Hedge and Correlation Strategy

I am sure this may have been considered - but the relative value of a pip on agiven basket is very significant - Is there a lot size calculator so that 1 pip movement is equal . Or as the two stochist converge a %point movement in each direction equates to the same value - It would be great if 30% convergence could equate to a projected pip movement ( I know this is a as toch tradiing system and the movement is not equal all the time but with the work done here and imagination maybe it can be done)

This is an important point, one I have considered as I've seen the pip values so different for each quad. I don't know what to do about it, and right now am just taking the trades as they come, but I believe it will be important to consider in the future.

no idea why, i didnt change the actual code. have you used an old version with duplicates still in?

Mr.Dreamliner, exactly... that is what I was talking about, I think it could be solved by right lot size (some special ratio between buy/sell lot size ... not 0.1 lot for buy and 0.1 for sell)... some pairs are moving faster than another, or they are "stronger".. and right lot size ratio (for example buy 0.08 and sell 0.12 could solve it... of course in case that your broker support your own size of lot (Admiral Market does).. now I´m trying to find the way how to calculate this ratio.

It is clear how I mean it ?

btw. sorry for my english (it´s not my mother language)

DELETE

Great job Stock zen but sometimes I got wrong alert....

I have just tried the EA (Stock Diff 2 Pair) on EURAUD/GBPJPY which is currently showing 85%+ but it keeps opening and closing trades immediately. No idea why as it seems to be configured correctly. The EA is turned off in the attached screen shot becuase it just kept opening and closing..

Any ideas please?

EDIT: By the way I have taken the trade manualy and it is looking very prminsing.

I certainly thing volotility could be used ie some sort of atr calculation as a multiplier or inverse multiplier of lot size base eg 0.01 if atr on one pair is much higher than another then that could be 0.01 and the less volitiile a multiple of this dependent on atr values say 0.03 - worth considering

Hi guys,

Thanks all for this interesting strategy, DL for the thread itself, Caillou for the Stoch(100) idea that revived the thread, Roundrock for the auto-trader EA, smjones and monarch for the indicators(Stoch-Diff and Tradable-Correlations), the original coder of the most useful OverLayChart indicator, and i am missing many others here i'm sure!
And of course our restless Steve Hopwood for his "Going Home" multi-pair EA forked thread.

I have been using rounrock's EA until now, running on 2 charts only, to watch closely the behaviour of the EA compared to the indicators output and price movements.

I'm running it on a negatively correlated pair and a positively correlated pair:
- EURUSD/USDCHF
- EURUSD/EURCAD

I run both on M1 charts only, and i am looking at the M1 correlation over the last 10000 M1 bars
-- i am not using the default Daily correlation, that's just my choice to see how the M1 correlation value changes over time.
I have not yet looked if there is very significant difference in the Correlation using different timeframes but the same duration in the past (e.g 10000 M1 bars vs 167 H1 bars for instance), just no time for this right now...

So i just picked a number...
I tried 5000 M1 bars but that seemed too "erratic", giving too much "noise" to the correlation value.
We could calc the stddev of the correlation for various durations, and pick one that gives less stddev, meaning more stable over time.
Just an idea again -- i might look into this direction some day.
"R" would be most useful here.

Anyway, back to my main topic: the EA.
I made a number of changes to roundrock's EA, to get more visual feedback on the screen about what is going on with the trades.

Here are my main changes so far:

- added optional "ProfitTarget" input: will close both trades if the combined profit reaches this value (including swap and commission)
(value in your account's currency: 10.0 means 10USD is your account is in USD, or 10EUR if EUR account);
- visual cosmetic changes:
- trades opening is marked with a blue vertical line on the chart;
- trades closure is marked with a red vertical line on the chart;
- the Comment area displays various useful information:
- EA start time and uptime;
- Stoch values for both pairs, and Difference;
- currently or last opened trades: pairs, direction, current individual profit/loss in account's currency units,
- combined profit/loss, and MAX DRAWDOWN -- this will be helpful to determine inputs tuning;
- last trades closure time
- these informations are also partially printed in the terminal log, so you can dig there for past information (opening/closure time+prices, combined P/L and max DD);
- some robustness improvements in the trade commands;
- some "cosmetic" code changes (inputs names, tabs, etc)


I hope you'll find these useful to yourself.

Here is a screenshot of today's trades taken with this modified EA, to give you an idea:
-- the blueish price candles are the OverLayChart of USDCHF (or EURCAD for the second chart) over EURUSD (in green/red candles)
The last trades gave 14.49USD profit, for a max DD of -26.45 -- so the R/R ratio is not good at all, but this is expected with negatively correlated pairs.
It could have become really uggly if EURUSD had not turned around...



