Hedge and Correlation Strategy | Page 129 | 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

  • #2,561
  • Feb 10, 2011 7:40am Feb 10, 2011 7:40am
now i know what the problem is. it lies in the synchronisation of the ticks with the basechart and the off chart. i put the offchart indies on gbpjpy and sometimes if a candle at gbpjpy was finished the nzdusd candle was not finished.
  • #2,562
  • Feb 10, 2011 7:55am Feb 10, 2011 7:55am
Quoting Mediator
now i know what the problem is. it lies in the synchronisation of the ticks with the basechart and the off chart. i put the offchart indies on gbpjpy and sometimes if a candle at gbpjpy was finished the nzdusd candle was not finished.
It is more that being out of sync. look at the red line which is not locked and look at the blue line that is locked. The blue line is absolutely what happened in real time when each bar was the current bar. Now look at the red line and notice that not only is it out of sync sometimes, several highs and lows are also truncated and different than what actually happened.

So if you are relying on the history of the truncation, which is present in both methods, before the start of this test, then you are not see what actually happened when the trades were live. In fact the trades may have not happened at all, because of the differences. Again, the truncation is present on both indicators before the start point of the test, because that portion relied on history data, not accurate from the present data, but re-written.
Attached Image (click to enlarge)
Click to Enlarge Name: test10.gif Size: 19 KB
  • #2,563
  • Feb 10, 2011 8:06am Feb 10, 2011 8:06am
i told in an earlier post, that i wrote this indicatpr as a .dll because of faster calculation. with thanks to 7bit i take some codesnipptes from his thread HERE and copy with ArrayCopyRates all chartdata to the .dll

maybe this would help here too. what do you think?
  • #2,564
  • Edited 8:36am Feb 10, 2011 8:21am | Edited 8:36am
Quoting squalou
Ok, so for coders who would like to help in finding where the trap is, here is my "accident version" of the code i'm using right now to find it.
A few things:

Your "i" variable cannot be used in the iStoch function call. "i" may not be the same for each pair. You need to find the Time[i] on the current chart, then use that time in the iBarShift() for each bar. Then use that shift in the iStoch function. This fixes problem with missing bars, especially on low timeframes.

The Tick value calculation is incorrect (for non-USD base pairs). It always uses the current tick value. It should calculate the tick value for each history bar and use that value.

Also, what is "e" variable purpose? As coded now, it does nothing. Maybe "should" be used somewhere.

Include spread in the profit calculation.
  • #2,565
  • Feb 10, 2011 8:35am Feb 10, 2011 8:35am
Quoting zznbrm
A few things:

Your "i" variable cannot be used in the iStoch function call. "i" may not be the same for each pair. You need to find the Time[i] on the current chart, then use that time in the iBarShift() for each bar. Then use that shift in the iStoch function. This fixes problem with missing bars, especially on low timeframes.

The Tick value calculation is incorrect (for non-USD base pairs). It always uses the current tick value. It should calculate the tick value for each history bar and use that value.

Also, what is "e" variable purpose?...

Good point!

I had it coded with iBarShift() in another indicator that needed the stochastic of the pairs for a timeframe different than the one of the current chart.
I'll try that and see if it changes anything and makes it stable.

As for "e", this is a remainder of Mediator's code, who probably borrowed it initially from another indicator (possibly originated from 7bit).
It's of no use here, but doesn't harm anyway.

thanks!
Sq
  • #2,566
  • Feb 10, 2011 9:11am Feb 10, 2011 9:11am
Quoting zznbrm
All of those iOpen() calls need to use the correct shift also.
thanks zznbrm,

i fixed all the bugs you found out. now it also took the right pipvalue also in past.
i compared now the old with the new version and nothing significant has changed. the equity curve has almost the same characteristics.
Attached File(s)
File Type: mq4 Equity Graph Go HomeV2.mq4   12 KB | 861 downloads
  • #2,567
  • Feb 10, 2011 3:20pm Feb 10, 2011 3:20pm
Hi all, I've been studying your trading method quite a bit and it really does seem to bring in the pips. I think I have a few ideas on how to make it more efficient, I'm no expert trader by any means and I can see you guys have put an enormous amount of work into this system which again looks pretty profitable. I just picked one trade at random, Post # 1608 by Dreamliner (I hope you don't mind!) because he seems to have summed up your system fairly simply and the chart he posted was very helpful to me.

Here is how I "dolled up" the trade Dreamliner posted.

1) Added ADX to confirm change in price direction when the ADX blue and red lines cross below the 25 line.

2) Added a variable moving average to confirm the trend. The VMA works in conjunction with the ADX to show how far this small trend may go. As long as price stays above the VMA I hold the position.

3) Exit when the green "main" ADX line snaps, rather than at the dotted yellow line hitting the fifty mark. This is what will maximize your profit. As soon as the ADX line snaps down the indicator essentially becomes useless (until it starts to move upward again) so then you can go back to the VMA as a lagging indicator if you want, as soon as price crosses back under the VMA you could also exit then, but I think the ADX main line is more reliable as a leading indicator. Either way, I think you may gain more pips with waiting for price to cross the VMA or the ADX to snap rather than just waiting for the dotted yellow line to hit fifty...or even 20.

I don't know-I just discovered this thread. I'm a trend trader and work on much longer time frames but am trying to learn how to scalp profitably and consistently.

The beauty of your system is it can operate basically with just the stochastic indicator, and here I've went and added two more indicators to clutter up the chart-still even just using the ADX may maximize any pip gain-just a thought.

