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Hedge and Correlation Strategy

  • #1,701
  • Jan 28, 2011 8:35am Jan 28, 2011 8:35am
Thank you for the nice catch, Steve, I've updated it now.

Quoting StephenS
Many thanks to all here for such an enjoyable thread, especially to SMJones and Dreamliner, as I've always learned so much from you guys over the past 2+ years. Dreamliner - just wanted to advise the web site on your revised first post should be http://www.mataf.net/en/tools/01-01-correlation and not mataf.com. Thanks again for being so generous - all the best - Steve
  • #1,702
  • Jan 28, 2011 8:37am Jan 28, 2011 8:37am
Quoting navk
This is the 4 hr chart.
navk,

in this case the correlation -if I was looking right- nor is strong positive neither negative. You are going only to the stoch numbers?

josch
trading is war - life is simple
  • #1,703
  • Jan 28, 2011 8:57am Jan 28, 2011 8:57am
Quick question on the EA... Does it need to be attached to both charts or will one suffice. For example if I set it up for EURUSD/USDCHF Do I need it on both charts or just on or the other?
Over confidence can be a moral hazard.... not to mention a financial one!
  • #1,704
  • Jan 28, 2011 9:06am Jan 28, 2011 9:06am
Friends, I think this also similar to this thread ...

http://www.forexfactory.com/showthre...81#post4154181

Happy Trading ..

Arun...
  • #1,705
  • Jan 28, 2011 9:07am Jan 28, 2011 9:07am
Quoting Mcforex
Quick question on the EA... Does it need to be attached to both charts or will one suffice. For example if I set it up for EURUSD/USDCHF Do I need it on both charts or just on or the other?
on any one chart. give proper first symbol, second symbol values
  • #1,706
  • Jan 28, 2011 9:29am Jan 28, 2011 9:29am
That is exactly right. There is no "hedging" whatsoever when you do negative correlation pairs. There is "some" hedging when doing positive correlation pairs.

Quoting IamTHAT
buy eurusd and buy usdchf becomes buy eurchf and that is negative correlation.
buy eurusd and sell usdchf becomes almost equivalent to sell 2usd, buy 1eur and buy 1 chf, that is almost equivalent to buying 2 eurusd.
  • #1,707
  • Jan 28, 2011 9:30am Jan 28, 2011 9:30am
PIPmonger!

I had to fly all night so couldn't trade at all, I see now who was collecting all my pips.

Quoting navk
Two more closures this morning. + 28 pips !
  • #1,708
  • Jan 28, 2011 9:32am Jan 28, 2011 9:32am
Quoting navk
The stoc diff is + 80 % in the eurusd - usd-chf pair set. This is in the 4 hour chart. I set 100 pips profit. Let us see what happens. This is only on demo. I entered sell eurusd, buy usdchf.
i have seen the prev instances where stoc diff exceeded 80, it stayed above 80 for 3-4 days. and to come to median (50%) it took couple of weeks.

you need to watch how the stoch lines are moving. if they are expanding, dont enter. wait. when they are converging, thats when you need to enter.

in any case be prepared for some DD
  • #1,709
  • Jan 28, 2011 9:43am Jan 28, 2011 9:43am
USD/CHF-AUD/CHF, open at 80%, just closed at +15 pips.....
  • #1,710
  • Jan 28, 2011 9:53am Jan 28, 2011 9:53am
Quoting navk
The stoc diff is + 80 % in the eurusd - usd-chf pair set. This is in the 4 hour chart. I set 100 pips profit. Let us see what happens. This is only on demo. I entered sell eurusd, buy usdchf.
As of now 80 pips profit
Intraday only.
  • #1,711
  • Jan 28, 2011 11:00am Jan 28, 2011 11:00am
Quoting navk
As of now 80 pips profit
Came out with 70 pips profit. Still the stoc diff in 4 hr chart is 73 %
Intraday only.
  • #1,712
  • Edited 3:02pm Jan 28, 2011 12:08pm | Edited 3:02pm
I have written another indicator that is adjustable. It will print a table of correlated pairs, both positive and negative based on your input criteria. I am also including a DOC that explains the inputs.

