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Hedge and Correlation Strategy

  • #2,001
  • Jan 31, 2011 3:11pm Jan 31, 2011 3:11pm
First , Thank you stock zen , for the alert code indi , thats very helpful.

Today Jan 31, I opened a Sell gbpchf at 1.50074 and Buy usdchf 0.93972 at 10.19 am Est (NYtime) on real account at 0.01 lots . These were at that time approx 85% positively correlated pairs , and the yellow line was just around the 80 line . Now at 3.50 pm gbpchf is -$12.27 and usdchf is +$4.16 overall -$8.11 I will keep these pairs and watch where they will go for sometime .
I really need to try the EA next time , cause this will otherwise seem to require lots of watching time, which I lack.
Have a Good one , everyone .
  • #2,002
  • Edited 3:50pm Jan 31, 2011 3:20pm | Edited 3:50pm
Quoting Kowalczyk
I just switched computer and have the same problem on my second computer.
I found what my problem was.

I started fresh with a dim gray screen, and on my main candles I changed them to light blue for Bullish, and dark blue for Bearish, I do not put the overlay on till later.
Then I put the stochastic indi's I want for the pairs to correlate, normally up to 3 of these, on this indi, I color coordinate my opposing color, which is red by default.
I go Red for pair 1, Orange for pair 2, and Green for pair 3.
After I have done that, and have not put on the overlay indi yet, I make it my basis template.

After that, I put the overlay on for each pair I am using as per the stock color, it is here I change the colors of the overlay, and I put NONE on the grid colors. That took care of it for me.

Each time I want to make a new chart, I have the template set for stochs, just add the pairs you want to trade and change the stoch and add the overlay.

Here is the pic of my template before overlay.

NOTE: Once you have the overlay indi up, you cannot change it to another pair, it will put the grids on, I erase the overlay, and just put a new one on with the new pair.
Attached Image (click to enlarge)
Click to Enlarge Name: Template chart.jpg Size: 103 KB
  • #2,003
  • Jan 31, 2011 3:22pm Jan 31, 2011 3:22pm
Quoting SteveHopwood
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....

Great Idea Steve can't wait to try

One suggestion
After saving a set file for the script could one load the set file into the ea
so as to save time and acuracy....not a programmer not sure can be done
  • #2,004
  • Jan 31, 2011 3:27pm Jan 31, 2011 3:27pm
Here is the pic of my chart after the overlay is installed.

I have Primary chart as my BLUE, which is blue line on all the stochs.

Then Red for first stoch pair, Orange for second stoch pair, and Green for 3rd stoch pair, all matching the 5m candles above.

cheers.
Attached Image (click to enlarge)
Click to Enlarge Name: 4 pair chart.jpg Size: 123 KB
  • #2,005
  • Jan 31, 2011 3:33pm Jan 31, 2011 3:33pm
Quoting dryclean
Great Idea Steve can't wait to try

One suggestion
After saving a set file for the script could one load the set file into the ea
so as to save time and acuracy....not a programmer not sure can be done
No, sadly, because it would sure make life easier. This only works if the number of inputs are the same.

  • #2,006
  • Jan 31, 2011 3:47pm Jan 31, 2011 3:47pm
Quoting SteveHopwood
Quoting dryclean
Great Idea Steve can't wait to try

One suggestion
After saving a set file for the script could one load the set file into the ea
so as to save time and acuracy....not a programmer not sure can be done
No, sadly, because it would sure make life easier. This only works if the number of inputs are the same.



I think it would work if the inputs have the SAME NAMES.
A set file is only a text file made of "input_name = value" on each line;
You can list the inputs in whatever order you want, have lines giving inputs that the EA does not use/define, it won't matter: the EA will load only those inputs it knows about, as long as they have the same name (case sensitive, be careful), and ignore those it doesn't know.

So, yes, the same set file could be used for various EAs/scripts if they share the same input names.

That's worth trying, it would indeed make life easier!

Sq
  • #2,007
  • Jan 31, 2011 3:53pm Jan 31, 2011 3:53pm
Quoting squalou
I think it would work if the inputs have the SAME NAMES.
A set file is only a text file made of "input_name = value" on each line;
You can list the inputs in whatever order you want, have lines giving inputs that the EA does not use/define, it won't matter: the EA will load only those inputs it knows about, as long as they have the same name (case sensitive, be careful), and ignore those it doesn't know.

So, yes, the same set file could be used for various EAs/scripts if they share the same input names.

