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Hedge and Correlation Strategy

  • #1,961
  • Jan 31, 2011 8:38am Jan 31, 2011 8:38am
Quoting Dreamliner
What was your entry and exit criteria?
80 and 20 using the ea
  • #1,962
  • Jan 31, 2011 8:40am Jan 31, 2011 8:40am
This would be ideal; to have the pair that is above 80 or below -80 to change to a different color. We'll see...

Quoting goldsurfer
Hi All, very interesting thread

Could the Tradeable Correlations be made into ....say a top 20....user could input criteria...like spread and current stoch diff....when the stoch diff hit user input the pair could flash a different color

Just an idea.....monitoring 20 or so on a M5 board....one can accomplish pretty much the same I suppose by just deleting all the pairs in the code but the ones he wants to watch.

cheers
  • #1,963
  • Jan 31, 2011 8:48am Jan 31, 2011 8:48am
Quoting navk
Thanks, one more question. The table shows stoc diff numbers in positive and negative. How do you interpret this ?

For example, for gbpchf and usdchf pair set i am seeing corelation number 89.4 and stoc diff 42. With this info, which pair is at bottom and top of stoc ?

I mean which one to enter long and short ?

Thanks
NAVK, You seem to be really good at this.

What pairings are you watching? I would like to follow along.
  • #1,964
  • Jan 31, 2011 8:49am Jan 31, 2011 8:49am
FYI

Just re-re -re read post 1
DL has a very concise, step by step way to trade this "system"

please read it. It has answered some questions I had

I know how some feel . . . this thread is going a 100 mph ..... but if a person refers back to post 1 I'm sure DL will have most of the answers there.....
  • #1,965
  • Jan 31, 2011 8:50am Jan 31, 2011 8:50am
Quoting Dreamliner
This would be ideal; to have the pair that is above 80 or below -80 to change to a different color. We'll see...
exactly what i did this morning, pairs change color on abs(diff) > 80. also added an alarm (only plays once every minute).

based on the version with spread.
Attached File(s)
File Type: mq4 Tradable Correlations with spreads.mq4   14 KB | 963 downloads
  • #1,966
  • Jan 31, 2011 8:54am Jan 31, 2011 8:54am
Quoting tjfxtrader
NAVK, You seem to be really good at this.

What pairings are you watching? I would like to follow along.
No matter which currency pair set. Lol I follow all positive and negative corelated pairs. This is testing time. Infact i profited more on negative corelated pairs then positive corelated.

The positive corelated takes more time to close....... looks to me as of now. Also it is diificult to get 80 % stoc diff in positive corelated pairs.

Readers, your opinion on positive and negative corelated pairs are welcome.
Intraday only.
  • #1,967
  • Jan 31, 2011 8:55am Jan 31, 2011 8:55am
StockZen, thank you very much.

Just so we're clear; if a quad goes above 80% it will change color and give an alert, correct? Also, how about if it goes below -80, same thing? We need it to do both.

Quoting stock zen
exactly what i did this morning, pairs change color on abs(diff) > 80. also added an alarm (only plays once every minute).

based on the version with spread.
  • #1,968
  • Jan 31, 2011 8:58am Jan 31, 2011 8:58am
You do NOT want my view on negative correlated pairs . Seriously, one negatively correlated one that gets away from you and you're sunk in the water. Just once. Watch it happen, for it surely will. But until then you'll bank some really good pips. Keep us updated!

Quoting navk
No matter which currency pair set. Lol I follow all positive and negative corelated pairs. This is testing time. Infact i profited more on negative corelated pairs then positive corelated.

The positive corelated takes more time to close....... looks to me as of now. Also it is diificult to get 80 % stoc diff in positive corelated pairs.

Readers, your opinion on positive and negative corelated pairs are welcome.
  • #1,969
  • Jan 31, 2011 8:59am Jan 31, 2011 8:59am
Quoting Dreamliner
StockZen, thank you very much.

Just so we're clear; if a quad goes above 80% it will change color and give an alert, correct? Also, how about if it goes below -80, same thing? We need it to do both.
yeah, works for both.
  • #1,970
  • Jan 31, 2011 9:04am Jan 31, 2011 9:04am
Quoting Dreamliner
You do NOT want my view on negative correlated pairs . Seriously, one negatively correlated one that gets away from you and you're sunk in the water. Just once. Watch it happen, for it surely will. But until then you'll bank some really good pips. Keep us updated!
I think it is worth to watch both in order to analyse. After all we are testing now. Not on live.
Intraday only.
  • #1,971
  • Jan 31, 2011 9:06am Jan 31, 2011 9:06am
Quoting Caillou
14H45 (GMT+1), Buy GBP/CAD, Sell EUR/JPY, entry at 76% (canīt wait for 80%), waiting for 50%, 20% and 0% (cross) in order to compare profits......
Just closed trades at 0% (cross) with +42 pips (my record).....