Hope you find it of some use. I have made them sorted in alphabetical order. Left to right.

Go to this post for the latest version 1.1
http://www.forexfactory.com/showpost...postcount=1718
Attached Image (click to enlarge)
Click to Enlarge Name: correlations.gif Size: 62 KB
Attached File(s)
File Type: doc Tradable Correlations Indicator Input meanings.doc   20 KB | 1,508 downloads
  • #1,713
  • Jan 28, 2011 12:23pm Jan 28, 2011 12:23pm
1.5b If you want to use it also prints the correlation of the pair it is set for.
Attached Image (click to enlarge)
Click to Enlarge Name: pair diff.gif Size: 21 KB
Attached File(s)
File Type: mq4 Stochastic different pairs 1.5b.mq4   11 KB | 1,254 downloads
  • #1,714
  • Jan 28, 2011 12:52pm Jan 28, 2011 12:52pm
Quoting smjones
1.5b If you want to use it also prints the correlation of the pair it is set for.
Excellent info once again. Now i dont need to check mataf site often.
Intraday only.
  • #1,715
  • Jan 28, 2011 1:44pm Jan 28, 2011 1:44pm
smjones,

you really are nearby of 'unbelievable'. Thank you for this useful supplements!

josch
trading is war - life is simple
  • #1,716
  • Jan 28, 2011 1:59pm Jan 28, 2011 1:59pm
I made a small change for cosmetic reasons to eliminate the extension after the currency name. Makes it easier to read and more standard.

It still will automatically find your extension for the calculations.

So just down load it again if you want the cosmetic upgrade.
  • #1,717
  • Jan 28, 2011 2:43pm Jan 28, 2011 2:43pm
Hi guys,

This thread is amazing. I started my test on it all the night and the day. Each time, i'm out with profit. ( sometimes, a trade is a lost beacause of my spread but the other trade cover it).

I read some of you set TP.
What was your "best tp"? What could be the Max dd? And around how much good setup we could have on a 1min with 80% diff in one pair?

I Will try answer these questions this week end, but if you guys can answer let me know ^^

Take care and have Nice pip !
  • #1,718
  • Edited 5:04pm Jan 28, 2011 3:00pm | Edited 5:04pm
I added a input to sort either by Column or if set to false, by row.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: correlations by columns.gif Size: 53 KB
Click to Enlarge Name: correlations by rows.gif Size: 47 KB
Attached File(s)
File Type: mq4 Tradable Correlations 1.2.mq4   8 KB | 1,573 downloads
File Type: tpl correlation table.tpl   25 KB | 1,350 downloads
  • #1,719
  • Jan 28, 2011 3:04pm Jan 28, 2011 3:04pm
Quoting sulf
Hi guys,

This thread is amazing. I started my test on it all the night and the day. Each time, i'm out with profit. ( sometimes, a trade is a lost beacause of my spread but the other trade cover it).

I read some of you set TP.
What was your "best tp"? What could be the Max dd? And around how much good setup we could have on a 1min with 80% diff in one pair?

I Will try answer these questions this week end, but if you guys can answer let me know ^^

Take care and have Nice pip !
Hi, I think it's early to know the best TP. The safer is to exit at 50%, or 20% or when they cross, but sometimes this action will produce a loss. For now, with a fixed TP, my max DD is 126 pips..... Always finish with profit but it's too early.
Another problem will be the spread, maybe for some pairs is excesive for so small profit. We have to test more....
  • #1,720
  • Jan 28, 2011 3:09pm Jan 28, 2011 3:09pm
Quoting smjones
I have written another indicator that is adjustable. It will print a table of correlated pairs, both positive and negative based on your input criteria. I am also including a DOC that explains the inputs.

Hope you find it of some use. I have made them sorted in alphabetical order. Left to right.

Go to this post for the latest version 1.1
http://www.forexfactory.com/showpost...postcount=1718
smjones,

beside all valid positive correlations my screen shows me about 120 negative correlations, and about 100 of them with a value -200%. Seems to be pairs which don't exist with my broker (i.e. AUDCHF). Any idea?

josch
Attached Image (click to enlarge)
Click to Enlarge Name: xmkt 03.19 am.gif Size: 43 KB
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