great thread, and thanks again Spieler for your generosity in sharing. Pippo
Vincit qui se vincit.
  • #2,322
  • Dec 26, 2008 6:40pm Dec 26, 2008 6:40pm
can somebody summarise this topic?i tried to read lots of page but i cannot understand completely.what is the main idea of this system??pls answer this?
we are trying to hedge eurchf with eurusd usdchf.but how are we doing this?
and are we looking the divergence with the last day close?
pls post last indicator and ea ?

at least please tell which page should we read and understand in this topic?my english is not good sorry.

thank you.
  • #2,323
  • Dec 28, 2008 4:11am Dec 28, 2008 4:11am
from what I read until now, Spieler's system is somehow similar to a statarb.

Now, from what I know, you need the two assets (euro and swissy) to be cointegrated in order to apply this system. However, from my calculations, neither ther euro-swissy nor the euro-pound pairs were cointegrated in the last few months.

Have no ideea when the cointegration property will come back, but I'm waiting for it too.

PS. I trade using a similar system.
"Abandon all hope, you who enter here" La Divina Commedia, Dante Alighieri
  • #2,324
  • Dec 28, 2008 2:28pm Dec 28, 2008 2:28pm
Hi fellow traders,

I haven't been trading the spieler system lately, but I've been watching the relevant pairs closely, and I've been directionally trading the three of them.

Now that I have had spare time I started with some backtests (again) on the spieler system.

Modifications:
1)
trading on eurchf only
(less risk of missing exit and entry points by orders and tp's)

2)
using 50 pip steps but using "the table" as entry rule

3)
a slight progression on the trading size.
1st position 1 unit
2nd position 1 unit
3rd position 2 units
4th position 2 units
5th position 3 units
6th position 3 units
7th position 4 units ... and so on

The simulation assumes a micro account of 1000$ balance with a leverage of 400:1.

I have been backtesting a short trade starting at October 24th 2008.
Although the rule says to close any short trade after 10-11 days I have continued the backtest until today.
(If I had closed the trade after 11 days the profit would have been about 60$, 600 pips)

Although using the slight progression in position size, the equity drawdown at the peak on December 15th 2008, at a 1500 pip distance from the first position, was 90$, 900 pips

At no time of position close would the equity have been below the account size. That means every time a trade had closed one would have had the possibility to exit unharmed.

On December 17th 2008 close of the 6th position would have generated an equity of 1115$.

Now I now that roundabout 1000 pips are not a huge gain during almost two months. But the purpose of this backtest was to show how safe one could trade although the price doesn't move into ones favor.

Other extreme situations like August 2008 will be backtested. I'll keep you posted.


Right now I think that the minimum would be a 2000$ account with the initial position size of one micro and a leverage of 400:1 to trade this system pretty safe.


Thank you again, spieler, for sharing this amazing system.


Best regards
  • #2,325
  • Dec 29, 2008 3:40am Dec 29, 2008 3:40am
Quoting ashes
Hi fellow traders,

I haven't been trading the spieler system lately, but I've been watching the relevant pairs closely, and I've been directionally trading the three of them.

Now that I have had spare time I started with some backtests (again) on the spieler system.

Modifications:
1)
trading on eurchf only
(less risk of missing exit and entry points by orders and tp's)

2)
using 50 pip steps but using "the table" as entry rule

3)
a slight progression on the trading size.
1st position 1 unit
2nd position 1 unit
3rd position 2 units
4th...

Nice one Ashes, think this way may be ahead the next year because of the worldwide interestrate cuts that are coming.
There are no certainties only oppurtunities.
  • #2,326
  • Dec 29, 2008 11:14am Dec 29, 2008 11:14am
Hi guys! I'm really glad to read this theard. But I tried to read 70 pages and find the main and last indicators....and to much yet.....
Please, post the last main indicators, scripts, and template.

Many many thanks!



Juliya
  • #2,327
  • Edited 5:42pm Dec 29, 2008 4:39pm | Edited 5:42pm
Quoting ashes

At no time of position close would the equity have been below the account size. That means every time a trade had closed one would have had the possibility to exit unharmed.
The equity being above the initial account size doesn't mean than one could exit in profit. The equity which is connected to the margin (here 400:1) just shows that, although being deeply in an unfavorable trade, there is still margin left to add positions.

Although the equity going down for about 90 pips on the peak of December 15th, the balance would have been at -20$ which means margin call.

Non progressive trading would have left 390$ in the balance.

Sorry if having caused confusion.


Regards
  • #2,328
  • Dec 30, 2008 12:36am Dec 30, 2008 12:36am
Hi, plz don't ignore my entreaty


Thanks!
  • #2,329
  • Dec 30, 2008 3:01am Dec 30, 2008 3:01am
Quoting fxairy
Hi, plz don't ignore my entreaty


Thanks!
Hi fxairy,

here's a summary http://www.forexfactory.com/showpost...postcount=1759

There are no indicators or templates needed to trade this system.