That's worth trying, it...
Cheers sq. Off to play with it.

  • #2,008
  • Edited 6:25pm Jan 31, 2011 4:00pm | Edited 6:25pm
Quoting Zr-fx
It's a good question becuase when I look back I see the same thing. The possibilities are wither I made a mistake by entering into the wrong pair or the difference line moves?

This my screen shot which is very similar to yours. The previous trade showing is one I entered last night and went to bed. Woke up to 64 pips profit but this is not following the rules so we should ignore it.

I will try to take a snapshot next time I do a trade.

Z
Hey Z

Your latest chart looked fine which confused me until I just realised why I didn't get the stoch diff you had. You said it was a EURCAD EURJPY trade in your original post but the chart on your latest post says EURAUD EURJPY. I've got what you've got for the EURAUD EURJPY. We are both right! (I was getting worried I'd mucked up the indicator somehow). Swimming in all these pair combinations its easy to pick the wrong one! I've already done it.

Glad we got to the bottom of it!

[Edit - didn't mean to attach this chart - I had attached it already initially when I came up with an incorrect convaluted explanation of why there might be difference, before seeing the above, and now don't know how to delete it....shows I've gotta keep things simple!)
Attached Image (click to enlarge)
Click to Enlarge Name: eurcad eurjpy 31 jan - stochs not above 80 - take 2.gif Size: 25 KB
  • #2,009
  • Jan 31, 2011 4:09pm Jan 31, 2011 4:09pm
Quoting squalou
I think it would work if the inputs have the SAME NAMES.
A set file is only a text file made of "input_name = value" on each line;
You can list the inputs in whatever order you want, have lines giving inputs that the EA does not use/define, it won't matter: the EA will load only those inputs it knows about, as long as they have the same name (case sensitive, be careful), and ignore those it doesn't know.

So, yes, the same set file could be used for various EAs/scripts if they share the same input names.

That's worth trying, it...
Yep, works a treat.

Enter the stuff into the trading script and save the set file. When the trades open, drag the ea onto the chart and load up the set file.

We still have to enter the ticket numbers, but I am thinking about that.

Attached File(s)
File Type: mq4 Going Home trade sending script.mq4   2 KB | 631 downloads
File Type: mq4 Going Home trade closure EA.mq4   5 KB | 698 downloads
  • #2,010
  • Edited 5:32pm Jan 31, 2011 4:19pm | Edited 5:32pm
Quoting Caillou
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......
Hey Caillou

I'm wondering if this trade is an example of what other were talking about where different lot sizes are needed for different pair combinations. These pairs have very different ATRs, USDCHF is 99 pips and the GBPCHF is 218 pips, so the GBPCHF is moving more than twice as far. If it moves and the GBPCHF side is a loser maybe the USDCHF side pips didn't make up for it.

Just thinking out loud here...maybe the ATR can be used to work out a more appropriate lot size combination. Going to watch what happens to trades with big ATR differentials and see if it is a common factor for losers.
  • #2,011
  • Jan 31, 2011 4:48pm Jan 31, 2011 4:48pm
Quoting Zr-fx
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
you're right, i did myself the mistake this afternoon... and ended with an "orphan" trade, the second leg having been closed by another EA instance running with the same magic...

So, here is a version that will auto-generate the magic number for you -- just keep the input to 0 to auto-generate.
This will ensure each EA to have its own magic based on the 2 pairs and the timeframe.
This means you can even run 2 EAs on the same couple of pairs but on different timeframes (e.g EURUSD/GBPCHF on M1 and EURUSD/GBPCHF on M5), they should not mix-up their trades.
The downside being that the magic numbers showing in the "trade comment" in the history may not be easily identifiable when using multiple EAs together...
I think we can live with that...

Sq
Attached File(s)
File Type: mq4 Stoch Diff 2 Pair EAsq.mq4   12 KB | 1,215 downloads
  • #2,012
  • Jan 31, 2011 4:49pm Jan 31, 2011 4:49pm
The trade closure EA will attempt to add the correct ticket numbers automatically. It works by cycling backwards through the open trades list, comparing SellTradeSymbol and BuyTradeSymbol with the order symbol and taking that trade's ticket number when the symbols are the same.

