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Hedge and Correlation Strategy

  • #2,481
  • Edited 4:23pm Feb 8, 2011 3:27pm | Edited 4:23pm
Nahhh I have no interest in becoming a guru
A member came into T101 Indicator Development, and suggested I visit this thread.

Showed you all some possibilities...ta ta



Quoting smjones
Could you put this guy http://www.forexfactory.com/nfs/cust...ar134913_1.gif texmade1 on your naughty list? It is very distracting for him to post unrelated systems and screen shots, to this method. My guess is that he attempting to build a following for some sort of nefarious reasons. Probably will turn out to be a commercial vendor.
  • #2,482
  • Feb 8, 2011 4:17pm Feb 8, 2011 4:17pm
Quoting Zr-fx
Right, finally EURCHF-GBPJPY closed with -81.8 pips loss. As I thought, as they went back into synch and started moving in the same direction (up) the Stoch Diff started going down till it hit 10% and the trade closed at a loss of about half of last week's profits
EURCHF-GBPAUD also closed at about -80. That's most of last week's profits now gone.

I will leave things as they are for this week then review the trades to see if we draw any conclusions regarding triplets or quad trades.

However it seems safe to say that exiting at 10% on these losing trades has cut down the DD considerably.
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  • #2,483
  • Feb 8, 2011 4:44pm Feb 8, 2011 4:44pm
Quoting smjones
Could you put this guy http://www.forexfactory.com/nfs/cust...ar134913_1.gif texmade1 on your naughty list? It is very distracting for him to post unrelated systems and screen shots, to this method. My guess is that he attempting to build a following for some sort of nefarious reasons. Probably will turn out to be a commercial vendor.
OK will do; I've been gone all day today so haven't been able to moderate well, but he can't post here any longer.
  • #2,484
  • Feb 8, 2011 8:47pm Feb 8, 2011 8:47pm
Hello to all!
I want to read this system, but it is difficult to read 166 pages or 66 pages (from page 100). you have very active topic!
can anybody help me for summary of this topic? the list of important links or a PDF that have all things about this topic.
I am waiting
thanks!
  • #2,485
  • Feb 8, 2011 11:49pm Feb 8, 2011 11:49pm
Good morning,

2 more trades only triplets:

1.- EURNZD/EURCAD: -67 pips.

2.- EURCHF/EURAUD: + 25 pips.

Entry at 90%, exit at 10%.......
  • #2,486
  • Feb 9, 2011 12:14am Feb 9, 2011 12:14am
Quoting Caillou
Good morning,

2 more trades only triplets:

1.- EURNZD/EURCAD: -67 pips.

2.- EURCHF/EURAUD: + 25 pips.

Entry at 90%, exit at 10%.......

Do you use a fixed TP to exit or only exit at 10% ?
  • #2,487
  • Feb 9, 2011 1:15am Feb 9, 2011 1:15am
Quoting A95h
Do you use a fixed TP to exit or only exit at 10% ?
Only exit at 10%, but I still think we need a filter because R:R is really bad, Iīm testing RSI in different TF.

Iīll let you know how this filter would change the results from yesterday.....
  • #2,488
  • Feb 9, 2011 1:36am Feb 9, 2011 1:36am
Hi I'm a junior member, yet been following the post from page 1 till 166 now, was reading every inch like mad for day coz i'm passionate about trading strategy...

ok i've been trading using this strategy manually and the results are good... but to my thinking ... if i don't set a stop loss the profit comes back to action the only thing is that i've waited sometimes for more than 20days with a big drawdown.

I was almost giving up my drawdown till i kept on reading that the correlation would come back...

I'm attaching my results for you to see.

I'm not keen to use EA yet.. as it could be more profitable... unless if there's no setting for SL and also i'm just afraid that how many times it would trigger every time 80% is reached, meaning if the chart zigzag for every 1 between 80% within the next 10 minutes... now this is what scares me using the EA.

