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Hedge and Correlation Strategy

  • #981
  • Sep 7, 2009 10:40am Sep 7, 2009 10:40am
Quoting bdgardiner
Bob,

Does the Multi_Pair_Profit indi represent one full lot of each currency? I assume that it does, but I just want to make sure...

Thanks for sharing these indis....

Brian
Not exactly, It only looks at the pip amount and the pip value for each currency, It don't look at the account type or leverage
  • #982
  • Sep 7, 2009 11:47am Sep 7, 2009 11:47am
Quoting bobfourie
I made an quick ea for ye, just test it a bit before going live(just to make sure there isn't errors). Since you will be opening orders manually there wont be an way to identify orders (like with an magic #), so you wont be able to have trades with overlapping curr pairs. I also haven't bring lot sizing into play since it does not seem any body are using different lots sizes at the moment.
The selection is simple "Symbol1,Symbol2|Symbol1,Symbol2"
etc
sPairs = "EURUSD,USDCHF|USDJPY,EURJPY"; Will pair up EU and UC, UJ and EJ will be the other...

Thanks a ton. I usually only trade 1 set at a time. But many on here trade multiple with overlapping pairs. If u feel like it and I know u r doing this for free but what if u could do this:

attach ea to any chart. Inputs: sell pair. Sell lots. Buy pair. Buy lots. Magic number for this "set". Profit target for this "set" in $'s. Sl for this set in $'s. This way it could close overlapping trades because of user defined magic number. Only thing is u would see setup u like and turn on ea and elect desired inputs. Then it could close 1 set and not others even with ovelapping pairs. Would this work. Thanks so much for all your hard work!!!
  • #983
  • Sep 7, 2009 1:36pm Sep 7, 2009 1:36pm
Quoting redart007
think its better to use the daily correlation not the hourly as confirmation.
I would say the best correlation value is the one you can calculate for the timeframe you use. Since MATAF doesn't give them all, I would take the 1HR values for timeframes of 1Hr or less and daily values would be used for a crosscheck or for timeframes higher than 1 hr.
  • #984
  • Edited Sep 8, 2009 11:18am Sep 7, 2009 2:15pm | Edited Sep 8, 2009 11:18am
Quoting jtmoore007
Thanks a ton. I usually only trade 1 set at a time. But many on here trade multiple with overlapping pairs. If u feel like it and I know u r doing this for free but what if u could do this:

attach ea to any chart. Inputs: sell pair. Sell lots. Buy pair. Buy lots. Magic number for this "set". Profit target for this "set" in $'s. Sl for this set in $'s. This way it could close overlapping trades because of user defined magic number....
Here you go, if you find an error or 2 just let me know.
The external variable sPairs should be in the format "Symbol1,Type" where type is an 0 for buy and 1 for sell. Same as the multi profit indi. TP/SL are in dollar amount, I know it works fine with an standard acc but could not test it on a mini.

--edit---
updated Pairclosev1

--edit again---
updated Pairclosev1, fixed display problem with the current profit
updated Multi_Pair_Profit, can now select multipliers for each pair (like lot sizes)
Attached File(s)
File Type: mq4 MyLib.mq4   88 KB | 473 downloads
File Type: mq4 PairClose v1.mq4   3 KB | 440 downloads
File Type: mq4 Multi_Pair_Profit.mq4   6 KB | 665 downloads
  • #985
  • Sep 7, 2009 2:36pm Sep 7, 2009 2:36pm
Quoting chamane
I would say the best correlation value is the one you can calculate for the timeframe you use. Since MATAF doesn't give them all, I would take the 1HR values for timeframes of 1Hr or less and daily values would be used for a crosscheck or for timeframes higher than 1 hr.
I agree with redart. In fact, don't we want a pair that has a high daily correlation but a relatively low hourly correlation? In other words, the pair can go out of correlation on shorter timeframes (giving us the gaps in which we enter trades) but then "snap back" into correlation on the longer time frames, giving us our profit.
  • #986
  • Sep 7, 2009 3:04pm Sep 7, 2009 3:04pm
Quoting Tresuz
I agree with redart. In fact, don't we want a pair that has a high daily correlation but a relatively low hourly correlation? In other words, the pair can go out of correlation on shorter timeframes (giving us the gaps in which we enter trades) but then "snap back" into correlation on the longer time frames, giving us our profit.
You are correct saying that price will snap back, but it can take a while for smaller timeframes. I am trading 30min charts and I expect the selected pairs to "meet" within 3 or four days at the most wich seems to be the case visually. Smaller timeframes like 5 min can be traded also, although it has not been much docimented so far here, but I wouldn't take the daily correlation for sure. It's probably not bad, but I am more comfortable with the closest possible correlation value. I think that a hourly value is close enough for a 30 min chart.
  • #987
  • Sep 7, 2009 3:30pm Sep 7, 2009 3:30pm
Quoting Dreamliner
I simply disagree with you. I considered your argument years ago, then reconsidered it a few months ago, and through much testing and asking questions came to the conclusion that you are wrong.

