Hedge and Correlation Strategy | Page 109 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Correlation + Momentum Strategy? 6 replies

MT4 MTF Correlation table and Correlation oscillator indicators 155 replies

InsomiaFX Correlation Double Hedge EA 66 replies

Looking for EA for Correlation Strategy 6 replies

Hedge strategy (not a hedge fund) 13 replies

Attachments: Hedge and Correlation Strategy
Exit Attachments

Hedge and Correlation Strategy

  • #2,161
  • Feb 3, 2011 5:36am Feb 3, 2011 5:36am
Quoting Caillou
Hi Eamonn,

I think I have not mentioned that because it is not the same. I give you an example with my last trade:

10h42 (GMT+1), Diff Stoch 80%, M5:

Buy EUR/USD: 1.3784
Sell GBP/USD: 1.6262

Imagine Buy EUR/GBP: 0.8474


12h03, Stoch Cross, M1:

EUR/USD: 1.3775
GBP/USD: 1.6220

Imagine EUR/GBP: 0.8493

So my 2 trades gave me 33 pips, with only EUR/GBP trade 19 pips...

A good beginning with the new exit strategy.......
Wow, that is a huge inefficiency. The 33 pips at 1 lot ($10.00) is $330 the 19 pips at 1 lot ($16.21) on the eurgbp is $307.99

Were is the extra $22.01 going?
  • #2,162
  • Feb 3, 2011 5:44am Feb 3, 2011 5:44am
Quoting Ckp
Think about the risk. A directional trade is more risky because any news event will either make you money or stop you out. A headged "trip trade" protects you better against any risk event and you also experience LESS draw down with a "trip trade' even if the news goes against you.
Totally agree.....
  • #2,163
  • Feb 3, 2011 5:51am Feb 3, 2011 5:51am
Quoting smjones
I think this should about do it on this indicator. I really cannot think of any thing else it might need.

It has a input ShowOnlyHedgedPairs That if true, will only allow pairs that are triples like EURUSD EURJPY to be shown and not pairs that are quads like AUDUSD GBPJPY

The default is set to false.


what is useclosediff ? what is the use of it ?

thank you
  • #2,164
  • Feb 3, 2011 5:54am Feb 3, 2011 5:54am
Quoting Caillou
Hi Eamonn,

I think I have not mentioned that because it is not the same. I give you an example with my last trade:

10h42 (GMT+1), Diff Stoch 80%, M5:

Buy EUR/USD: 1.3784
Sell GBP/USD: 1.6262

Imagine Buy EUR/GBP: 0.8474


12h03, Stoch Cross, M1:

EUR/USD: 1.3775
GBP/USD: 1.6220

Imagine EUR/GBP: 0.8493

So my 2 trades gave me 33 pips, with only EUR/GBP trade 19 pips...

A good beginning with the new exit strategy.......
Have you compared the $$$ values of the profits instead of pips by including the spreads?
  • #2,165
  • Feb 3, 2011 6:02am Feb 3, 2011 6:02am
Quoting kishu0605
what is useclosediff ? what is the use of it ?

thank you
I already answered this a few posts ago.

I just posted a pdf with the new release.
  • #2,166
  • Feb 3, 2011 6:19am Feb 3, 2011 6:19am
Can't complain about those results for sure. I'm testing 30 minutes right now, and doing very well!

Quoting navk
15 min TF : Entry at 80 exit at 20 or when seeing good profit.

Earned 100 pips in a single day.

5 min TF : Entry at 80 exit at 20 or after seeing good profit.

Earned 300 pips in last 60 hrs.

Personally i feel 15 min TF is better as trading costs are less.

Dreamliner and jones : Special thanks to both of you for finding this extremely good strategy. Hats of to both of you. Cheers !
  • #2,167
  • Feb 3, 2011 6:24am Feb 3, 2011 6:24am
CKP, this does indeed make sense. My only point was that the historical correlation evidences risk. If quads are 75% correlated over time they are just as prone to move together as 3. I do understand what you are saying below, just that historical correlation seems to take your points below into account.

