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Simple H1 GBPUSD EA

  • #4,541
  • Jun 10, 2010 10:26pm Jun 10, 2010 10:26pm
For those interested (I hope all of you... ) I would like to post the foreign exchange variation of the Black Scholes model.

http://upload.wikimedia.org/math/d/6...6eda5d8346.png

http://upload.wikimedia.org/math/b/0...f898bc9511.png

http://upload.wikimedia.org/math/e/7...e8f75ba4ae.png

http://upload.wikimedia.org/math/a/d...b0c30ed685.png

S0 is the current spot rateK is the strike price
N is the cumulative normal distribution function
rd is domestic risk free simple interest rate
rf is foreign risk free simple interest rate
T is the time to maturity (calculated according to the appropriate day count convention)and
σ is the volatility of the FX rate.


So, now we have everything together. Does anyone share my view that this indicator may well be valuable for Geoff's already great ea?
  • #4,542
  • Jun 10, 2010 10:30pm Jun 10, 2010 10:30pm
Quoting Haishang
http://upload.wikimedia.org/math/f/4...0a5627f747.png...
Roman,

i do see where you are heading. However, due to my limited knowledge of technical and arithmetical background in trading financial instruments, i am not able to help extend the topic further. So sorry...

Anyway, thumbs up to you for such idea.

Let's hope someone who understand your post will carry on further.

福 子 Victor V
  • #4,543
  • Jun 10, 2010 10:38pm Jun 10, 2010 10:38pm
Quoting camvcvoo
Roman,

i do see where you are heading. However, due to my limited knowledge of technical and arithmetical background in trading financial instruments, i am not able to help extend the topic further. So sorry...

Anyway, thumbs up to you for such idea.

Let's hope someone who understand your post will carry on further.

Thank you so much Victor!
I would be so happy if someone could join in who is able to code this kind of indicator. I am able to generate all input data but I completely lack programming skills!
  • #4,544
  • Jun 10, 2010 10:40pm Jun 10, 2010 10:40pm
Quoting Haishang
Glenn, sorry for my misleading language, with vol I meant volatility indicator. Not the real vol but the implied vol which is traded quite liquidly for standard expiries like 1 wk, 1 mth, 2 mth, 3mth, 6 mth and 12 mths. Implied volatility is the only variable which needs to be determined by the trader to calculate the price of the option as all other parameters (expiry, spot, interest rate differential) are set. It works with the simple Black Scholes formula which follows a normal distribution of spot movement (which has some flaws as some might...
Now Iam not a option trader so i may be way off here, but my understanding is:

In the Black-Scholes model, the theoretical value of a vanilla options is a monotonic increasing function of the Black-Scholes volatility and implied volatility is plotted against strike price, therefore then Implied Volatility is related to historical Volatility dont they have different implied volatilities?

And if we are using historical Volatility are we not going to have the same problem with reliable data from the MT4 platform?

And again my understanding of the Garman Kohlhagen method was a model based on Black-Scholes method but extended to cope with the presence of two Intrest rates.

Now I maybe way off here, but are we not talking a modified Bollinger Band Indicator..

Just trying to understand your direction on this Roman....
  • #4,545
  • Jun 10, 2010 10:49pm Jun 10, 2010 10:49pm
Quoting calstock
Now Iam not a option trader so i may be way off here, but my understanding is:

In the Black-Scholes model, the theoretical value of a vanilla options is a monotonic increasing function of the Black-Scholes volatility and implied volatility is plotted against strike price, therefore then Implied Volatility is related to historical Volatility dont they have different implied volatilities?

And if we are using historical Volatility are we not going to have the same problem with reliable...
Thanks for this Glenn!

I mainly agree and want to focuse on the one main argument why I think implied volatility indicator might be of great use: It is looking into the future and this makes it a unique indicator (because all other indicators look into the past, as well the Bollinger...is this correct?)

Now, if you have an indicator which looks into the future and this indicator tells you that GBPUSD upside strikes are more bid than downside strikes you know the sentiment of the options market and could use this as additional help for any ea, including Geoff's.

i might be dumb....please forgive me all for that!...is it worthwhile to pursue?
  • #4,546
  • Edited 11:09pm Jun 10, 2010 10:57pm | Edited 11:09pm
Quoting Haishang
Thanks for this Glenn!

I mainly agree and want to focuse on the one main argument why I think implied volatility indicator might be of great use: It is looking into the future and this makes it a unique indicator (because all other indicators look into the past, as well the Bollinger...is this correct?)

Now, if you have an indicator which looks into the future and this indicator tells you that GBPUSD upside strikes are more bid than downside strikes you know the sentiment of the options market and could use this as additional help for any ea,...
Yes the Bollinger bands show what has happened as with most Indicators....now predicting Indicators.. I have several on file however what there based on is something I will have to look into...
I do have one based on The VIX ( Volatility IndeX) it will measure the volatility of the pair on which chart it is installed only...

Picture 1) just the VIX indicator and picture 2 ) Vix indicator with bollinger Bands...

Humm....I will go and see if I can find more...

Attached Image(s) (click to enlarge)
Click to Enlarge Name: gbpusd 1.gif Size: 17 KB
Click to Enlarge Name: gbpusd 2.gif Size: 19 KB
  • #4,547
  • Jun 10, 2010 11:39pm Jun 10, 2010 11:39pm
Quoting calstock
Yes the Bollinger bands show what has happened as with most Indicators....now predicting Indicators.. I have several on file however what there based on is something I will have to look into...
I do have one based on The VIX ( Volatility IndeX) it will measure the volatility of the pair on which chart it is installed only...

