Hedge and Correlation Strategy | Page 113 | 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

  • #2,241
  • Feb 4, 2011 12:55pm Feb 4, 2011 12:55pm
I'm curious what everyone thinks about keeping a quad open over the weekend. I have 2 open right now and since the market is kind of dead I doubt they will close. I will hold them since this is a demo and a test but any thoughts?
Over confidence can be a moral hazard.... not to mention a financial one!
  • #2,242
  • Feb 4, 2011 1:21pm Feb 4, 2011 1:21pm
Guys I have closed the first week of trading the original strategy a few hours ago at a respectable 2.87% (258.5 pips). This is despite a somewhat scary DD in the hour before NFP when EURCHF & EURCHF rallied and triggered 5 sets of trades (short on Eur side!) which went into about 2% DD. I saw that the way it was moving was going to hit the original Diff exit of 50% so I lowered it to 20% and left it. Just before NFP they all closed at BE

So closed now for the weekend I will go back and look at the trades to see if it is better to move my exit to 20% on all the sets, and the risk associated with having the same pair on multiple sets.

All in all, a good first week..I'd be very happy if this is repeated each week.
  • #2,243
  • Edited 1:44pm Feb 4, 2011 1:33pm | Edited 1:44pm
Quoting Dreamliner
Way to go Josch, keep racking up the pips, you're doing well! That looks like 157 pips if I'm adding right. I've really enjoyed being profitable this week too!
Dreamliner,

well, thank you and same to you, but I'm afraid, your results always will be a lot better, using your whole 'family-gang' to chase for pips

josch
trading is war - life is simple
  • #2,244
  • Feb 4, 2011 1:42pm Feb 4, 2011 1:42pm
Quoting Mcforex
I'm curious what everyone thinks about keeping a quad open over the weekend. I have 2 open right now and since the market is kind of dead I doubt they will close. I will hold them since this is a demo and a test but any thoughts?
Mcforex,

looking for principle of 'reducing risk' you should always close trade(s) before weekend, because reasons for change of price occure those 2 days too. Think about the finance & eco meetings.

I think it's kind of trading: if you're looking for higher pip-reward and accepting higher DD AND have the right -small- position size, you may let it go. You'll let it go over reports and so on too.

If you'll risk a DD because of gap at open sunday evening, it's probably not wise, if you're 'only' looking for high correlation travelling back.

I don't care with open positions over weekend with trend trading. But - I made no tests with hedge-trades so far.

josch
trading is war - life is simple
  • #2,245
  • Feb 4, 2011 2:26pm Feb 4, 2011 2:26pm
Quoting squalou
Hi guys,

All your brains are boiling by now ?

We all agree by now about the major flaw/limitation of using stochastics: OB/OS levels can carry on for long periods,
while "long" ranging/slow-market periods degrade stochastics performance by increasing its signal/noise ratio, increasing its sensitivity to smaller price moves, giving much less return than would be for a similar "stochastic pattern" happening on fast-moving markets.

The other issue we are seing is about trading even number of lots for both pairs, and many now we...
Thank you Sq,

Obviously you play in another league.... What a brain....


Bravo et merci beaucoup. Mon fils il vient d´apprendre a compter de 0 a 10 en francais (il a 3 ans, il va au Lycée Francais d´Alicante), et j´aimerai que quand il soit grand, il sache programmer comme toi......
Mes Félicitations.
  • #2,246
  • Feb 4, 2011 2:28pm Feb 4, 2011 2:28pm
Well done! When you say "the original system" are you referring to the stochastics or just price?

Either way, if you repeat that process you're doing 1000 pips per month; not half bad.

Quoting Zr-fx
Guys I have closed the first week of trading the original strategy a few hours ago at a respectable 2.87% (258.5 pips)....
  • #2,247
  • Feb 4, 2011 2:32pm Feb 4, 2011 2:32pm
Change to Oanda; in my opinion, the best broker there is.

Quoting drew5293
Hey just wondering what brokers are you guys using for the different lot size trades?
Because the smallest lot size my broker allows is 0.1 so i am unable to test how effective this is.
  • #2,248
  • Feb 4, 2011 2:44pm Feb 4, 2011 2:44pm
I don't ever like holding over the weekend, for 3 reasons:

1--Spread increases dramatically, and if I want to get out on Sunday night I usually have to wait until the Sunday opening move is over.

2--Gaps happen

3--Swap costs (could also be to your benefit).

Having said all that I'm holding one triple trade over the weekend too, but that is because I got in based on faulty information (thinking the stoch difference was over 90 when it was really 25). I'm "averaging in" (I don't like to use the word "Martingale" ) and should be out Sunday night hopefully.