Adious....
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  • #2,489
  • Feb 9, 2011 3:39am Feb 9, 2011 3:39am
Quoting fortheex
Hi I'm a junior member, yet been following the post from page 1 till 166 now, was reading every inch like mad for day coz i'm passionate about trading strategy...

ok i've been trading using this strategy manually and the results are good... but to my thinking ... if i don't set a stop loss the profit comes back to action the only thing is that i've waited sometimes for more than 20days with a big drawdown.

I was almost giving up my drawdown till i kept on reading that the correlation would come back...

I'm attaching my results for you to see....
Buddy
which time frame,entry & exit point are you using ?
  • #2,490
  • Feb 9, 2011 4:10am Feb 9, 2011 4:10am
Quoting Caillou
Yes, the same loss for me. Maybe trading only triplets is a good filter to avoid such loss. If not, another filter is needed.....
i waited till my exit (5% sto diff), got some small profit. i entered at 80%, 90%, 95% one lot each
  • #2,491
  • Feb 9, 2011 4:19am Feb 9, 2011 4:19am
Quoting roundrock
i waited till my exit (5% sto diff), got some small profit. i entered at 80%, 90%, 95% one lot each
Thank you Roundrock,

I will try that too.

This is my last post in "Going Home EA" thread:

"
Well, yesterday I took 6 baskets with a total loss of 167 pips (yes, thanks to EURCHF move), with entry at 90%, exit at 10%. For now, I think R:R is extremely bad, thatīs why maybe a filter is needed.

Sure, if we enter at 95%, 96%, 98% we could reduce some bad trades but a lot of winners too and the use of Stochastics has its advantages and disadvantages. I think we canīt require Stochastics to do more than what they are designed to.

Maybe the Trend Filter option can help us. I donīt know how many of you are using it but with this filter, instead of -167 pips, my result would be +103 pips yesterday. Yes, only one day but extremely different , I think it worth a try.

The strategy will change with that. Since we trade positive correlated pairs, usually only one trade will be opened, no more hedged basket, in fact, no more basket, only one trade (less spread too) and this pair will be opened only in 2 situations:

1.- Overbought, in downtrend and away from a positive correlated pair: we sell.

or

2.- Oversold, in uptrend and away from a positive correlated pair: we buy.


I think the edge is greater now. Anyway, Iīm going to test this. In order to have more trades earlier, entry at 80%, exit at 20%, Trend Filter and No Scott Filter.

Will post results......"

Since we can do that manually too, I will post results here too. The Trend Filter is just RSI (20) Daily: for a buy RSI must be above 55, for a sell below 45. Really easy. Letīs see.....
  • #2,492
  • Feb 9, 2011 4:30am Feb 9, 2011 4:30am
Quoting fortheex
Hi I'm a junior member, yet been following the post from page 1 till 166 now, was reading every inch like mad for day coz i'm passionate about trading strategy...

ok i've been trading using this strategy manually and the results are good... but to my thinking ... if i don't set a stop loss the profit comes back to action the only thing is that i've waited sometimes for more than 20days with a big drawdown.

I was almost giving up my drawdown till i kept on reading that the correlation would come back...

I'm attaching my results for you to see....
Hi.
Very good implementation of the Strategy. My compliments. I also think you should look at the chart that the signals are justified. The judge can not EA. Good luck continues.

tordi
  • #2,493
  • Feb 9, 2011 5:02am Feb 9, 2011 5:02am
Quoting kishu0605
Buddy
which time frame,entry & exit point are you using ?
I'm using 15TF with the rest 80% difference stoc entry point. Any commments?
  • #2,494
  • Feb 9, 2011 5:10am Feb 9, 2011 5:10am
Quoting Caillou
Thank you Roundrock,

I will try that too.