Quoting Ckp
Let me explain it this way... by using your pair choice above. If you enter a trade now... Buy-GBPCAD and Sell-NZDUSD. Any news event or stock event from 4 different currency pairs can negatively affect your trade. GBP, CAD, NZD, USD. You are at risk in 4 different ways. Trading is all about reducing risk.

You can reduce your risk to 2 different ways by simply trading a hedged pair like Buy-GBPCAD and Sell-GBPUSD (example only). Now if GBP news like GDP comes out at minus -0.5 like last week. And there is a 100pip jump in any direction,...
  • #2,168
  • Feb 3, 2011 6:28am Feb 3, 2011 6:28am
190 pips in 3 days isn't half bad. Whatever you're doing keep doing it .

Quoting Zr-fx
Ckp's logic about reducing risk makes very good sense to me. For now I am testing on demo using the following combinations:

AUDCHF...
  • #2,169
  • Feb 3, 2011 6:28am Feb 3, 2011 6:28am
The value of 1 pip depends of each currency pair, but if I want to share a result without saying lot size, I have to speak in pips, not in $, in order to compare results with others traders.

Anyway sorry if I have bothered someone.........
  • #2,170
  • Feb 3, 2011 6:29am Feb 3, 2011 6:29am
Quoting goldsurfer
Just out of curiosity, what were the total pips of the 4 Quads vs the 2 Triples?

cheers
It was 53 for the 4 trades and 56 for the 2 trades. I exited 2 of the quads early so that may have some influence on it and of course one of the quads was a small loss. Over night I had one quad take profit using the EA and it made 15 pips.
Over confidence can be a moral hazard.... not to mention a financial one!
  • #2,171
  • Feb 3, 2011 6:30am Feb 3, 2011 6:30am
Can anyone thank SMJones enough? I am sure he doesn't give to us like this for thanks, but my goodness we ought to thank him!

Thank you Scott!

Quoting smjones
Because people seem to want it, I am going to add an option to show only Hedged pairs (triples). It will take me a few minutes.
  • #2,172
  • Feb 3, 2011 6:43am Feb 3, 2011 6:43am
Quoting Caillou
The value of 1 pip depends of each currency pair, but if I want to share a result without saying lot size, I have to speak in pips, not in $, in order to compare results with others traders.

Anyway sorry if I have bothered someone.........
What I meant was if you trade 10000 units for EURUSD and GBPUSD and get 33 pips profit and compare it with 10000 units of trading EURGBP with 19 pips profit as your sample trade, you'll get very similar profits. As you can see, trade size is the same and when it is same, it doesn't matter for what I'm talking about. So it is very reasonable to trade one pair to save spread costs with this strategy and exit with the same exit strategy you use, 50% or 20% (you still need to follow smjones' indi for exits, so it won't be a directional trade). Just wanted to show you this by asking to compare $$$ values by using the same trade size.

No offence intended.

Good luck with your tests.

Regards,
Blackeagle
  • #2,173
  • Feb 3, 2011 6:51am Feb 3, 2011 6:51am
Quoting Blackeagle
What I meant was if you trade 10000 units for EURUSD and GBPUSD and get 33 pips profit and compare it with 10000 units of trading EURGBP with 19 pips profit as your sample trade, you'll get very similar profits. As you can see, trade size is the same and when it is same, it doesn't matter for what I'm talking about. So it is very reasonable to trade one pair to save spread costs with this strategy and exit with the same exit strategy you use, 50% or 20% (you still need to follow smjones' indi for exits, so it won't be a directional trade)....

Not in this case.
http://www.forexfactory.com/showpost...postcount=2161

Where is the extra money between the trades? If the pip totals are correct, then the broker appears to be pulling a fast one.
  • #2,174
  • Feb 3, 2011 6:52am Feb 3, 2011 6:52am
Quoting Blackeagle
What I meant was if you trade 10000 units for EURUSD and GBPUSD and get 33 pips profit and compare it with 10000 units of trading EURGBP with 19 pips profit as your sample trade, you'll get very similar profits. As you can see, trade size is the same and when it is same, it doesn't matter for what I'm talking about. So it is very reasonable to trade one pair to save spread costs with this strategy and exit with the same exit strategy you use, 50% or 20% (you still need to follow smjones' indi for exits, so it won't be a directional trade). Just...
Thank you Blackeagle,

I know what youīre talking about. Your question posted before was not rude at all.
You are problably right with your thougth.......
Maybe when we can do that, we must do that, only one trade.....
  • #2,175
  • Feb 3, 2011 7:10am Feb 3, 2011 7:10am
Quoting Dreamliner
Can anyone thank SMJones enough? I am sure he doesn't give to us like this for thanks, but my goodness we ought to thank him!