Quoting Mcforex
I'm curious what everyone thinks about keeping a quad open over the weekend. I have 2 open right now and since the market is kind of dead I doubt they will close. I will hold them since this is a demo and a test but any thoughts?
  • #2,249
  • Feb 4, 2011 3:16pm Feb 4, 2011 3:16pm
Quoting squalou
Hi guys,

All your brains are boiling by now ?

We all agree by now about the major flaw/limitation of using stochastics: OB/OS levels can carry on for long periods,
while "long" ranging/slow-market periods degrade stochastics performance by increasing its signal/noise ratio, increasing its sensitivity to smaller price moves, giving much less return than would be for a similar "stochastic pattern" happening on fast-moving markets.

The other issue we are seing is about trading even number of lots for both pairs, and many now we feel...
This looks very powerful. Looks like you could do version to see how all the pairings are doing.
  • #2,250
  • Feb 4, 2011 3:19pm Feb 4, 2011 3:19pm
Quoting Dreamliner
Well done! When you say "the original system" are you referring to the stochastics or just price?

Either way, if you repeat that process you're doing 1000 pips per month; not half bad.
Hi DL

By original system I mean using the Stoch Difference only for entry and exit (as explained from page 100 onwards), all at M5. Entry at 85%. Exit until today have been at 50%. Today I increased it to 20%. Using 0.1 lot each trade ($1 pip).

The sets are as in my previous post:
http://www.forexfactory.com/showpost...postcount=2147

Thank you for starting this thread and all other contributors.

Guys this deserves 5 starts so please vote!!
  • #2,251
  • Feb 4, 2011 3:53pm Feb 4, 2011 3:53pm
OK, thanks for explaining. Yes I had been following your stats page since you posted it, just trying to get a feel for how others were doing.

Lots of other people have made this thread what it is, not just me: Cailou, SMJones, Steve, yourself, many others contributing to help us all improve it. If it gets to 5 stars it will be attributable to a team effort for sure.

Quoting Zr-fx
Hi DL

By original system I mean using the Stoch Difference only for entry and exit (as explained from page 100 onwards), all at M5. Entry at 85%. Exit until today have been at 50%. Today I increased it to 20%. Using 0.1 lot each trade ($1 pip).

The sets are as in my previous post:
http://www.forexfactory.com/showpost...postcount=2147

Thank you for starting this thread and all other contributors.

Guys this deserves 5 starts so please vote!!
  • #2,252
  • Feb 4, 2011 3:55pm Feb 4, 2011 3:55pm
FIVE STARTS
  • #2,253
  • Feb 4, 2011 4:04pm Feb 4, 2011 4:04pm
You have a lot of influence around here!

Quoting Zr-fx
FIVE STARS
  • #2,254
  • Feb 4, 2011 5:08pm Feb 4, 2011 5:08pm
Good evening.
This is a great community. I'm working on correlation hedging strategies for over a month now, and I read all threads on FF and Aktienboard. Started with Spieler's Hedge, Zeusjoes strategy and a whole lot more. This strategy sounds promising too. I followed my own approach and developed indicators and an EA based on Swingman's overlay indicators. I thought, that I've found a really good strategy (~80%/day) but the last 2 days I got a few losses and I realized that the repainting part is a big issue. maybe I just was really lucky the past 2 weeks.

I created an indicator on magictrader's idea to show *real* price fluctuations of 2 pairs. I think something similar was posted here earlier, my problem is that over time they tend to drift apart, so that you have to reset the zero level.

Here you are focusing on just the Stochastic indicator, but I already programmed indicators for the RSI and The Willams% Range. They all have in common that they show overbought and oversold markets. Maybe we can combine them that they will confirm their signals. I will bother about uploading my indicators later these days, but first of all I want to read through the whole thread to figure out at which point we are.( and I get the feeling that every post I attach files won't get approved)

I hope that I can join this conversation and help develop a functional system.


(Sorry for my english)

At the moment I'm just at the
  • #2,255
  • Edited 6:26pm Feb 4, 2011 6:06pm | Edited 6:26pm
I hope my first post will be submitted before this one. Here you can see an example.

