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Hedge and Correlation Strategy

  • #1,741
  • Jan 28, 2011 7:07pm Jan 28, 2011 7:07pm
I'm starting up an "I love SMJones--he's the best ever" collection. If anyone wants to contribute please PM me.

Quoting smjones
I think this will do it 1.5c. I cannot test it until Sunday, but I am pretty sure the logic is good. It is no problem at all. This should remember even if you turn everything off.
  • #1,742
  • Jan 28, 2011 7:26pm Jan 28, 2011 7:26pm
Bug in the Globals. I deleted the post and will upload the 1.6 version in a few. I am working on it.
  • #1,743
  • Jan 28, 2011 7:38pm Jan 28, 2011 7:38pm
Monarch, mainly just test, test, test. That's how we'll get some good data coming in.

Quoting monarch
I spent the week watching Eur/Usd against the USD/CHF, and was pleased.

I am thinking more of the positive for this week, I have smjones new indi showing all the pairs, so I have setup up at least 4 charts on a 1hour to daily, and will wait for the first red or blue line to cross those 20/80 lines.

I am thinking I need a lot more screen time to really understand this overall, if you have any pointers, I would really appreciate.

cheers.
  • #1,744
  • Jan 28, 2011 7:57pm Jan 28, 2011 7:57pm
Last trade this morning for +10. Great weak with a total of +93 pips. Thanks DL & Scott for a great thread & programming.
Attached Image (click to enlarge)
Click to Enlarge Name: dl.gif Size: 21 KB
  • #1,745
  • Jan 28, 2011 8:05pm Jan 28, 2011 8:05pm
This is the most robust version yet. It has a one dimensional array that places Global variables on to the hard drive so it will not forget where it was in the Alert Sequence for all pairs. It has a Correlation message that you can turn on or off.
Attached File(s)
File Type: mq4 Stochastic different pairs 1.6.mq4   13 KB | 1,679 downloads
  • #1,746
  • Jan 28, 2011 8:13pm Jan 28, 2011 8:13pm
thanks scott, excellent indi. very very useful

since it has 26 symbols and some of them huge spread, i deleted 13 from the code and it looks great.

i can take this indi and add the current stoch diff so that we can see at a glance what to pick for trading.

again thanks a lot
  • #1,747
  • Jan 28, 2011 8:15pm Jan 28, 2011 8:15pm
Quoting monarch
I spent the week watching Eur/Usd against the USD/CHF, and was pleased.

I am thinking more of the positive for this week, I have smjones new indi showing all the pairs, so I have setup up at least 4 charts on a 1hour to daily, and will wait for the first red or blue line to cross those 20/80 lines.

I am thinking I need a lot more screen time to really understand this overall, if you have any pointers, I would really appreciate.

cheers.
Hi Monarch, It is actually the Yellow line that is the difference between the two pairs that most people follow. When that yellow line gets above 80 then you sell the currency that has the stoch at the top and you buy the currency that has the stoch at the bottom. Then DL is closing when the Yellow line crosses down below the 50. Others go lower to try to bank more profit. It is safer on positive correlated pairs, but the negative correlated pairs can really increase the profit and the DD.
  • #1,748
  • Edited 8:51pm Jan 28, 2011 8:21pm | Edited 8:51pm
Quoting roundrock
thanks scott, excellent indi. very very useful

since it has 26 symbols and some of them huge spread, i deleted 13 from the code and it looks great.

i can take this indi and add the current stoch diff so that we can see at a glance what to pick for trading.

again thanks a lot
Sounds good, that is why I posted the code. So others can play with it if they want. Thanks

Also, Here is the Tradable Correlations Table with a title at the bottom and the stats of what time frame and the number of periods; ver 1.3
Attached Image (click to enlarge)
Click to Enlarge Name: correlations by rows.gif Size: 40 KB
Attached File(s)
File Type: mq4 Tradable Correlations 1.3.mq4   9 KB | 1,304 downloads
  • #1,749
  • Jan 28, 2011 8:34pm Jan 28, 2011 8:34pm
is this actually working for anybody, and profitable long term ?

can someone please put all the updates since the first post, on one page..
  • #1,750
  • Jan 28, 2011 8:39pm Jan 28, 2011 8:39pm
We've only been testing it a short while, nobody knows if it works or not.

As to the updates, since the first post, on one page, we are all very busy people. Feel free to do that, though, if you would like, as it would be helpful to others as well.

