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Hedge and Correlation Strategy

  • #2,021
  • Jan 31, 2011 7:07pm Jan 31, 2011 7:07pm
Quoting Mcforex
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!
That one works very nicely Thanks Again!
Over confidence can be a moral hazard.... not to mention a financial one!
  • #2,022
  • Jan 31, 2011 7:13pm Jan 31, 2011 7:13pm
Quoting Mcforex
That one works very nicely Thanks Again!
Your are most welcome. All the credit should go to Nanningbob since I got it from him. I have seen it close more than dozen pairs within 30 seconds. Used in case of emergencies.
Kind Regards
  • #2,023
  • Edited 10:43pm Jan 31, 2011 9:53pm | Edited 10:43pm
Here's a couple more trades taken Asian session. For exits I'm letting the trades run thru to the touch of the zero stoch diff but recording the first touch of the 50 stoch diff and first touch of 20 stoch diff to see what the pippage was at each point. It may give an indication to which exit to use.

EURJPY/EURCAD - Touch of 50: 11 pips, Touch 20: 15pips, Touch zero: 7pips
EURAUD/EURCAD - Touch of 50: -8 pips, Touch 20: 0 pips, Touch 0: 30 pips

One thing to note is that the chart indicator only shows positive stoch diff values. If the original stoch diff was positive at trade entry and then falls and goes negative quickly, it may not show up on the chart indicator as touching the zero level. So you need to watch one of the Trade correlations summary indicators to see if the stoch diff goes postive to negative indicating a touch of the zero level. Just watching the chart indicator you wont pick it up if its quick, it just bounces above. Hope I'm making sense. Watch one hitting zero and going thru quickly and you' ll see what I mean.

So what does the above tell us after all that? Not sure lol! The second trade hit 30 pips a few times between the 20 and 0 levels. 1st trade hit 15 pips a couple times in between 50 and 20 stoch diff before going backwards. It seems to be saying let the trades breath a bit and take good pips when they are offered, don't get too greedy.....need to see more trades though.
  • #2,024
  • Jan 31, 2011 10:26pm Jan 31, 2011 10:26pm
I felt after reviewing this the past week it would make more sense this week during live trading.

To be honest, I have gotten more confused today on this system, watching so many pairs simultaneously becomes rather distracting.

I am thinking of cutting down charts, and just watching a few few pairs on the 5m.

If anyone has any ideas, I would really appreciate it at this point.

cheers.
  • #2,025
  • Jan 31, 2011 11:03pm Jan 31, 2011 11:03pm
monarch,

I've whittled down my own list to 9 pairings as they have low average combined spreads (<= 7 pips):

1. AUDCHF - USDCHF
2. AUDJPY - AUDNZD
3. EURCAD - EURJPY
4. EURUSD - EURCAD
5. EURUSD - EURJPY
6. EURUSD - GBPUSD
7. EURJPY - GBPJPY
8. USDCHF - GBPCHF
9. USDJPY - USDCHF

Although, in saying this, they may not necessarily be the best performing pairings!
  • #2,026
  • Jan 31, 2011 11:06pm Jan 31, 2011 11:06pm
Quoting monarch
I felt after reviewing this the past week it would make more sense this week during live trading.

To be honest, I have gotten more confused today on this system, watching so many pairs simultaneously becomes rather distracting.

I am thinking of cutting down charts, and just watching a few few pairs on the 5m.

If anyone has any ideas, I would really appreciate it at this point.

cheers.
All those indicators can fry the eyes Monarch! Easiest to wait for the alert and then look at the charts I think.
  • #2,027
  • Jan 31, 2011 11:15pm Jan 31, 2011 11:15pm
Quoting squalou
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...

Hi Sq,

Can I suggest to make the iStochastic calls look at the shift = 1 instead of the current shift (0)?

I have made the change myself, but others may be wondering why sometimes orders were placed a few points below the order send threshold as the diff line can change a lot before the bar is closed.

Cheers,
the-game.
  • #2,028
  • Edited 2:12am Feb 1, 2011 1:33am | Edited 2:12am
Quoting occamsrazors
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...
thanks. the array had the wrong size. quite an obvious error but hard to spot

edit: played around with the code a bit and it now sends an alarm for every pair, once a minute. rather than once a minute for the first pair.
Attached File(s)
File Type: mq4 Tradable Correlations with spreads.mq4   15 KB | 1,061 downloads
  • #2,029
  • Feb 1, 2011 2:36am Feb 1, 2011 2:36am
Quoting squalou
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...
Thank you Sq. This will do nicely.