In the pink area both indicators are pointing in the opposite direction so this wouldn't be a good time to trade. (Depending on the settings the RSI is moving slower so I think it is okay to count the break of one of the inner lines as a trade signal.


http://img151.imageshack.us/img151/5...ndstoch.th.jpg



http://img151.imageshack.us/img151/5539/rsiandstoch.jpg
  • #2,256
  • Feb 5, 2011 6:09am Feb 5, 2011 6:09am
Quoting Kilian19
I hope my first post will be submitted before this one. Here you can see an example. ...
Kilian,

thank you for joining, will be certainly interesting to integrate your work if possible. Your linked pic was very small to recognize. May be you can repeat this with another resolution. You know the capability to upload in FF directly?

josch
trading is war - life is simple
  • #2,257
  • Edited 8:08am Feb 5, 2011 7:14am | Edited 8:08am
Quoting josch
Kilian,

thank you for joining, will be certainly interesting to integrate your work if possible. Your linked pic was very small to recognize. May be you can repeat this with another resolution. You know the capability to upload in FF directly?

josch
Hence I was a junior member yesterday and all of my earlier posts with attachments didn't get published I decided to upload it somewhere else.
I hope it worked this time. Hopefully I will have read everything at the end of this day (UTC +1).

I just have experiences trading negative correlated pairs, e.g. EUR/USD and USD/CHF. How do you enter your trades. I wrote a simple script thats opens a long position for one pair and a short position for the other pair. It adjusts the lots, so that we get into a market neutral position. If someone is interested I can upload them.
I could figure out that it's more effective to trade positive correlated pairs, but I don't understand how this works. A positive correlation means that both most likely will move in the same direction. Do you go long/short in both pairs at the same time? But what happens if both are in an downtrend?



@ Jones: I wrote an test indicator for myself. It's really similar to your PairRelationshipFor2 Pairs indicator . The only difference is that it always moves around the 0 line. There are a lot of Buffers included which are set to draw_none since it was just created for test purposes. Maybe it can inspire you. Note that it's really helpful to hedge as long as the Bars-parameter is in a range from 72-400. But it seems like pairs will drift apart.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Untitled 1.jpg Size: 307 KB
Click to Enlarge Name: Untitled 2.jpg Size: 362 KB
Attached File(s)
File Type: mq4 Spread Divergence Indicator.mq4   5 KB | 977 downloads
  • #2,258
  • Feb 5, 2011 7:38am Feb 5, 2011 7:38am
I built an indicator that compared the Bid Ratio of the two currency pairs. I was hoping that this would be a more precise way of determining the correlations and moves away from correlation of the two pairs, than stochastics.

After spending several hours on it I realized there is very little connection between a bid ratio chart of a currency pair and the actual currency pair and even less connection when the two pairs are looked at together. So in regards to this system, my idea from yesterday was a "red herring" LOL. It was not totally a waste of time, as I saw an interesting phenomenon occurring between the actual price chart and the bid ratio chart of a single currency at a time. This has nothing to do with this method, so I won't go into it here.

Oh well, back to the drawing board.
  • #2,259
  • Feb 5, 2011 7:52am Feb 5, 2011 7:52am
Quoting Zr-fx
Hi DL

By original system I mean using the Stoch Difference only for entry and exit (as explained from page 100 onwards), all at M5. Entry at 85%. Exit until today have been at 50%. Today I increased it to 20%. Using 0.1 lot each trade ($1 pip).

The sets are as in my previous post:
http://www.forexfactory.com/showpost...postcount=2147

Thank you for starting this thread and all other contributors.

Guys this deserves 5 starts so please vote!!
Hi Zr-fx,
you write:
AUDCHFUSDCHF(trip)
EURCHFGBPAUD(quad)
EURCHFGBPCHF(trip)
EURCHFGBPJPY(quad)
EURJPYEURUSD(trip)
EURJPYGBPUSD(quad)
EURUSDGBPUSD(trip)
USDCHFGBPCHF(trip)
USDJPYUSDCHF(trip)
EURJPYGBPJPY(trip)
EURCADEURUSD(trip)

What exactly do you mean by trip and quad?
  • #2,260
  • Feb 5, 2011 8:39am Feb 5, 2011 8:39am
I heard that Edison put a tick mark or chicken scratch every time he invented something that did not work, knowing he had to get to 1,000 marks before he found something that did. You're on your way brother! Thank you for trying!

Quoting smjones
I built an indicator that compared the Bid Ratio of the two currency pairs. I was hoping that this would be a more precise way of determining the correlations and moves away from correlation of the two pairs, than stochastics.

After spending several hours on it I realized there is very little connection between a bid ratio chart of a currency pair and the actual currency pair and even less connection when the two pairs are looked at together. So in regards to this system, my idea from yesterday was a "red herring" LOL. It was not totally a waste...
3 traders viewing now