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Hedge trading spieler system derived from futures spread trading

  • #2,781
  • Oct 15, 2010 3:12pm Oct 15, 2010 3:12pm
Quoting Dreamliner
By the way Skyline, I noticed if you change from daily to 4 hour or 1 hour that the divergence chances. What time frame are we supposed to use?
Divergence is calculated from vertical line VL which is supposed to be placed on starting day at 00:00, so switching between different timeframes doesn't change anything in the values unless you are also moving the VL line.
In the below example you can see that switching from h1,h4,daily divergence is still -0.19

Cheers,
Skyline
Attached Image(s) (click to enlarge)
Click to Enlarge Name: eurchf_h1.jpg Size: 59 KB
Click to Enlarge Name: eurchf_d1.jpg Size: 69 KB
Click to Enlarge Name: eurchf_h4.jpg Size: 64 KB
  • #2,782
  • Oct 15, 2010 3:27pm Oct 15, 2010 3:27pm
OK that makes sense. Would you be able to know why the divergence for right now is showing -13.70? I thought divergence was supposed to be like 0.13 or something like that. See attached.

Quoting skyline
Divergence is calculated from vertical line VL which is supposed to be placed on starting day at 00:00, so switching between different timeframes doesn't change anything in the values unless you are also moving the VL line.
In the below example you can see that switching from h1,h4,daily divergence is still -0.19

Cheers,
Skyline
Attached File(s)
File Type: doc Divergence.doc   187 KB | 699 downloads
  • #2,783
  • Oct 15, 2010 3:40pm Oct 15, 2010 3:40pm
Quoting Dreamliner
OK that makes sense. Would you be able to know why the divergence for right now is showing -13.70? I thought divergence was supposed to be like 0.13 or something like that. See attached.
You have to put a vertical line on chart and call it 'VL' that will be used by the indicator as in my previous charts otherwise the indicator picks an unkown time in the past to calculate wrongly the divergence as in your chart.

Cheers,
Skyline
  • #2,784
  • Oct 15, 2010 3:43pm Oct 15, 2010 3:43pm
OK I put a vertical line on the chart, but how do I "call it VL"? You mean just write a text box "VL" on the chart next to it? I feel like a dummy!

Quoting skyline
You have to put a vertical line on chart and call it 'VL' that will be used by the indicator as in my previous charts otherwise the indicator picks an unkown time in the past to calculate wrongly the divergence as in your chart.

Cheers,
Skyline
  • #2,785
  • Oct 15, 2010 3:46pm Oct 15, 2010 3:46pm
Ah, nevermind, I just figured it out. You make a vertical line and call it "VL" in the properties dialogue box. Got it. Thanks again.

Quoting Dreamliner
OK I put a vertical line on the chart, but how do I "call it VL"? You mean just write a text box "VL" on the chart next to it? I feel like a dummy!
  • #2,786
  • Oct 15, 2010 3:55pm Oct 15, 2010 3:55pm
Quoting Dreamliner
Ah, nevermind, I just figured it out. You make a vertical line and call it "VL" in the properties dialogue box. Got it. Thanks again.
Yes exactly !
  • #2,787
  • Edited 4:03pm Oct 15, 2010 4:02pm | Edited 4:03pm
One last thing Skyline, what vertical line do you set for Sunday/Monday? I'm sure that's in one of the thousands of posts here, but maybe I could just ask this once?
  • #2,788
  • Oct 15, 2010 4:40pm Oct 15, 2010 4:40pm
Quoting Dreamliner
One last thing Skyline, what vertical line do you set for Sunday/Monday? I'm sure that's in one of the thousands of posts here, but maybe I could just ask this once?
Well I don't think that using sunday instead of monday candle will change a lot in trading this system (remember there's also broker without sunday candle).Btw I'm not an expert at all about this system, I'm still studying it from time to time, maybe someone more experienced can answer more precisely to your question.

Cheers,
Skyline
  • #2,789
  • Oct 16, 2010 3:54am Oct 16, 2010 3:54am
hi all,

@vitali_yv: Yes of course. Never thought and never said that it is that simple as it looks. Honestly speaking i don't think this system can be easily incorporated as an ea, because it involves some discretion (analyzing the previous days and watching the PA). What you've calculated with the indicator is in fact the pair price itself, so it is normal to be the same. The most important thing in my opinion regarding this system (and probably this is valid for all systems) is money management. The price will move up and down and even in big trends there will be pullbacks and if you have good money management to capatilize on the pullbacks, you can ensure at least break even on the trade. I'll be happy if you share later on your observations on the AUDJPY-GBPAUD.