This thread is not important to me at all, if it dropped into the recycle bin tomorrow I would not be upset. I am only doing this because I found a way to trade that works FOR ME, and I want to share it with others FOR FREE. But I have no interest in keeping this thread going for the sake of keeping it going. If it helps somebody, then I feel good.

Again,...
Dreamliner,

Thank you for continuing to post your success and devolpments with this method of trading.

With regard to the above URL you mentioned, I would love to read up on that sight to continue to gain more knowledge with this method.

Is there any chance you can recall or find the URL referenced?

Secondly, with regard to your trading size, you mentioned "I use 1000 units per 1000.00 account." Im not following exactly what you mean here. Could you give an example with a mini account that has $1,000 in the account. How many mini lots would you trade with your first position? And the "1000 units".....is that the total of the 5 average ins you will do or is that each time you take a position and add an addition position?

Thank you for clarification and I wish you continues success with this method!
  • #988
  • Sep 7, 2009 4:31pm Sep 7, 2009 4:31pm
I couldn't thank you enough. This will help us greatly. Will start testing it out as soon as I can get away from the grill

many thanks
Justin

Quoting bobfourie
Here you go, if you find an error or 2 just let me know.
The external variable sPairs should be in the format "Symbol1,Type" where type is an 0 for buy and 1 for sell. Same as the multi profit indi. TP/SL are in dollar amount, I know it works fine with an standard acc but could not test it on a mini.
  • #989
  • Sep 7, 2009 5:25pm Sep 7, 2009 5:25pm
Wow, Bob, thanks much! I have no idea how to make these work, but I'm sure many others on here will, so on behalf of everyone thank you for this.

I'm on vacation at Disney World right now and it looks like a lot of activity is going on with this thread, and I have a ton of PMs as well. I'm probably not going to get to many of them while on vacation.

Keep testing theories, keep suggesting different/better methods of trading this, and see how we can improve. Currently I'm in on the gap with EUR/USD and USD/CHF as well as EUR/CHF and GBP/CHF.

Enjoy!

Quoting bobfourie
Thanx Dreamliner for this method, I have been reading this thread and it seems very interesting.
I see that you guys don't have an way to look back the history, so I recoded the Overlaychart indi into one that only shows the last overlay price, so no more repainting. I renamed it StaticOverlay.
I added an option bUseAutoCorr, if this is turned on then it would pick to mirror the other chart or not if the pairs are pos of neg correlated (the same currency must be in both pairs)

Also made this indi, Multi_Pair_Profit , it will show the combined...
  • #990
  • Sep 7, 2009 5:26pm Sep 7, 2009 5:26pm
You could also use AlertFX to alert you when one pair reaches a certain price. I do that to wake me up when I've got a trade in profit.

Quoting chamane
I took two trades last thursday (arrows). Right now I am -84 pips on AUDUSD/EURUSD and +5 pips on GBPUSD/EURUSD. I could have closed everything earlier (circle), but I was asleep. I wonder if there is an automated way to close when in profit.

http://i26.tinypic.com/a2q1s4.jpg
  • #991
  • Sep 7, 2009 5:39pm Sep 7, 2009 5:39pm
lol dreamliner don't worry about it I'll work on getting some pictures so even YOU can understand. Lol. Just kiddin. But really I'll get some pics with captions to walk u through the entire process

Quoting Dreamliner
Wow, Bob, thanks much! I have no idea how to make these work, but I'm sure many others on here will, so on behalf of everyone thank you for this.

I'm on vacation at Disney World right now and it looks like a lot of activity is going on with this thread, and I have a ton of PMs as well. I'm probably not going to get to many of them while on vacation.