So:

 

  1. spot a trading opportunity
  2. drag the script, alter the inputs and save as a set file
  3. drag the EA, and load the set file
  4. check the ticket numbers shown on screen are correct, and alter the EA's inputs if not

Attached File(s)
File Type: mq4 Going Home trade closure EA.mq4   5 KB | 701 downloads
File Type: mq4 Going Home trade sending script.mq4   2 KB | 665 downloads
  • #2,013
  • Jan 31, 2011 5:00pm Jan 31, 2011 5:00pm
Quoting occamsrazors
Hey Caillou

I'm wondering if this trade is an example of what other were talking about where different lot sizes are needed for different pair combinations. These pairs have very different ATRs, USDCHF is 99 pips and the GBPCHF is 218 pips, so the GBPCHF is moving more than twice as far. If it moves and the GBPCHF side is a loser maybe the USDCHF side pips didn't make up for it.

Just thinking out loud here...maybe the ATR can be used to work out a more appropriate lot size combination. Going to watch what happens to trades with big ATR...
Yes, this variable could be a very good point.
  • #2,014
  • Jan 31, 2011 5:19pm Jan 31, 2011 5:19pm
Quoting squalou
...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...
Great to see you here and thank you for your EAs. It is fantastic that DL has managed to attract so many top thinkers of FF here (smjones, Steve and your good self to name a few). As you know DL recommends M5 for this system, although he invites others to test other TFs to explore other possibilities. Maybe that is the reason that tests of M1 are so poor although it is still early days to come to firm conclusion (as a H4 trader I am not used to idea of trading anything less than H1).

I am surprised that this thread has still a 4 star rating, maybe people are so busy reading the thread and getting stuck into that they forget to click the star ratings box.

Kind Regards
  • #2,015
  • Jan 31, 2011 5:37pm Jan 31, 2011 5:37pm
occamsrazors
:......These pairs have very different ATRs, USDCHF is 99 pips and the GBPCHF is 218 pips, so the GBPCHF is moving more than twice as far. If it moves and the GBPCHF side is a loser maybe the USDCHF side pips didn't make up for it. ...;

Hi occamsrazors ,
excellent point you have there I believe,
thats exactly what happened to my earlier trade today (Monday), gbfchf went down too deep for my other usdchf pair to recover the loss and the trade reached to $8.11 loss .
  • #2,016
  • Jan 31, 2011 5:59pm Jan 31, 2011 5:59pm
I have a "close all open trades script" that used to work just fine for me but since I have been trying to use it on this strategy I keep getting 4109 errors. Anyone know what that is and what is causing it? The script seems to work on an older version of MT4 that I still have but not on the newest one I downloaded from IBFX (has a new icon).


Maybe someone can post a script that is working for them?
Over confidence can be a moral hazard.... not to mention a financial one!
  • #2,017
  • Edited 6:13pm Jan 31, 2011 6:01pm | Edited 6:13pm
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.
Nice work Stock Zen!

Just a tiny problem, I think its been in the code for a while, but I've a found a temporary fix. I was running 'Trade Correletions 1.5' and your 'Trade Correlations with spread' side by just to check and I noticed that USDCHF/USDJPY appears in 1.5 with a correlation of 78 but not in your version. I think its because USDJPY is the last pair specified in the code and its not getting picked up in one of the loops (but what I know about programming is dangerous to me and everyone else so I should not be allowed anywhere near code ). When I added another pair to the list then the USDCHF/USDJPY pairing appears.

I found this situation in a earlier version of Trade Correlations 1.5 a short while ago but got around it by doing the above. Then the thread moved so fast that new versions came out before I could mention it.

Keep up the good work!
  • #2,018
  • Jan 31, 2011 6:20pm Jan 31, 2011 6:20pm
Quoting Mcforex
I have a "close all open trades script" that used to work just fine for me but ...Maybe someone can post a script that is working for them?
Close All Script courtesy of NanningBob. Closes all open trades and works with all mt4s.
Kind Regards
Attached File(s)
File Type: mq4 CloseAll.mq4   6 KB | 914 downloads
  • #2,019
  • Jan 31, 2011 6:21pm Jan 31, 2011 6:21pm
Quoting stock zen
there was a bug in the alert code that i didnt notice. should work now.
Got my first alert EURCAD/EURJPY with your indi. But at the moment it's giving an alert every minute for as long as the stoch diff is >80.
  • #2,020
  • Jan 31, 2011 6:28pm Jan 31, 2011 6:28pm
Quoting astral77
Close All Script courtesy of NanningBob. Closes all open trades and works with all mt4s.
Kind Regards
Thanks, I'll give this one a try. I have an open pair right now so I'll hopefully get the chance to use it soon. Much Appreciated!
Over confidence can be a moral hazard.... not to mention a financial one!
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