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Hedge and Correlation Strategy

  • #2,261
  • Feb 5, 2011 8:46am Feb 5, 2011 8:46am
He means that a trip is a trade that involves 3 currencies, hence a "triple." A quad is a trade that involves 4 currencies. Check the list below and just count the number of currencies involved in the trade and you'll see whether it is a triple or a quad.

Quoting newbeee
Hi Zr-fx,
you write:
AUDCHF USDCHF (trip)
EURCHF GBPAUD (quad)
EURCHF GBPCHF (trip)
EURCHF GBPJPY (quad)
EURJPY EURUSD (trip)
EURJPY GBPUSD (quad)
EURUSD GBPUSD (trip)
USDCHF GBPCHF (trip)
USDJPY USDCHF (trip)
EURJPY GBPJPY (trip)
EURCAD EURUSD (trip)

What exactly do you mean by trip and quad?
  • #2,262
  • Feb 5, 2011 9:02am Feb 5, 2011 9:02am
Quoting Dreamliner
He means that a trip is a trade that involves 3 currencies, hence a "triple." A quad is a trade that involves 4 currencies. Check the list below and just count the number of currencies involved in the trade and you'll see whether it is a triple or a quad.
Thank you for answering on my behalf Yes it was during a discussion about tiplets and quads that I posted this so I was interested in knowing which of my sets is which.
  • #2,263
  • Feb 5, 2011 9:04am Feb 5, 2011 9:04am
lol...sorry, I guess I should have let you answer.

Quoting Zr-fx
Thank you for answering on my behalf Yes it was during a discussion about tiplets and quads that I posted this so I was interested in knowing which of my sets is which.
  • #2,264
  • Feb 5, 2011 10:14am Feb 5, 2011 10:14am
Scott - what do you think about establishing a max/min/avg range for the desired time frame over a sample period and making it into an indicator (would work like a moving average)? Take a look at the spreadsheet for an example of 144 M5 periods.
Attached File(s)
File Type: xls Correlation.xls   343 KB | 807 downloads
  • #2,265
  • Feb 5, 2011 11:07am Feb 5, 2011 11:07am
Thanks for this great piece of work squalou. Now it's playtime



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 decreasing 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...
  • #2,266
  • Feb 5, 2011 11:36am Feb 5, 2011 11:36am
Quoting tex
Thanks for this great piece of work squalou. Now it's playtime
you bet!

  • #2,267
  • Edited 1:21pm Feb 5, 2011 12:08pm | Edited 1:21pm
I changed the Tradeable_Correlations_StochDiff a little bit, so that you can have more than one version on your screen. 3rd number is the spread of both pairs combined. You also can choose to hide the negative correlated pairs.

For the template to work you have to download the new indicator and put it in your indicator folder!
Attached Image (click to enlarge)
Click to Enlarge Name: Multitimeframe.jpg Size: 277 KB
Attached File(s)
File Type: tpl multitimeframe.tpl   23 KB | 913 downloads
File Type: mq4 Tradable Correlations_StochDiff(3).mq4   13 KB | 1,022 downloads
  • #2,268
  • Feb 5, 2011 1:22pm Feb 5, 2011 1:22pm
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...
Good results like mine.

Any reason why you trade only in these pairs ? I feel it could be only spread reason. Any other reasons? I have been successful in other pairs too which have positive corelation..
Intraday only.
  • #2,269
  • Feb 5, 2011 1:25pm Feb 5, 2011 1:25pm
I received this pm from tex a few minutes ago:
"Hello Steve,

would it be possible to add antoher function to your going home trade script ? the ability to buy/buy sell/sell the pairs. I am testing the pairs with squalous new indicator at the moment and with negative correlated pairs it seems if you buy/buy or sell/sell them it gives good results when you enter at 80% and get out at 50 %"

The updated script does the job tex wants, I think. There are two sell and two buy options, so it should be possible to enter different combinations of buy/sell, buy/buy, sell/sell trades.

The trades you do not want sending, simply leave the symbol blank.

Attached File(s)
File Type: mq4 Going Home trade sending script.mq4   4 KB | 585 downloads
  • #2,270
  • Feb 5, 2011 1:37pm Feb 5, 2011 1:37pm
Wow that was fast, thank you sir


Quoting SteveHopwood
I received this pm from tex a few minutes ago:
"Hello Steve,

would it be possible to add antoher function to your going home trade script ? the ability to buy/buy sell/sell the pairs. I am testing the pairs with squalous new indicator at the moment and with negative correlated pairs it seems if you buy/buy or sell/sell them it gives good results when you enter at 80% and get out at 50 %"

The updated script does the job tex wants, I think. There are two sell and two buy options, so it should be possible to enter different combinations of buy/sell,...
  • #2,271
  • Edited 9:50pm Feb 5, 2011 1:40pm | Edited 9:50pm
Quoting squalou
you bet!