@skyline: I'd like to thank you very much for your efforts and the good indicators. One question, is it possible to extend the divergence lines towards the VL, so it is suitable to perform some visual backtesting?
  • #2,790
  • Oct 16, 2010 5:57am Oct 16, 2010 5:57am
Quoting Eks
@skyline: I'd like to thank you very much for your efforts and the good indicators. One question, is it possible to extend the divergence lines towards the VL, so it is suitable to perform some visual backtesting?
You're welcome, in attachment new v3.1 should do what you request for

Cheers,
Skyline
Attached File(s)
File Type: ex4 Spieler Divergence v3.1.ex4   9 KB | 1,161 downloads
  • #2,791
  • Oct 16, 2010 11:59am Oct 16, 2010 11:59am
When you place VL line at the open Friday it gives Actual Dvd -0.15

If you drag VL line 7 days prior Friday then for 1 week Actual Dvd is 0.04

So? which one to use? Basically ? For 1 day it's close to BUY and

for 1 week is a flat.. Is that be somewhat equal to using

different TF on DailyFX Overlay charts..? Very often I see when

you look over H1 TF one chart is higher than the other and

on Daily it's lower. Not really clear what to do, sell or buy

I'm gonna play this unhedged.. If I got Signal BUY for EU I'm going to sell USDCHF and vise versa. Since there

is a risk involved anyhow..
Viewer Discretion Advised: Shall we shag now or should we shag later? :-)
  • #2,792
  • Oct 17, 2010 4:54am Oct 17, 2010 4:54am
Skyline,

Thank you very much!

I'd like to ask you, what is your observation on the spieler system?

EKS

Quoting skyline
You're welcome, in attachment new v3.1 should do what you request for

Cheers,
Skyline
  • #2,793
  • Oct 17, 2010 7:27am Oct 17, 2010 7:27am
Quoting Eks
Skyline,

Thank you very much!

I'd like to ask you, what is your observation on the spieler system?

EKS
As I said some post ago, I didn't trade this system continuosly so I cannot say if it's good or bad, for sure to be able to survive to drawdowns there's the need to start with smaller lots and works the positions.

Cheers,
Skyline
  • #2,794
  • Edited 6:53am Oct 18, 2010 6:14am | Edited 6:53am
As I see the charts...

EUR/USD 1 lot Long
USD/CHF 1.4 lot Long

EUR/USD 1 lot Short
USD/CAD 1.4 lot Short

Can we just go Long 1 lot CAD/CHF and Short 1 ot EUR/USD?!?!?
So If CAD/CHF divergence 0.40,0.60,0.80,1.0 we can put 1 lot CAD/CHF Short and Long 1 lot EUR/USD.
And if CAD/CHF divergence -0.40,-0.60,-0.80,-1.0 we can put 1 lot CAD/CHF Long and Short 1 lot EUR/USD.

What do you think about that?
Attached Image (click to enlarge)
Click to Enlarge Name: CADCHF.jpg Size: 394 KB
  • #2,795
  • Oct 18, 2010 10:48am Oct 18, 2010 10:48am
Don't know, how you came up with the CAD involved. The original system is about EUR/USD-USD/CHF and the divergence on the synthetic pair EUR/CHF. If you want to test the spieler system i think it's more suitable to trade according to the system's rules. As of trading outright or with the two pairs...i think it is up to the personm because there are advantages and disadvantages to both type.

EKS

Quoting SkyStriker
As I see the charts...

EUR/USD 1 lot Long
USD/CHF 1.4 lot Long

EUR/USD 1 lot Short
USD/CAD 1.4 lot Short

Can we just go Long 1 lot CAD/CHF and Short 1 ot EUR/USD?!?!?
So If CAD/CHF divergence 0.40,0.60,0.80,1.0 we can put 1 lot CAD/CHF Short and Long 1 lot EUR/USD.
And if CAD/CHF divergence -0.40,-0.60,-0.80,-1.0 we can put 1 lot CAD/CHF Long and Short 1 lot EUR/USD.

What do you think about that?
  • #2,796
  • Oct 19, 2010 3:43am Oct 19, 2010 3:43am
Quoting Eks
Don't know, how you came up with the CAD involved. The original system is about EUR/USD-USD/CHF and the divergence on the synthetic pair EUR/CHF. If you want to test the spieler system i think it's more suitable to trade according to the system's rules. As of trading outright or with the two pairs...i think it is up to the personm because there are advantages and disadvantages to both type.

