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Hedge trading spieler system derived from futures spread trading

  • #2,861
  • Nov 23, 2010 5:13am Nov 23, 2010 5:13am
Quoting elchoco
I mean I've used the % change of EUR-CHF to work out the drawdown on the hedge. It works out about the same.

Obviously the idea of "entering/exiting one leg at if it's moving to your advantage" is not taken into account in this calculation, however it gives you a ball-park idea of how quickly the Drawdown can increase.
Thanks for your reply.

As mentioned thats why in my view the entry point is crucial. Meaning do not enter blindly into a trade just because of the divergence indicator. That of course also applies to the the % level 2,3,4 and so on.

Cheers
  • #2,862
  • Nov 23, 2010 6:47am Nov 23, 2010 6:47am
what's slightly unsettling is the arbitrary nature of choosing the start point for the divergence. I have just closed a number of short positions that opened last thursday. Max divergence about +2% I think.

However, starting again this morning the divergence is now negative so we'd be looking for a long positions. I'm not confident that we're able to define our zero position in any meaningful way.
  • #2,863
  • Nov 24, 2010 2:37am Nov 24, 2010 2:37am
Quoting elchoco
Hi,

I've attached a spreadsheet that I used to calculate possible drawdown with this system going to 10 levels....
Like in every strategy, there are risks. If a risk-free investment or trading opportunity is sought, government bonds are the best option.

I would not use the word 'demand' in this context - rather the strategy prepares you for something that not many traders are mentally prepared for: to face and deal appropriately with the possibility that any position taken in the market may (at first) move against the desired direction.

In my 20+ years in the market, I have seen people applying risk in the most peculiar ways. Of course one should not blindly bet the farm without any risk controls on any trade/investment. On the other hand, putting on a position in FX (whether spread or outright) that cannot sustain at least 1% adverse movement is rather dangerous.

As Spieler mentioned as well in the beginning - do not attempt to trade this without being sufficiently capitalized - because the nature of the strategy involving high margin requirements - ultimately caused by the possibility of the above mentioned adverse moves.

I am aware though that this is not for everyone - most would like to work on the basis that once you are in the market, the price shall move swiftly to any envisioned target and if it does not, the stop should preferably be 10 to 20 pips. The concept of having multiple positions and working them for a potential profit seems to put people off because it can involve 'real work' in the form of long hours and the stress of dealing with a drawdowns.

On a more general note:

Please traders, I know how that drawdowns can be painful - but you cannot trade without them. Even if some want to believe it, it is impossible. The trader who is willing to take 10 pip DD's will ultimately find that he/she will often end up with either much slower account growth or in worse cases a bigger overall DD after many trades than traders who deal appropriately with their [DD] occurrence. The main cause is the imbalance in capital vs risk per trade and position sizing. Trade intelligently by rather using smaller pip values and larger stops, add to winning positions and lighten them when they lose instead of trying for rigid 10 pip stop 20 pip profit on a daily basis. The market won't oblige to this type of rigidity.

Hope this helps.

regards
daytrading
Enter Signature
  • #2,864
  • Nov 26, 2010 8:51am Nov 26, 2010 8:51am
Hi Max,

If you don't mind, did you trade this "system" in August, and how did you manage it during that time? Just in general, not each specific position.
Quoting daytrading
One of the reasons a synthetic position (bid or offer in the spread) is built, is to sustain the fluctuation which the account would have difficulty to withstand in an outright EUR/CHF position with the same value.
I read the first 110 pages and then only Spieler's posts from then on (and yours, of course) and I'm under the impression that the only difference between taking a completely dollar-neutral position in eur/usd and usd/chf, and an outright position in the spread, is the ability to enter/exit one leg before the other, and any possible swap difference. Maybe also being able to weight them differently if it suits your purpose. The only extra fluctuation I can think of is possibly your original dollar neutrality can change as the two majors fluctuate. Other than that, as far as simply trading the spread goes I don't see a difference, so I don't understand what extra fluctuation an outright position would have as opposed to a synthetic.

Cheers
  • #2,865
  • Nov 30, 2010 3:26am Nov 30, 2010 3:26am
The e/f is down almost 2.5% without a slightest retracement. Wonder how far it will go before making some correction.
  • #2,866
  • Dec 7, 2010 11:47pm Dec 7, 2010 11:47pm
Quoting Eks
The e/f is down almost 2.5% without a slightest retracement. Wonder how far it will go before making some correction.
Haven't been trading this system but been thinking about this as well. It may be possible that this system may become obsolete? Especially if the underlying relationship between EUR/CHF undergoes a structural change. Or may it just be the case of an "extreme" deviation and will reverse shortly?
  • #2,867
  • Dec 16, 2010 8:32am Dec 16, 2010 8:32am
Quoting elchoco
what's slightly unsettling is the arbitrary nature of choosing the start point for the divergence. I have just closed a number of short positions that opened last thursday. Max divergence about +2% I think.

However, starting again this morning the divergence is now negative so we'd be looking for a long positions. I'm not confident that we're able to define our zero position in any meaningful way.


what have been your results trading this system ?
  • #2,868
  • Jan 16, 2011 5:49am Jan 16, 2011 5:49am
Hi,

Writing indicators for pairs trading I noticed metatrader4 displays charts slided.
Pls see on attached image. 3 charts should have exactly the same time values on the axis but they don't. The same issue appears on different symbols and timeframes. I wrote e.g. a script to calculate correlations between pairs and it shows not correct (imo) values because of the above issue.
Maybe you know how to resolve this problem?