Picture 1) just the VIX indicator and picture 2 ) Vix indicator with bollinger Bands...

Humm....I will go and see if I can find more...

I think that you got exactly the point which I meant. The VIX gives the At the Money volatility of any instrument it is placed on? I did not know that.....but again this should then be historical volatility, correct?
To combine it with the Bollinger seems to give then the skew....is that what you say? (with skew I mean the directional senitment of the market)
  • #4,548
  • Jun 10, 2010 11:49pm Jun 10, 2010 11:49pm
Quoting Haishang
I think that you got exactly the point which I meant. The VIX gives the At the Money volatility of any instrument it is placed on? I did not know that.....but again this should then be historical volatility, correct?
To combine it with the Bollinger seems to give then the skew....is that what you say? (with skew I mean the directional senitment of the market)
Yes...I can only see it working with historical volatility, however I will see if i can find the person that made the Indicator and check...

Now with it we must remember that it is working in the opposite direction as it reflects the sell/but orders...
I combined it with the bands to give it a range...as that picture was only 30 minutes ago it would be showing a move up....so to some level it is showing the future...

The Indicator is based on the VIX S&P 500.....

Here it is...so you can have a play around with it...
Attached File(s)
File Type: mq4 Synthetic_VIX.mq4   2 KB | 452 downloads
  • #4,549
  • Jun 11, 2010 12:02am Jun 11, 2010 12:02am
Quoting calstock
Yes...I can only see it working with historical volatility, however I will see if i can find the person that made the Indicator and check...

Now with it we must remember that it is working in the opposite direction as it reflects the sell/but orders...
I combined it with the bands to give it a range...as that picture was only 30 minutes ago it would be showing a move up....so to some level it is showing the future...

The Indicator is based on the VIX S&P 500.....

Here it is...so you can have a play around with it...
thanks so much, I will have a go at it!
  • #4,550
  • Jun 11, 2010 12:31am Jun 11, 2010 12:31am
morning guys!
both demo&live alpary fired

live - long camvcvoo_v5 1.41793 @ 23.55gmt
demo - long tokyo 1.47188 @ 23.55gmt

hoovering around entry....

good luck!
... feel better day by day.
  • #4,551
  • Jun 11, 2010 12:52am Jun 11, 2010 12:52am
Quoting zoom
morning guys!
both demo&live alpary fired

live - long camvcvoo_v5 1.41793 @ 23.55gmt
demo - long tokyo 1.47188 @ 23.55gmt

hoovering around entry....

good luck!

Forex UK, 23h55 @ 1.4720 .... Hope it wil break resistance up....
  • #4,552
  • Jun 11, 2010 12:56am Jun 11, 2010 12:56am
Morning!!

I am long with Forex.com at 1.4720.
Yesterday I have GMT offset 1 on Forex.com but no trade, then I've changed
to 0 and today I have two longs. Forex.com use GMT 0.

Now wait and see what will happen.
  • #4,553
  • Jun 11, 2010 1:19am Jun 11, 2010 1:19am
Quoting SlimTom
Forex UK, 23h55 @ 1.4720 .... Hope it wil break resistance up....
another high and it's done!

cheers!
... feel better day by day.
  • #4,554
  • Jun 11, 2010 1:43am Jun 11, 2010 1:43am
arrrrrrrgh .....
come on! break it!

... feel better day by day.
  • #4,555
  • Jun 11, 2010 1:47am Jun 11, 2010 1:47am
Quoting zoom
arrrrrrrgh .....
come on! break it!

London opens in 10mins time. Things will move then.............be it up or down
  • #4,556
  • Jun 11, 2010 1:53am Jun 11, 2010 1:53am
Hi Geoff
Tokyo 2 trades tonight
TP1 +22
TP2+ 0.30 ?
it seems TSL on TP2 not functionning properly
Thanks checking
  • #4,557
  • Jun 11, 2010 1:53am Jun 11, 2010 1:53am
yupiiiiiiiii!!!!!!!!
new high.... 22 pips in our pockets!
trade free from here!

thank you geoff !!!!!!!! god bless you!

... feel better day by day.
  • #4,558
  • Jun 11, 2010 1:59am Jun 11, 2010 1:59am
Quoting gir
Hi Geoff
Tokyo 2 trades tonight
TP1 +22
TP2+ 0.30 ?
it seems TSL on TP2 not functionning properly
Thanks checking
That is correct, the trailing stoploss prevented the EA losing on TP2.
  • #4,559
  • Jun 11, 2010 2:04am Jun 11, 2010 2:04am
hello everybody,

I am with FXDD Malta, today no trade opened for v4a, v9 and tokyo.

Anybody has otherwise? Thanks.

Cheers,
Pen
  • #4,560
  • Jun 11, 2010 2:18am Jun 11, 2010 2:18am
Geoff,

It looks like there is TSL on L3 order. L1 order hit TP. Both L2 & L3 went to TSL immediately. It seems that TSL on L3 is tighter as L3's TSL is higher than L2 as of now.

Another day of pips in the pocket, period!

L1 +22
L2 +15.1
L3 +22.4

福 子 Victor V
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