I ran your previous EA over night on the following sets:
EURAUD-EURJPY
EURCHF-GBPJPY
EURUSD-GBPUSD
EURCHF-GBPCHF
EURJPY-EURUSD
USDCHF-GBPCHF
USDJPY-USDCHF
EURAUD-GBPJPY
AUDCHF-USDCHF

I would not trade all these live but left a couple of high spread ones for test.

All on 5 minutes. Triger 85%, close 50%. 0.05 Lots. £5K demo account
Overnight four trades were taken automaticaly. All seem to be correct and can be seen here:
http://www.mt4i.com/users/zr-fx-gh

2 overall wins and two losses but positive overall by 29.3 pips.

The attached shows two trades on AUDCHF-USDCHF. I was surprised that the first trade did not show the Stoch diff anywhere near 85%, but when looking at the AUDCHF 1 min bar I could see a big spike that must have momentarily spike the Stoch. It was a very quick trade that returned a small profit.

Hope this helps.

Z
Attached Image
  • #2,030
  • Feb 1, 2011 2:48am Feb 1, 2011 2:48am
The going home robot is up and running fine
Its capturing the stoch diffs that just touch 80 and go back (ya know the ones where you dont have time to touch the keyboard)
its just keeps on adding to my account

Have a go , it made my manual job today a bit redundant
  • #2,031
  • Feb 1, 2011 2:49am Feb 1, 2011 2:49am
Good morning,

After my last bad trade (thanks for coming so early, when you win you only win money, but when you lose you improve your strategy), we have to recognize that with Stochastic we solve the problem of different scales between currencies but we have another problem: a "different scale" between Stochastic line and Price line for each currency.

A movement of 1% in Stoch represents a movement of pips in Price different each time, and this is a big problem in my opinion. When you enter at 80%, you can close at 50%, at 20% or at 0% and you will never be sure about the result. And when you stop acting and you must begin to pray, something goes wrong.....

I´m going to test something only based on pips, will post my results.......
  • #2,032
  • Feb 1, 2011 3:10am Feb 1, 2011 3:10am
peterporter ,
"....The going home robot is up and running fine....
its just keeps on adding to my account

Have a go , it made my manual job today a bit redundant....."


Love to hear that. Thank you for cheering me up.
  • #2,033
  • Feb 1, 2011 3:16am Feb 1, 2011 3:16am
Quoting Caillou
Good morning,

After my last bad trade (thanks for coming so early, when you win you only win money, but when you lose you improve your strategy), we have to recognize that with Stochastic we solve the problem of different scales between currencies but we have another problem: a "different scale" between Stochastic line and Price line for each currency.

A movement of 1% in Stoch represents a movement of pips in Price different each time, and this is a big problem in my opinion. When you enter at 80%, you can close at 50%, at 20% or at 0% and...
Agreed Caillou

Further trades today with results (calculated by eye) taking profit at touch of Stoch diff 50, Stoch diff 20 and stoch diff 0. Sorry can't work out how to put in a neat table for this here. Not a whole lof of consistency yet to which level is better or whether a pip target is better...

AUDCHF/USDCHF Touch 50: -11 T20: -20 T0: -17
GBPUSD/EURAUD Touch 50: 22 T20: 13 T0: -18
EURCHF/EURAUD Touch 50: 11 T20: 19 T0: 35
  • #2,034
  • Edited 6:14am Feb 1, 2011 5:25am | Edited 6:14am
Quoting the-game
Hi Sq,

Can I suggest to make the iStochastic calls look at the shift = 1 instead of the current shift (0)?

I have made the change myself, but others may be wondering why sometimes orders were placed a few points below the order send threshold as the diff line can change a lot before the bar is closed.

Cheers,
the-game.
Shift(1) means the trades will open/close only at new bar open based on the stoch diff of the closed bar.

Current shift(0) ensures that trade are taken/closed when the stoch diff hits the limit, even if it does not stay there and bounces;
You will indeed visually see that the EA may have taken the trade although the stoch yellow line looks like not having reached the limit, but it actually did, and you're in (or out) as per the rules.

We can explore both possibillities and see how each would perform.