At 20% it would be 31 pips, at 50% 20 pips. Obviously, this was a live trade with small size, with 1 lot I donīt think I would have so much patience untill I have a great confidence with the strategy, and this is just a matter of practice with it.

For now, total for today: 9 + 42 = 51 pips.

A possible trade now on GBP/CHF-USD/CHF, 66% Diff, letīs wait a bit more......
  • #1,972
  • Jan 31, 2011 9:09am Jan 31, 2011 9:09am
I agree with you, I just want newbies to be aware of the huge risk of trading this with negative correlated pairs (also the huge reward).

Quoting navk
I think it is worth to watch both in order to analyse. After all we are testing now. Not on live.
  • #1,973
  • Jan 31, 2011 9:12am Jan 31, 2011 9:12am
Very very good!

I've closed 2 trades now on GBP/NZD and USD/JPY at +15 and +12 each. I'm still closing at 50%, don't have as much tolerance for risk .

Quoting Caillou
Just closed trades at 0% (cross) with +42 pips (my record).....

At 20% it would be 31 pips, at 50% 20 pips. Obviously, this was a live trade with small size, with 1 lot I donīt think I would have so much patience untill I have a great confidence with the strategy, and this is just a matter of practice with it.

For now, total for today: 9 + 42 = 51 pips.

A possible trade now on GBP/CHF-USD/CHF, 66% Diff, letīs wait a bit more......
  • #1,974
  • Jan 31, 2011 9:14am Jan 31, 2011 9:14am
Quoting navk
No matter which currency pair set. Lol I follow all positive and negative corelated pairs. This is testing time. Infact i profited more on negative corelated pairs then positive corelated.

The positive corelated takes more time to close....... looks to me as of now. Also it is diificult to get 80 % stoc diff in positive corelated pairs.

Readers, your opinion on positive and negative corelated pairs are welcome.
I totally agree with Dreamliner, I have done some backtests this weekend with negative correlated pairs, good profits usually but with only one bad trade, the DD could be extremely big and long, all your previous profits could be lost.

And donīt forget with opposite trades (Buy/Sell) with positive correlated pairs you have a quasi-hedge, wich make your position very stable. With negative correlated pairs, you donīt have that, unless you make the same trade (Buy/Buy or Sell/Sell).

It is good to test, but this is my opinion. Good luck anyway.
  • #1,975
  • Jan 31, 2011 9:17am Jan 31, 2011 9:17am
Quoting stock zen
yeah, works for both.
Great job on your changes to Tradable Correlations. Just one note, you probably want to delete the ArrayResize() function calls in the code, because as I understand the way it works, it could cause the arrays to get smaller and smaller until they do not hold all the occurrences. I did delete the ArrayResize from my Tradable Correlation indi and just left it static at 676 which is all the possibilities. Just my thoughts on it. Your solution for the alert once is ingenious. Thanks again,Scott
  • #1,976
  • Jan 31, 2011 9:19am Jan 31, 2011 9:19am
Would it be too much to ask to turn the color bright yellow instead of dark green when it triggers?

Quoting stock zen
yeah, works for both.
  • #1,977
  • Jan 31, 2011 9:20am Jan 31, 2011 9:20am
Quoting Caillou
I totally agree with Dreamliner, I have done some backtests this weekend with negative correlated pairs, good profits usually but with only one bad trade, the DD could be extremely big and long, all your previous profits could be lost.

And donīt forget with opposite trades (Buy/Sell) with positive correlated pairs you have a quasi-hedge, wich make your position very stable. With negative correlated pairs, you donīt have that, unless you make the same trade (Buy/Buy or Sell/Sell).

It is good to test, but this is my opinion. Good luck anyway....
AGREED. But i am only testing.
Intraday only.
  • #1,978
  • Jan 31, 2011 9:29am Jan 31, 2011 9:29am
Quoting Dreamliner
Would it be too much to ask to turn the color bright yellow instead of dark green when it triggers?
sure, i added it as an input. its called "HighlightColor".

Quoting smjones
Great job on your changes to Tradable Correlations. Just one note, you probably want to delete the ArrayResize() function calls in the code, because as I understand the way it works, it could cause the arrays to get smaller and smaller until they do not hold all the occurrences. I did delete the ArrayResize from my Tradable Correlation indi and just left it static at 676 which is all the possibilities. Just my thoughts on it. Your solution for the alert once is ingenious. Thanks again,Scott
didnt really look at the rest of the code, but its removed now.
Attached File(s)
File Type: mq4 Tradable Correlations with spreads.mq4   14 KB | 906 downloads
  • #1,979
  • Jan 31, 2011 10:03am Jan 31, 2011 10:03am
1 min now....

Look and do below

GBPAUD - Sell
EURAUD - Buy
  • #1,980
  • Jan 31, 2011 10:13am Jan 31, 2011 10:13am
I am only getting 16 +ve correlated pairs whereas berfore i got 32+
Quoting stock zen
sure, i added it as an input. its called "HighlightColor".



didnt really look at the rest of the code, but its removed now.
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