This is my last post in "Going Home EA" thread:

"
Well, yesterday I took 6 baskets with a total loss of 167 pips (yes, thanks to EURCHF move), with entry at 90%, exit at 10%. For now, I think R:R is extremely bad, thatīs why maybe a filter is needed.
I also made a huge DD yesterday with EURCHF due to that the pair was part of a quad and the trade executed without opening of a position for the second correlated pair and in addition 3 times in parallel. This is my comprehension.

As quads should be avoided by UseScottHedgeFilter now I am testing with Stoch thresholds 90/10 on TF15 today...
  • #2,495
  • Feb 9, 2011 5:16am Feb 9, 2011 5:16am
Quoting peje
I also made a huge DD yesterday with EURCHF due to that the pair was part of a quad and the trade executed without opening of a position for the second correlated pair and in addition 3 times in parallel. This is my comprehension.

As quads should be avoided by UseScottHedgeFilter now I am testing with Stoch thresholds 90/10 on TF15 today...
What do you mean by "without opening of a position for the second correlated pair" ? My 3 Sell EUR/CHF were against the uptrend for that pair, with Trend Filter these 3 trades would not be opened.....
  • #2,496
  • Feb 9, 2011 5:21am Feb 9, 2011 5:21am
Quoting Caillou
What do you mean by "without opening of a position for the second correlated pair" ? My 3 Sell EUR/CHF were against the uptrend for that pair, with Trend Filter these 3 trades would not be opened.....
Just 3 Sell EUR/CHF opened without openning of 3 Buy correlated pairs of quad.
  • #2,497
  • Feb 9, 2011 5:24am Feb 9, 2011 5:24am
Quoting peje
Just 3 Sell EUR/CHF opened without openning of 3 Buy correlated pairs of quad.
And why not ? Maybe "SendHedgeTrade": False ?
  • #2,498
  • Feb 9, 2011 5:52am Feb 9, 2011 5:52am
Quoting Caillou
And why not ? Maybe "SendHedgeTrade": False ?
Maybe because of older version but the triples were opened correctly. Let's see at the end of the day...
  • #2,499
  • Feb 9, 2011 5:56am Feb 9, 2011 5:56am
Quoting fortheex
I'm not keen to use EA yet.. as it could be more profitable... unless if there's no setting for SL and also i'm just afraid that how many times it would trigger every time 80% is reached, meaning if the chart zigzag for every 1 between 80% within the next 10 minutes... now this is what scares me using the EA.

Adious....
the EA enters when 80% (OpenTradeStoch) is reached, but then it won't enter a new set until trades have closed at CloseTradesStoch level (20% or lower); or cash ProfitTarget is reached.
No risk to open/close 100 times in 10 minutes if open and close levels are far enough from each other.

I have also added consistency checks to prevent silly settings that would lead to forever-open/close-until-your-account-is-empty.
(that happened to me when i had set stoch levels upside-down -- took just a few minutes to empty my demo account -- hence the sanity check added!)

Sq
  • #2,500
  • Feb 9, 2011 6:23am Feb 9, 2011 6:23am
Quoting Caillou
Thank you Roundrock,

I will try that too.

This is my last post in "Going Home EA" thread:

"
Well, yesterday I took 6 baskets with a total loss of 167 pips (yes, thanks to EURCHF move), with entry at 90%, exit at 10%. For now, I think R:R is extremely bad, thatīs why maybe a filter is needed.

[color=black][font=Verdana]Sure, if we enter at 95%, 96%, 98% we could reduce some bad trades but a lot of winners too and the use of Stochastics has its advantages and disadvantages. I think we...
but with this it has nothing to do with hedge-trading anymore. this is then a simple trend-following system.

i backtested 25 pairs in kombination since 1999. yes i calculated about 650 combinations. and every combination i tested with inverted and non-inverted option. i got amazing results. i tested without negativ and positive correlation option. this does not matter. i only calculated the equity result of every combination. and every pair gives positiv results with the right set.
this week i do more calculations with triplets and quadlets.
when all tests are made i publish this.
i cannot post how i do this, because all is written in a .dll for faster calculation.
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