EDIT: I added an input to select if you want instant trigger or only at-bar-open trigger, for opening and closing independently;
(new "OpenTradeAtBarOpen" and "CloseTradesAtBarOpen" inputs)

Note that the ProfitTarget condition (if set) will still be monitored at each tick, indepently from the CloseTradesAtBarOpen input;

Sq
Attached File(s)
File Type: mq4 Stoch Diff 2 Pair EAsq.mq4   15 KB | 1,115 downloads
  • #2,035
  • Feb 1, 2011 6:43am Feb 1, 2011 6:43am
Quoting Zr-fx

The attached shows two trades on AUDCHF-USDCHF. I was surprised that the first trade did not show the Stoch diff anywhere near 85%, but when looking at the AUDCHF 1 min bar I could see a big spike that must have momentarily spike the Stoch. It was a very quick trade that returned a small profit.

Hope this helps.

Z
that's correct, the stoch did spike with the AUDCHF spike, although it was quite modest.

When price volatility drops for a significant time, the Signal/Noise ratio of the stochastic decreases a lot, making it much more sensitive to small movements.
This is the main drawback of stochastics.

Hard to find a way around that...

Sq
  • #2,036
  • Edited 7:04am Feb 1, 2011 6:50am | Edited 7:04am
Quoting squalou
Shift(1) means the trades will open/close only at new bar open based on the stoch diff of the closed bar.

Current shift(0) ensures that trade are taken/closed when the stoch diff hits the limit, even if it does not stay there and bounces;
You will indeed visually see that the EA may have taken the trade although the stoch yellow line looks like not having reached the limit, but it actually did, and you're in (or out) as per the rules.

We can explore both possibillities and see how each would perform.

EDIT: I added an input to select...

Squalou :

I ran your first version of EA on a 5000 $ demo for last 12 hrs on 15 currency pair sets.
Lot size - 0.07.
Entry - 80 %
exit - 20 % or 14 pips whichever comes first.

Winning trades : 17
Loosing trades :7
Net profit : + 68 $
Biggest profit : 28 pips
Biggest loss : 25 pips
Intraday only.
  • #2,037
  • Feb 1, 2011 7:15am Feb 1, 2011 7:15am
Quoting monarch
I felt after reviewing this the past week it would make more sense this week during live trading.

To be honest, I have gotten more confused today on this system, watching so many pairs simultaneously becomes rather distracting.

I am thinking of cutting down charts, and just watching a few few pairs on the 5m.

If anyone has any ideas, I would really appreciate it at this point.

cheers.
What I have done is to still monitor lots of pairs, but to take only the (almost) equiavalent trades. This cuts down on spread costs. As an example, rather than take:

Short EURJPY/Long EURCAD

I took:

Short CADJPY.

I just compared my results and they are similar (slightly better in fact) to if I had taken the two separate trades
  • #2,038
  • Feb 1, 2011 7:27am Feb 1, 2011 7:27am
Quoting the-game
monarch,

I've whittled down my own list to 9 pairings as they have low average combined spreads (<= 7 pips):

1. AUDCHF - USDCHF
2. AUDJPY - AUDNZD
3. EURCAD - EURJPY
4. EURUSD - EURCAD
5. EURUSD - EURJPY
6. EURUSD - GBPUSD
7. EURJPY - GBPJPY
8. USDCHF - GBPCHF
9. USDJPY - USDCHF

Although, in saying this, they may not necessarily be the best performing pairings!
Thanks for the pairs, I will look them over when I get to my office for trading.
Cheers and good trading to you.
  • #2,039
  • Feb 1, 2011 7:33am Feb 1, 2011 7:33am
Quoting occamsrazors
All those indicators can fry the eyes Monarch! Easiest to wait for the alert and then look at the charts I think.
That is the truth

I am still trying to decided how many pairs I really want to whistle at me when they are ready for trading, I guess set up all the pairs possible, and then like you say, wait for the call.

My biggest problem is I am trading off of Oanda, so I cannot just trade the chart that gives me an alert, I have to look through my enormous list of pairs to find the one screaming.

Thanks.
  • #2,040
  • Edited 7:54am Feb 1, 2011 7:39am | Edited 7:54am
Hi Squalou,

The new ovrlay chart is not plotting. The old one was working perfectly. Any suggestions? Thank you in advance. Thanks for the great thread!
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