You enter eurusd and usdchf long if eurchf price has gone about 40 pips below the value of the 0:00 candle close (-0,25% decorrelation of eurusd and usdchf) ) If the price then continues to drop you build more positions according to the table posted below. You enter a short hedge if eurchf indicates a decorrelation of +0,25%.
The entry distances vary according to the markets volatility.
Trading directly on eurchf is also a possibility.

This table serves as an orientation guideline on building positions.

The Table:

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


Regards
  • #2,330
  • Dec 30, 2008 4:37pm Dec 30, 2008 4:37pm
hi everybody
mr spieler: graet job! in a way i admire u

guess nobody believes me - i am through all posts of the thread. the system is really worth thinking of. i will start from 2009, demo first of course.

ashes: your idea seems to be good as well. keep tracking and informing about the results, please.

wondering where richard is - he was so enthusiastic about the system...

wish to everybody: happy new year and a lot of pips in 2009!
  • #2,331
  • Jan 5, 2009 4:56am Jan 5, 2009 4:56am
Opened a long position last night, closed for profit (demo) this morning. Opened a short position at eur/chf 1.5071 just now.
  • #2,332
  • Jan 5, 2009 8:21am Jan 5, 2009 8:21am
This is the best method I have seen yet-
Like Mr. Spieler says- relax, less stress!

It also gives you ample opportunity to add solo positions along the way-

Have been reading about correlation-
It appears the USD/JPY pair leads the EUR/CHF somewhat so that is another thing to consider checking-

What a great system- going live very soon-
Thanks Monsieur Spieler!
  • #2,333
  • Jan 5, 2009 4:42pm Jan 5, 2009 4:42pm
70% difference right now-

Hope it comes back!

Both pairs are heading north and my account (demo) is going into a big drawdown!
  • #2,334
  • Jan 5, 2009 4:54pm Jan 5, 2009 4:54pm
Quoting bidie
70% difference right now-

Hope it comes back!

Both pairs are heading north and my account (demo) is going into a big drawdown!
Hi bidie,

if the drawdown appears too big then you may adjust your moneymanagement for the future. the table suggests up to 10 positions which your account would have to sustain.

Regards
  • #2,335
  • Jan 6, 2009 4:15am Jan 6, 2009 4:15am
Quoting mackus
Opened a long position last night, closed for profit (demo) this morning. Opened a short position at eur/chf 1.5071 just now.
Closed this short in profit. Opened another short last night that I closed this morning in profit. Opened a long position at EUR/CHF 1.5022. If you check you'll notice that my entry and exit numbers arently always according to the system, thats only because I sleep and work.
  • #2,336
  • Jan 6, 2009 5:23am Jan 6, 2009 5:23am
Quoting mackus
Closed this short in profit. Opened another short last night that I closed this morning in profit. Opened a long position at EUR/CHF 1.5022. If you check you'll notice that my entry and exit numbers arently always according to the system, thats only because I sleep and work.
Opened 2nd long position at EUR/CHF 1.4986
  • #2,337
  • Jan 6, 2009 6:07am Jan 6, 2009 6:07am
Thanks Ashes- this system seems a lot riskier than I first thought-
  • #2,338
  • Jan 6, 2009 6:12am Jan 6, 2009 6:12am
"""If the divergence goes more than 0.65% you wait till 1%
( almost never happen).
That means that you can handle this kind of divergence without being margin called so dont start with a 200 leverage.

Usually it goes rarely over 0.40/0.45.

Yesterday after -0.25% from my memory it goes only -0.32%.""
--------------------------------------------

Today it went to almost 1% twice!

This forex trading kicks my ass every single f-ing time!
I get one good trade and jump back in only to lose-

What a tricky game-


SO what is the reason- the market is trending too strongly?
  • #2,339
  • Jan 6, 2009 6:20am Jan 6, 2009 6:20am
Quoting bidie
"""If the divergence goes more than 0.65% you wait till 1%
( almost never happen).
That means that you can handle this kind of divergence without being margin called so dont start with a 200 leverage.

Usually it goes rarely over 0.40/0.45.

Yesterday after -0.25% from my memory it goes only -0.32%.""
--------------------------------------------

Today it went to almost 1% twice!

This forex trading kicks my ass every single f-ing time!
I get one good trade and jump back in only to lose-

What a tricky game-


SO what is the reason-...
I don't have an answer for why the divergence went so much higher but to trade this system, in my opinion, you need to make sure you are taking small positions. I've been on the demo with this system essentially since the thread started and have had 4 or 5 positions open at a time on quite a few occasions. Trading this way is counterintuitive at the outset because you have to learn to not care if your positions are negative. "Working the position" as Spieler calls it is how you make your money.
  • #2,340
  • Jan 6, 2009 6:26am Jan 6, 2009 6:26am
By working the position do you mean trading lots while you are in the negative drawdown zones?

I seem to remember him stating this at one point-

In a more predictable market this would not have been such a problem I guess but there is a strong trend that just broke out after the year end consolidation-

Absolutely mind numbing at times but I am not going to give up on this Forex because it suits my hours etc.-

Just have to learn to trade less and look for better set-ups I guess-
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