EKS

It's going to be a hard to explain,but I lil try

EUR/CHF - USD/CAD have a correlation of ~92
EUR/USD -USD/CHF correlation is -93
EUR/USD - CAD/CHF correlation is -88

So I have look at the chart and...
If you see a signal on the EUR/CHF and open 1lot on the USD/CHF and 1lot on CAD/CHF.

Try it and you will see what am I talking about.
It isnt easy for me to explain it in english.
  • #2,797
  • Oct 19, 2010 9:05am Oct 19, 2010 9:05am
Quoting SkyStriker
It's going to be a hard to explain,but I lil try

EUR/CHF - USD/CAD have a correlation of ~92
EUR/USD -USD/CHF correlation is -93
EUR/USD - CAD/CHF correlation is -88

So I have look at the chart and...
If you see a signal on the EUR/CHF and open 1lot on the USD/CHF and 1lot on CAD/CHF.

Try it and you will see what am I talking about.
It isnt easy for me to explain it in english.


I think it's a bad idea.
Here are the results at this time.
Attached Image (click to enlarge)
Click to Enlarge Name: CAD.JPG Size: 143 KB
  • #2,798
  • Oct 20, 2010 1:19am Oct 20, 2010 1:19am
Hi SkyStrike,

I'm not quite sure i understand your system. From where do you derive the correlation factors, because when i checked with mataf, the correlation factors on these pairs were different.

As far as i see this system differs from the spieler concept and is more like directional trading. If buy signal on eur/chf, double short the chf on two pairs. The problem comes when you are wrong, then the losses will be significant as the pairs move together. On the other hand if you have long usd/chf and eur/usd, then you have negative correlation and when you are wrong you loose less.

EKS

Quoting SkyStriker
It's going to be a hard to explain,but I lil try

EUR/CHF - USD/CAD have a correlation of ~92
EUR/USD -USD/CHF correlation is -93
EUR/USD - CAD/CHF correlation is -88

So I have look at the chart and...
If you see a signal on the EUR/CHF and open 1lot on the USD/CHF and 1lot on CAD/CHF....
  • #2,799
  • Oct 20, 2010 3:10am Oct 20, 2010 3:10am
Quoting Eks
Hi SkyStrike,

I'm not quite sure i understand your system. From where do you derive the correlation factors, because when i checked with mataf, the correlation factors on these pairs were different.

As far as i see this system differs from the spieler concept and is more like directional trading. If buy signal on eur/chf, double short the chf on two pairs. The problem comes when you are wrong, then the losses will be significant as the pairs move together. On the other hand if you have long usd/chf and eur/usd, then you have negative correlation...
Hi,I was going to write 10H ago but It was too late at night (local time).
So...if we apply the same rules/idea to USD/CAD we will have this.
USD/CAD Long
EUR/USD Short
and the EUR/CHF's
USD/CHF Long
EUR/USD Long

The correlation of CHF's and CAD's are based on oil and gold prices as some of you may know.Also there some guys that hadge the oil price in CAD's and gold price in CHF's.I think that this can be applied to AUD and NZD also.
There is also a crossed correlations,but I am not going to talk/write about that.

And so we have 4 positions:
And we can writeoff two of them because one cancel the other.

USD/CAD Long
EUR/USD Short
USD/CHF Long
EUR/USD Long

And at the end we have a Long USD/CAD and a Long USD/CHF and this is from where I come up with the idea of using CAD/CHF and USD/CHF.
IF the CAD/CHF goes up in uor favor the USD/CHF i goin down aganst our position.
I think that this is closer to hedge position then the original system.
If CAD is goin up also oil is going up and this means that USD is going down.

I am sorry if I cant explain it right,but someone out there will get it right.

And at the end this is only an idea and that is why we are all here right?!
Attached Image (click to enlarge)
Click to Enlarge Name: CADCHF TRADE.jpg Size: 431 KB
  • #2,800
  • Oct 20, 2010 3:49am Oct 20, 2010 3:49am
Hi SkyStriker,

Thank you for sharing that. I start to understand what you mean and will demo it. I'll write you back.

And once again, thank you for sharing the idea

Quoting SkyStriker
Hi,I was going to write 10H ago but It was too late at night (local time).
So...if we apply the same rules/idea to USD/CAD we will have this.
USD/CAD Long
EUR/USD Short
and the EUR/CHF's
USD/CHF Long
EUR/USD Long

The correlation of CHF's and CAD's are based on oil and gold prices as some of you may know.Also there some guys that hadge the oil price in CAD's and gold price in CHF's.I think that this can be applied to AUD and NZD also.
There is also a crossed correlations,but I am not going to talk/write about that.

And so we have 4 positions:
And...
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