This is a very fine tool you have created and written. It opens my eyes to back testing and writing indicators similar for some multi-currency methods I developed. thanks much.

I made a slight change to your indicator, because I did not want to bother you with it. I put in inputs for spreads and also made it allow lower case letters, because I can never remember if I have the CapS on.

Anyway here it is with those modifications. If you don't like it, just type a quick post and I will delete it.
Attached File(s)
File Type: mq4 Basket Profit 2 Pairs sq.mq4   11 KB | 1,071 downloads
  • #2,272
  • Feb 5, 2011 1:56pm Feb 5, 2011 1:56pm
Tex, how do you know whether to buy/buy or sell/sell when the negatively correlated pairs are 80% or more?

Quoting tex
Wow that was fast, thank you sir
  • #2,273
  • Feb 5, 2011 2:06pm Feb 5, 2011 2:06pm
I am simply backtesting the pairs with squalous new indicator at the moment. Take a look at the screenshot. Blue Line is entry. Exit at 50 % cross or even 30%.


Quoting Dreamliner
Tex, how do you know whether to buy/buy or sell/sell when the negatively correlated pairs are 80% or more?
Attached Image (click to enlarge)
Click to Enlarge Name: Unbenannt.jpg Size: 87 KB
  • #2,274
  • Feb 5, 2011 2:08pm Feb 5, 2011 2:08pm
Quoting smjones
This is a very fine tool you have created and written. It opens my eyes to back testing and writing indicators similar for some multi-currency methods I developed. thanks much.

I made a slight change to your indicator, because I did not want to bother you with it. I put in inputs for spreads and also made it allow lower case letters, because I can never remember if I have the CapS on.

Anyway here it is with those modifications. If you don't like it, just type a quick post and I will delete it.

My pleasure !
We're here to help each other get the best tools for everyone
I'm happy to see my work being used and improved -- i also benefit from these improvements!

cheers
Sq
  • #2,275
  • Feb 5, 2011 2:16pm Feb 5, 2011 2:16pm
Quoting tex
I am simply backtesting the pairs with squalous new indicator at the moment. Take a look at the screenshot. Blue Line is entry. Exit at 50 % cross or even 30%.

Glad to see this going smoothly...
Even with negatively correlated pairs like these 2.

'been playing with it all day also...

Sq
  • #2,276
  • Feb 5, 2011 2:17pm Feb 5, 2011 2:17pm
Wow, this is really really nice, thank you Kilian! Is there a way that you could make a template that displays the 5, 15, and 30 minute? I tried to change the timeframes but got them all jumbled up together and made them unreadable.

Thank you again!

Quoting Kilian19
I changed the Tradeable_Correlations_StochDiff a little bit, so that you can have more than one version on your screen. 3rd number is the spread of both pairs combined. You also can choose to hide the negative correlated pairs.

For the template to work you have to download the new indicator and put it in your indicator folder!
  • #2,277
  • Feb 5, 2011 2:37pm Feb 5, 2011 2:37pm
Quoting Dreamliner
Wow, this is really really nice, thank you Kilian! Is there a way that you could make a template that displays the 5, 15, and 30 minute? I tried to change the timeframes but got them all jumbled up together and made them unreadable.

Thank you again!
Sure Next step will be to remove the double pairs. I will work on that tomorrow
Attached File(s)
File Type: tpl multitimeframe5,15,30.tpl   22 KB | 721 downloads
  • #2,278
  • Feb 5, 2011 2:39pm Feb 5, 2011 2:39pm
Ah, that would be the perfect indicator for this method. Thanks again!

Quoting Kilian19
Sure Next step will be to remove the double pairs. I will work on that tomorrow
  • #2,279
  • Feb 5, 2011 2:44pm Feb 5, 2011 2:44pm
case 1 : timeframe = "1M"; break;
case 5 : timeframe = "5M"; break;
case 15 : timeframe = "15M"; break;
case 30 : timeframe = "30M"; break;
case 60 : timeframe = "1H"; break;
case 240 : timeframe = "4H"; break;
case 1440 : timeframe = "D1"; break;
case 10080 : timeframe = "W1"; break;
case 43200 : timeframe = "M1"; break;


I think this is wrong in Tradable Correlations_StochDiff(3)
1M shall be M1 and so on….
Then I think this will make problem for many: string m="-fx";
  • #2,280
  • Edited 3:09pm Feb 5, 2011 2:47pm | Edited 3:09pm
Quoting E2u
case 1...
It doesn't matter it's just a string that is displayed on the screen. It's not interfering with anything. I just think that it's easier to read this way. But every one can change it to the way he/she likes it more. In the "new version I changed it....

for the -fx part I added an extern boolean at the beginning
Attached File(s)
File Type: mq4 Tradable Correlations_StochDiff(3).mq4   13 KB | 900 downloads
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