Thanks
Attached Image (click to enlarge)
Click to Enlarge Name: sp500-nq100-dji30.gif Size: 90 KB
  • #2,869
  • Jan 19, 2011 11:38am Jan 19, 2011 11:38am
Quoting cornel
Hi,

Writing indicators for pairs trading I noticed metatrader4 displays charts slided.
Pls see on attached image. 3 charts should have exactly the same time values on the axis but they don't. The same issue appears on different symbols and timeframes. I wrote e.g. a script to calculate correlations between pairs and it shows not correct (imo) values because of the above issue.
Maybe you know how to resolve this problem?

Thanks

This SCRIPT will synchronize all open charts.....ENJOY
If you try to drag any chart...the rest of open charts will scroll together with used/scroled one!.....realy usefull crap if you ask me
Attached File(s)
File Type: mq4 SynchCharts.mq4   14 KB | 1,037 downloads
  • #2,870
  • Jan 26, 2011 2:45am Jan 26, 2011 2:45am
Thanks a lot! That's answer I was looking for!
  • #2,871
  • Feb 6, 2011 6:55am Feb 6, 2011 6:55am
Hello traders,

I would need your opinion on Hedge trading spieler system that I found on that forum.

I am still learning to trade forex and I tested a lot of systems with EA and I have not found any profitable system on longer period yet. Can someone who knows that system from his own experience honestly tell me about system performance.

Thank you,
Sulica
  • #2,872
  • Feb 6, 2011 3:40pm Feb 6, 2011 3:40pm
Quoting Sulica
Hello traders,

I would need your opinion on Hedge trading spieler system that I found on that forum.

I am still learning to trade forex and I tested a lot of systems with EA and I have not found any profitable system on longer period yet. Can someone who knows that system from his own experience honestly tell me about system performance.

Thank you,
Sulica
Don't touch it especially if you're still learning. As a strategy it is incomplete. Spieler left alot of loose ends untied. It uses a Martingale variant which has a possibility of blowing your account, unless you know how to limit the martingale trade management risks.

There are plenty of complete strategies on FF with good support. Even if most of them are not great, simply because of their completness and support, they are by far worth a better look.

Don't get me wrong, as a strategy it has its place, but I'd rather move on to the next thread.

JC
  • #2,873
  • Feb 7, 2011 4:11am Feb 7, 2011 4:11am
Hi Sulica,

I suggest you try this system for yourself ON DEMO so you can see its advantages and disadvantages. In my opinion this will help you in building the needed knowledge. I personally tested the systems but i blew up several demo accounts. I tried to adjust the entries (expanding the %) but even though i had substantial drawdowns. I took my lesons out of it, so i can say i was happy readying the entire thread and testing the strategy for myself.

BR,
EKS

Quoting Sulica
Hello traders,

I would need your opinion on Hedge trading spieler system that I found on that forum.

I am still learning to trade forex and I tested a lot of systems with EA and I have not found any profitable system on longer period yet. Can someone who knows that system from his own experience honestly tell me about system performance.

Thank you,
Sulica
  • #2,874
  • Edited 5:47am Feb 7, 2011 4:26am | Edited 5:47am
Quoting Waka
There are plenty of complete strategies on FF with good support. Even if most of them are not great, simply because of their completness and support, they are by far worth a better look.

JC
Could you let us know what other stratiegies you think of?
I was playing a bit with neutral hedge strategy but I was not happy with the results as well (http://www.forexfactory.com/showthread.php?t=85097).

cornel
  • #2,875
  • Feb 8, 2011 2:49am Feb 8, 2011 2:49am
Hello,

Thank you for your thoughts and suggestions!

I would like to tell you that I have done a lot of work with Martingale strategies, but with no success on long run.

/Sulica
  • #2,876
  • Feb 15, 2011 1:12pm Feb 15, 2011 1:12pm
I'd like to refresh the question: which hedging strategies you consider as complete and worth to take a closer look at?

Regards,
cornel
  • #2,877
  • Jul 17, 2011 12:05pm Jul 17, 2011 12:05pm
Hi everybody - I'm new to this forum and read this interesting thread plus the other one spieler used to mention on the first page completely. Besides having an overkill of information in my head there is one thing I need to get clear about... please correct me if I'm wrong: the difference between the indicators coded by swingman "spielers hedge divergenceStdDev_vX" and "spielers hedge divergence_vX" is that the StdDev entry levels also take into consideration if the divergergence moves stronger than usual, doesn't it? So adding to positions would sometimes be not the basic 25% 50% 75% but the levels shown here - did I get that right?

Best regards and sorry for my sometimes poor german englisch,

ck81
  • #2,878
  • Nov 30, 2011 9:26am Nov 30, 2011 9:26am
negative corr >92 on +1.10 % spread divergence on GBPUSD pair with spieler technic
OANDA
S 31600 AUDUSD /1.02883
S 20600 GBPAUD /1.53366 10:22 NYtime


will wait kiwis open
Attached Image (click to enlarge)
Click to Enlarge Name: trade.gif Size: 27 KB
  • #2,879
  • Dec 1, 2011 1:58am Dec 1, 2011 1:58am
B AUDUSD @1.01969 +288.82 USD
B GBPAUD @1.53606 -50.32 USD
Time: 2:50 NY 01 Dec /near kivi market close


Profit: 233.50 USD
Attached Image (click to enlarge)
Click to Enlarge Name: trade_end.gif Size: 27 KB
  • #2,880
  • Dec 6, 2011 4:39am Dec 6, 2011 4:39am
The SpielersHedge EA v 2.8.1 on this thread is programmed to only place trades on a demo account. Can someone modify it to place trades on a live account?
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