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Hedge and Correlation Strategy

  • #2,501
  • Feb 9, 2011 6:49am Feb 9, 2011 6:49am
Quoting Mediator
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...
As I said, "the strategy will change with that"......but correlation between pairs is still important in this way.
  • #2,502
  • Feb 9, 2011 7:10am Feb 9, 2011 7:10am
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.

[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...
entry at 80, 90 will definetly lose some winners but if it can avoid huge DD, then we should go with 95

good entry is half-battle won in this system. also exit should be <10 or fixed pips

i tried trend filter option, it didnt work well as trend is on daily but u r trading on M5. Plus trading just on one leg is a big NO NO for me.

also i looked at how long a pair is in OB/OS zone before entry. if its in OB/OS and comes out for a very short time (1 or 2 candles) and reenters the OB/OS zone thats an indication of the strength. when it comes out of OB/OS it dissipates some energy and when it enters OB/OS its ready for more energy. if it does this 3 or 4 times , it shows the strength

in anycase i am going to follow simple rules. entry >95, exit <5 or 15 pips on M5. only triplets
  • #2,503
  • Feb 9, 2011 7:17am Feb 9, 2011 7:17am
Somebody said all the pairs have "Gone home " No signals in the morning here.
Intraday only.
  • #2,504
  • Feb 9, 2011 7:43am Feb 9, 2011 7:43am
Quoting Caillou
As I said, "the strategy will change with that"......but correlation between pairs is still important in this way.
thanks Caillou for answering.

where can i read that correlation is important for hedge-trading with stochstic? is there a post in this thread. i mean statistical results. as i said i did backtest with every combination and every hedgepair brings positive results.
also negativ correlated pairs. and it does not matter if they correlate 80%,14%, -30% or what ever %
  • #2,505
  • Feb 9, 2011 7:56am Feb 9, 2011 7:56am
Quoting navk
Somebody said all the pairs have "Gone home " No signals in the morning here.
They were sleeping but EURJPY-GBPUSD has just woken up and is in a bad mood. Jumping up an down a bit.
  • #2,506
  • Feb 9, 2011 7:58am Feb 9, 2011 7:58am
Quoting roundrock
i waited till my exit (5% sto diff), got some small profit. i entered at 80%, 90%, 95% one lot each
Hi Roundrock. Can you please clarify what you mean by one lot at 90, 95? Do you mean you open another buy/sell trades on the same pairs?

Thanks in advance.
  • #2,507
  • Feb 9, 2011 8:24am Feb 9, 2011 8:24am
Hi Dreamliner, thanks for this great system. I`m also testing it, trading on 5min time frame with 82% entry and 20% exit. I trade only triplets and only positive correlated. This week i have ~ +85 pips.
  • #2,508
  • Feb 9, 2011 8:26am Feb 9, 2011 8:26am
Guys..

need some tweaking... especially for cased like eurchf / gbpusd where ending up with big drawdown...

the thing is that i found out.. when 5,15 TF shows 80% correlation, we must check daily correlation to atleast have a gap in the same direction ( but the daily not necessarily have to maintain a big gap.) then we could savely enter the trade.

let me know your thoughts....

adious...
  • #2,509
  • Feb 9, 2011 8:46am Feb 9, 2011 8:46am
Quoting Zr-fx
They were sleeping but EURJPY-GBPUSD has just woken up and is in a bad mood. Jumping up an down a bit.
It is quad. No more risk. I want to follow some dicipline.
Intraday only.
  • #2,510
  • Feb 9, 2011 8:46am Feb 9, 2011 8:46am
Quoting Zr-fx
Hi Roundrock. Can you please clarify what you mean by one lot at 90, 95? Do you mean you open another buy/sell trades on the same pairs?

Thanks in advance.
yes, averaging at 90, 95 sto diff. but be aware of the risk of multiplication
  • #2,511
  • Feb 9, 2011 9:42am Feb 9, 2011 9:42am
Quoting roundrock
yes, averaging at 90, 95 sto diff. but be aware of the risk of multiplication
Thank you. I tried this today as a test on EURJPY-GBPYUSD, entering at 80 and again at 85. Closed all with +40 pips!

I did enter at a lower Stoch Diff than usual but this was because I had left the EA off after a reboot and only realised after it went to 85 and down to 80 without a trigger! Anyway ended very well.
  • #2,512
  • Feb 9, 2011 9:43am Feb 9, 2011 9:43am
Quoting navk
It is quad. No more risk. I want to follow some dicipline.
Are you sticking to Triplets only?
  • #2,513
  • Feb 9, 2011 9:45am Feb 9, 2011 9:45am
Quoting Zr-fx
Are you sticking to Triplets only?
Presently triplets. But rarely signal comes at 90. Today two signals came and that is all for today.
Profit 43 pips total.
Intraday only.
  • #2,514
  • Feb 9, 2011 10:22am Feb 9, 2011 10:22am
Planning to trade quad as well as triplets but wih diff entry criteria.

Triplets : 80 and quad 95. Exit 5 for both in 5 min chart.

Hourly chart Quad and triplets : Entry 70 exit 20. or exit by pips.
Intraday only.
  • #2,515
  • Feb 9, 2011 10:28am Feb 9, 2011 10:28am
Quoting navk
Presently triplets. But rarely signal comes at 90. Today two signals came and that is all for today.
Profit 43 pips total.
Are the same trades I took today early in the morning ? 2 triplets, 90/10, total - 42 pips? Post 2485.
  • #2,516
  • Feb 9, 2011 10:35am Feb 9, 2011 10:35am
eurnzd i do not trade. Spread is more. Any way, what i noticed today triplets signals rarely comes. Quad signals come often. Why not enter at 95 or 98 for quad ? And if quad trades go big DD, then martingale strategy can be utised by adding more trades at some DD and have common profit target ?
Intraday only.
  • #2,517
  • Feb 9, 2011 10:44am Feb 9, 2011 10:44am
Quoting navk
Planning to trade quad as well as triplets but wih diff entry criteria.

Triplets : 80 and quad 95. Exit 5 for both in 5 min chart.

Hourly chart Quad and triplets : Entry 70 exit 20. or exit by pips.
entry at 70 on H1 is asking for trouble. on higher TF, the stochs can stay where they are for a longer period than your account/patience survives

no need to chase trades. you can get signals > 85 even on H1
  • #2,518
  • Feb 9, 2011 10:45am Feb 9, 2011 10:45am
Quoting navk
eurnzd i do not trade. Spread is more. Any way, what i noticed today triplets signals rarely comes. Quad signals come often. Why not enter at 95 or 98 for quad ? And if quad trades go big DD, then martingale strategy can be utised by adding more trades at some DD and have common profit target ?
I agree that we must test EVERYTHING.....
  • #2,519
  • Feb 9, 2011 11:39am Feb 9, 2011 11:39am
One trade in last hour

gbpaud - gbpchf

entry - 90

exit - 10 pips manually

  • #2,520
  • Feb 9, 2011 11:41am Feb 9, 2011 11:41am
Quoting navk
eurnzd i do not trade. Spread is more. Any way, what i noticed today triplets signals rarely comes. Quad signals come often. Why not enter at 95 or 98 for quad ? And if quad trades go big DD, then martingale strategy can be utised by adding more trades at some DD and have common profit target ?

navk what is martingale strategy ? i guess i missed something
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