Keep testing theories, keep suggesting different/better methods of trading this, and see how we can improve. Currently I'm in on the gap with EUR/USD and USD/CHF as well as EUR/CHF and GBP/CHF....
  • #992
  • Sep 7, 2009 6:49pm Sep 7, 2009 6:49pm
Quoting Dreamliner
You could also use AlertFX to alert you when one pair reaches a certain price. I do that to wake me up when I've got a trade in profit.
Thanks. I bookmarked their Website. I didn't know such a service ever existed. I will try to find a way to alert me when the gap between the pairs has sufficiently decreased. I think they can also alert us when indicators of our choice move our way. I'll have to think about it.
  • #993
  • Sep 7, 2009 7:09pm Sep 7, 2009 7:09pm
Quoting jtmoore007
lol dreamliner don't worry about it I'll work on getting some pictures so even YOU can understand. Lol. Just kiddin. But really I'll get some pics with captions to walk u through the entire process
You're da man!
  • #994
  • Sep 7, 2009 7:29pm Sep 7, 2009 7:29pm
Quoting T.E.Lawrence
Hey Dreamliner,

don't you think gbp/usd & gbp/chf are not much correlated? daily correlation of 63.7 could be dangerous: with that small correlation one pair can stay at the same level and other pair can go up or down hundreds pips. With high correlated pairs usually both pairs are going same ways with short times of de-correlation (gaps) and of course there's hedging. With lower correlation, hedging could be less efficient.

I don't know - it's first time I trade with those pairs, we'll see.
I agree
  • #995
  • Sep 7, 2009 7:29pm Sep 7, 2009 7:29pm
Quoting T.E.Lawrence
BTW,

shouldn't we take into account the pip cost? I.E., in my broker, gbp/usd's pip cost is 1, and gbp/chf's pip cost is 0.95.
What broker?
  • #996
  • Sep 7, 2009 7:34pm Sep 7, 2009 7:34pm
Quoting chamane
I took two trades last thursday (arrows). Right now I am -84 pips on AUDUSD/EURUSD and +5 pips on GBPUSD/EURUSD. I could have closed everything earlier (circle), but I was asleep. I wonder if there is an automated way to close when in profit.

http://i26.tinypic.com/a2q1s4.jpg

see EA attached
Attached File(s)
File Type: mq4 CloseTrades_After_Account_Profit_Reached.mq4   3 KB | 517 downloads
  • #997
  • Sep 7, 2009 7:40pm Sep 7, 2009 7:40pm
ok here we go............

first download both files in post 978 then put the Pairclose into Experts file

then put MyLib in Experts>libraries folder then restart mt4 I think you can do these without pics.

Just found out that you have to have the chart open inorder for the pair to open

so open a chart of every pair that you are going to be using

ok. now say we are gonna Sell Eurusd and buy usdchf we are going to buy 1 lot and sell 1 lot we will have ( for example ONLY ) tp of 1 and sl of 20 I will be setting sl a lot higher so as to not be stopped out. this is for example only everyone!!!!

go to navigator tab and double click. now you will see expert advisors tab on the left. if none are listed click the + sign beside expert advisors.

next click on PairCloseV1 and drag it to a chart - doesn't matter which one but put it on eurusd for simplicity.

now then... this will bring up the properties of the ea. make the common tab look like pic 1

and make inputs tab look like pic 2

and repeat this process for every other trade you make.

BUT MAKE SURE TO CHANGE THE MAGIC NUMBER TAB FOR EACH TRADE OPENED!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!

this will ensure that if you have 2 eurusd trades going that it will only close the eurusd trade associated with that trade!!!!!

anyone need further instructions??? let me know
Attached Image(s) (click to enlarge)
Click to Enlarge Name: dream 1.png Size: 38 KB
Click to Enlarge Name: dream 2.png Size: 37 KB
  • #998
  • Sep 7, 2009 7:50pm Sep 7, 2009 7:50pm
Oanda has a good correlation table that covers the longer term correlations if anyone is interested(1 week to 2 years)

http://fxtradeinfocenter.oanda.com/c...elations.shtml
  • #999
  • Sep 7, 2009 7:58pm Sep 7, 2009 7:58pm
Quoting jtmoore007
ok here we go............

first download both files in post 978 then put the Pairclose into Experts file

then put MyLib in Experts>libraries folder then restart mt4 I think you can do these without pics.

Just found out that you have to have the chart open inorder for the pair to open

so open a chart of every pair that you are going to be using

ok. now say we are gonna Sell Eurusd and buy usdchf we are going to buy 1 lot and sell 1 lot we will have ( for example ONLY ) tp of 1 and sl of 20 I will be setting sl a lot higher so as to not...
Need script to open trades (sets), using magic #.
  • #1,000
  • Sep 7, 2009 8:06pm Sep 7, 2009 8:06pm
Quoting jtmoore007
ok...
Thx a lot! That's exactly what I am looking for. I can load the EA all right, but I'm afraid I still have a few questions. Is the dTakeProfit the level at wich the EA will close the trade? I suppose dStopLoss is set so we hardly ever reach that level, right? iMagic is the magic number tab, but what about bStandardAcc?

Chamane
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