Thank you Scott!
It's a thing of beauty now....awesome SMJ
  • #2,176
  • Feb 3, 2011 7:11am Feb 3, 2011 7:11am
Quoting smjones
Not in this case.
http://www.forexfactory.com/showpost...postcount=2161

Where is the extra money between the trades? If the pip totals are correct, then the broker appears to be pulling a fast one.
To be honest, I'm not sure if quotes are correct. Because

Buy EUR/USD: 1.3784
Sell GBP/USD: 1.6262 means 0.84762 ask price for EURGBP but ask price was 0.8474 in Caillou's post. So, EURUSD ask price divided by GBPUSD bid price gives us EURGBP ask price. But if this is the case then gap widens. We need to see the spreads and actual bid / ask prices of EURUSD and GBPUSD to make sure pip counts are correct actually. Or as you said it might be the broker.

Anyway,
Good luck with this strategy.

Regards,
Blackeagle
  • #2,177
  • Edited 10:18am Feb 3, 2011 7:41am | Edited 10:18am
Well I just closed out a trip for 2 pips. Hey at least it was a positive trade .

Yesterday before bed I sold EURNZD and bought EURCAD when it was at 78%, woke up this morning and it was still at 65%. Over time this morning it went to 50% and I closed with a net total of 2 pips.

This was on the 30 minute chart.

I possibly could have made more pips had I waited to 20% but I also could have lost some. I'm finding that I just need to close at 50% no matter what the pips, so that I stick to some form of "system" and not get stuck in big draw downs.

Of course my son reminds me that everytime he has been in big drawdowns with this method it has recovered and he has closed them all out in profit.

Who knows?

Edit: I just discovered the reason for this: EUR had big news this morning and the markets went to sleep before the news.
  • #2,178
  • Feb 3, 2011 7:56am Feb 3, 2011 7:56am
Quoting Dreamliner
Well I just closed out a trip for 2 pips. Hey at least it was a positive trade .

Yesterday before bed I sold EURNZD and bought EURCAD when it was at 78%, woke up this morning and it was still at 65%. Over time this morning it went to 50% and I closed with a net total of 2 pips.

This was on the 30 minute chart.

I possibly could have made more pips had I waited to 20% but I also could have lost some. I'm finding that I just need to close at 50% no matter what the pips, so that I stick to some form of "system" and not get stuck in big draw...
Your son sounds as though he has my tolerance for dd.
  • #2,179
  • Feb 3, 2011 8:48am Feb 3, 2011 8:48am
  •  Ckp
  • | Joined Aug 2010 | Status: Master ur EXIT. Entry is secondary. | 29 Posts
Quoting smjones
I think this should about do it on this indicator. I really cannot think of any thing else it might need.

It has a input ShowOnlyHedgedPairs That if true, will only allow pairs that are triples like EURUSD EURJPY to be shown and not pairs that are quads like AUDUSD GBPJPY

The default is set to false.

Hi SMJ

Love the indi and hedged pair function. Thanks for that. Since you coded the indi, could you perhaps tell us if the accuracy of the correlation percentage and correlation period is dependent on the quality and quantity of the history data inside your terminal? If i enter M15 and 23040 periods equal to 240 trading days and my history data for m15 only amounts to 5000 periods, how would that affect the output/accuracy of the correlation percentage? Where does the indi collect the price data from?

Thanks again for the great indicator.
Regards
Ckp
  • #2,180
  • Feb 3, 2011 9:16am Feb 3, 2011 9:16am
Buy EUR/CHF, Sell GBP/CHF, so Buy EUR/GBP, entry at 80% M5, 10 min later exit at cross M1: +6 pips.....

If we take the exit at the lower TF we could have an additional filter: if Diff Stoch is not enough on lower TF, we donīt enter.

Letīs see how it goes.......
4 traders viewing now