But this is still much better than the trade on EURUSD/EURCAD, which gave 34.38USD LOSS, with a max DD of .... -77.29!
Not very nice for positively correlated pairs...


I must say i have set the EA to open when stoch Diff is above 60 only (too early, as we can see on the chart), and close below 20 -- much too early also.

I think i should leave 80 level for opening, and i will probably use 0 for closing, which means closing when stochs cross.
-- I might have to change the code to allow that to work properly, because the stoch cannot be negative, and a too small value may possibly not trigger the closure at all!
I'll report the changes if needed.





I also attached the overlaychart indi that i have slightly modified to display the overlay pair on top right corner.


Sq

This is really good. A question; I had an issue with the other EA that the trades were opening and closing repeatedly. I just realised it was perhaps becuase I left the magic number the same on all EAs? (really sorry if this was mentioned previously). Seems obvious now, as in this case the same pair will be under and EA on a different 'quad'. So the question (I know this should be a no-brainer) should we set a different number for each instance of the EA?

Many thanks.

Z

I just had that happen to me as well. Opened and closed immediately.

Sounds really good, Squalou.

I have started a trade at 16h16 (GMT+1), GBP/CHF-USD/CHF at 80%, at 50% result was -44 pips, at 20% -60 pips and at 0% wich is now -70 pips.

I´m going to test if it will close at BE or wich could be the DD.....

We must take some losses but obviously if the R:R is so bad, we have to change something....let´s see......

You have to change magic number if you are using in diff. pair sets. I had same prob, now it is ok after changing magic number.

I too have opened a trade in the morning when i saw the stoc diff was 80 in these pair sets. Now the DD is -40 pips.

I have found that when the M5 or maybe Squalou can attest to the M1 gives the OS/OB signal between the two stochs then it is the start of a trend for the day.

You can use a trend following technique to captilize on the move without deciding direction ahead of time (Don't sell OB or buy OS because you are not making assumptions).

The indicator may be a good timer on the start of your strategy.

Hope this helps someone!

Jag

there was a bug in the alert code that i didnt notice. should work now.

I have been doing a bit of coding.

Going Home trade sending script
This goes into your Scripts folder.

 

1. Drag it onto the chart
2. set your lot size
3. enter the buy and sell symbols into the relevantboxes
4. save as a set file in case you need to cancel the trade before confirming the send
5. click 'OK' to send the trade

Not much of a time advantage is using the script, I suspect, but I will look at automating some of the features - not sure which or how. It might be just as easy to use the platform's order sending feature.

Going Home trade closure EA
This goes in your Expert's folder. It monitors the trades, looking for a drop of the stoch difference below your chosen number. Nothing you cannot do manually, but you can go to bed/the toilet/answer the phone confident that you will not miss a trade closure event.

 

1. enter the trade symbols and ticket numbers into their respective boxes. Leave one of them blank if you are only trading one pair.
2. set your CloseBelow value to the stoch difference below which you want to close the trade/s.
3. the EA displays the ticket numbers and stoch difference as feedback that you have entered the values correctly.

I left the EA in charge whilst I ate my evening meal tonight, and returned to find it had neatly done its job. Once finished, the ea hangs up its hat and can be removed.

I got into a neat rhythm earlier today:

 

1. spot a trading opportunity
2. drag the script, alter the inputs and save as a set file for just in case
3. drag the EA, alter the inputs and save the set file in case I had to re-drag

A bit of a faff at first, but I speeded up quickly.

Hi fellow traders,

I've been reading this thread intently for a week now and find the latest concept very interesting. I used to trade by way of hedging 3 pairs at once and closing when total profit reached 1% of my account. It went well for a while, it was like a money making machine. But one day my drawdown went as far as -15% of my account and I closed out. Interestingly the trades eventually went back into profit and would have hit my 1% target but it scared me off this method as the risk was far too high without a stop.

I would like to test this latest method here out over the coming weeks and see if I can add anything worthwhile to the strategy after being very familiar with my old method.

I'm trying to set up the charts with the indicators but the Pair Difference in Pips indie is not working. Perhaps we need the template and necessary indicators to be posted on one page.

Thanks to those who have put so much work into this thread and the various versions of the strategy.

Happy trading,

Roofx

I just switched computer and have the same problem on my second computer.

Roofx,

Can you go into your previous trading method? It sounds very interesting. Thanks.