Quoting whatfx
is this actually working for anybody, and profitable long term ?

can someone please put all the updates since the first post, on one page..
  • #1,751
  • Jan 28, 2011 8:39pm Jan 28, 2011 8:39pm
Quoting roundrock
thanks scott, excellent indi. very very useful

since it has 26 symbols and some of them huge spread, i deleted 13 from the code and it looks great.

i can take this indi and add the current stoch diff so that we can see at a glance what to pick for trading.

again thanks a lot
Hey roundrock, notice how the correlation calculations are in their own function. If you want to use it for something else. If you have any questions, about my crazy ass code, just ask me either by PM or here.
  • #1,752
  • Jan 28, 2011 9:03pm Jan 28, 2011 9:03pm
So what does the Correlation D1 @ 50 periods tell us?
  • #1,753
  • Jan 28, 2011 9:08pm Jan 28, 2011 9:08pm
Quoting scali71
So what does the Correlation D1 @ 50 periods tell us?
Are you pulling my leg or is this a serious question?

If you are serious, it means that the time frame for the correlation calculations is from the daily and the number days looked at is 50. All of this is adjustable. Correlation is not a static thing. It is dynamic and based on moving criteria. Please go to Wikipedia and read about correlation studies.
  • #1,754
  • Jan 28, 2011 9:11pm Jan 28, 2011 9:11pm
i took scott's ea and modified it to show the current stoch diff along side the corelation factor. this will help monitor multiple pairs from one table without having to load the graphical indi on each symbol chart.

i trimmed the high spread pairs. however you can easily add, open the code, add new symbol in init method and change 13 to 14 in 3 places. thats all

you can hide corelation factor and/or stoch diff using ShowCorelation, ShowStochDiff. you can also change the timeframe to calculate current stoch diff using (StochTimeframe)
Attached File(s)
File Type: mq4 Tradable Correlations_StochDiff.mq4   8 KB | 1,030 downloads
  • #1,755
  • Jan 28, 2011 9:13pm Jan 28, 2011 9:13pm
Scott, on the Correlation Table Indicator, is it possible to remove duplicates? For instance, AUD/JPY AUD/NZD is also listed as AUD/NZD AUD/JPY, and the same with a few other pairs, such as EUR/AUD EUR/CHF and then listed against as EUR/CHF EUR/AUD. Just wondering if we can remove duplicates in some way? If not no problem.
  • #1,756
  • Jan 28, 2011 9:13pm Jan 28, 2011 9:13pm
Quoting smjones
Hi Monarch, It is actually the Yellow line that is the difference between the two pairs that most people follow. When that yellow line gets above 80 then you sell the currency that has the stoch at the top and you buy the currency that has the stoch at the bottom. Then DL is closing when the Yellow line crosses down below the 50. Others go lower to try to bank more profit. It is safer on positive correlated pairs, but the negative correlated pairs can really increase the profit and the DD.
Great, I have only this past week watching, and trying to put it all together.
I understand this know even more, and I will try to do some live testing and trading this week.
I will post charts if I see anything that really stands out, and also my input on what things to consider before taking the actual live trades.
Thanks for all the indi's they are awesome.

cheers
  • #1,757
  • Jan 28, 2011 9:16pm Jan 28, 2011 9:16pm
Quoting roundrock
i took scott's ea and modified it to show the current stoch diff along side the corelation factor. this will help monitor multiple pairs from one table without having to load the graphical indi on each symbol chart.

i trimmed the high spread pairs. however you can easily add, open the code, add new symbol in init method and change 13 to 14 in 3 places. thats all

you can hide corelation factor and/or stoch diff using ShowCorelation, ShowStochDiff. you can also change the timeframe to calculate current stoch diff using (StochTimeframe)
Wow, Talk about trading without a chart. Pretty nice!
  • #1,758
  • Jan 28, 2011 9:20pm Jan 28, 2011 9:20pm
Roundrock, help us non-tech types understand how to use this indicator. Put it on one chart and then do what?

Quoting roundrock
i took scott's ea and modified it to show the current stoch diff along side the corelation factor. this will help monitor multiple pairs from one table without having to load the graphical indi on each symbol chart.

i trimmed the high spread pairs. however you can easily add, open the code, add new symbol in init method and change 13 to 14 in 3 places. thats all

you can hide corelation factor and/or stoch diff using ShowCorelation, ShowStochDiff. you can also change the timeframe to calculate current stoch diff using (StochTimeframe)
  • #1,759
  • Jan 28, 2011 9:26pm Jan 28, 2011 9:26pm
Quoting Dreamliner
Scott, on the Correlation Table Indicator, is it possible to remove duplicates? For instance, AUD/JPY AUD/NZD is also listed as AUD/NZD AUD/JPY, and the same with a few other pairs, such as EUR/AUD EUR/CHF and then listed against as EUR/CHF EUR/AUD. Just wondering if we can remove duplicates in some way? If not no problem.
Yes it is. But I would have to think about it and get back to you later. I would have to write a filter that compares symbols. Hmm, not tonight.
  • #1,760
  • Jan 28, 2011 9:28pm Jan 28, 2011 9:28pm
Quoting smjones
Yes it is. But I would have to think about it and get back to you later. I would have to write a filter that compares symbols. Hmm, not tonight.
No problem at all...thanks much!
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