Let me know what you think. I work a lot with ADX and have a ton of indicators to go with it. Thanks for this great system you've developed, its given me a lot of ideas. Cheers.
Attached Image (click to enlarge)
Click to Enlarge Name: exit trade m15.gif Size: 38 KB
  • #2,568
  • Feb 10, 2011 4:44pm Feb 10, 2011 4:44pm
Quoting tradervic63
Hi all, I've been studying your trading method quite a bit and it really does seem to bring in the pips. I think I have a few ideas on how to make it more efficient, I'm no expert trader by any means and I can see you guys have put an enormous amount of work into this system which again looks pretty profitable. I just picked one trade at random,
Sorry if I'm stepping out of line, it is Dreamliner's thread, but since this is your first post, and out of courtsey to the thread owner and all those who have put in the effort to test it, I would suggest that you test the method you suggest for a few weeks then share your results. If they are good then people will have to listen to what you say..At the moment it seems to me to be unproven 'improvements' to a system that you have not tested. Of course suggestions are welcome but they need to based on some experience with the topic
  • #2,569
  • Feb 10, 2011 4:56pm Feb 10, 2011 4:56pm
Absolutely, I couldn't agree more. I'll forward test for a few weeks and let you know how I do. Sorry if I offended anyone, as a newb to scalping and to this thread I certainly don't want to step on any toes. Thanks again, it looks like a great system. Best Regards, Tradervic63
  • #2,570
  • Feb 10, 2011 7:24pm Feb 10, 2011 7:24pm
Quoting smjones
Here are the two test indicators I used. You will see in the 1.1 version how I locked the history in place.

BTW here is the latest chart. the thing bounces all over the place, unfortunately.

Also note, that as far as I can tell the current bars is correct. This would mean that EAs running multi-currency strategies are probably accurate in real time (forward testing) I wonder if this is why MT4 did not allow multi-currency back testing in it's strategy tester.
why you use off chart ?
  • #2,571
  • Feb 10, 2011 7:28pm Feb 10, 2011 7:28pm
Quoting Caillou
My test with Trend Filter didn´t open any trade, maybe I´m doing something wrong, maybe this filter is.....too much filter.

Anyway, today 20 trades with entry at 95%, exit at 5%, triplets and quads, total result (all trades closed): + 65 pips.

I could not compare these results with yesterday since yesterday I used 90%/10%.

Let´s wait.....
what Trend Filter ??
  • #2,572
  • Feb 10, 2011 7:36pm Feb 10, 2011 7:36pm
Quoting squalou
i don't think this makes any difference: the PFBuffer is what gets displayed on the chart, but it always takes its values from Acc, which is updated only when a trade closes.
Using PFBuffer[i+1] or PFBuffer would only shift the curve by 1 bar, but not change the resulting values.

Ok, so for coders who would like to help in finding where the trap is, here is my "accident version" of the code i'm using right now to find it.

Steve, SMJ, Mediator, Roundrock, T1minator, others...
[i][b][size=4][color=red]!!!...

but that indicator I add for try the backtest ?
  • #2,573
  • Feb 10, 2011 7:46pm Feb 10, 2011 7:46pm
Quoting Mediator
thanks zznbrm,

i fixed all the bugs you found out. now it also took the right pipvalue also in past.
i compared now the old with the new version and nothing significant has changed. the equity curve has almost the same characteristics.
I have problem in backtest !

2011.02.11 02:45:26 2010.01.04 00:00 Equity Graph Go HomeV2 EURUSD,M15: SetIndexBuffer function must be called from custom indicator only
  • #2,574
  • Feb 10, 2011 11:56pm Feb 10, 2011 11:56pm
Quoting wallstreet03
what Trend Filter ??
Using RSI (20), but my test has not opened any trade yet.....

Anyway I´m trying new things like Renko. If I found something interesting you´ll know......
  • #2,575
  • Feb 11, 2011 12:49am Feb 11, 2011 12:49am
Quoting wallstreet03
I have problem in backtest !

2011.02.11 02:45:26 2010.01.04 00:00 Equity Graph Go HomeV2 EURUSD,M15: SetIndexBuffer function must be called from custom indicator only
sorry, i don't know why you got this error message. maybe you must have more history data with the pairs you are testing.

it is anyway better to have a lot of historydata for a reliable test equity. try to download minimum 2 years of data.
  • #2,576
  • Feb 11, 2011 12:53am Feb 11, 2011 12:53am
i'll find a post from billbiss about hedge-trading in zeusjoes thread.

HERE is the post. i think this is a good idea.
another idea i have is to use multitimeframing stochastic. all of my trading systems i use got better results with MTF-trading. i usually trade in the 1hour chart with my most systems, but searching for entry in the 5m chart and take weekly and/or daily for trendconfirmation.
with MTF-trading maybe we could also avoid some DD or with the divergence method from billbiss.
  • #2,577
  • Feb 11, 2011 2:18am Feb 11, 2011 2:18am
Quoting wallstreet03
I have problem in backtest !

2011.02.11 02:45:26 2010.01.04 00:00 Equity Graph Go HomeV2 EURUSD,M15: SetIndexBuffer function must be called from custom indicator only

you have probably put the indicator in the /experts folder (that's where EAs only should be).
Move it to /experts/indicators instead.

sq
  • #2,578
  • Feb 11, 2011 4:22am Feb 11, 2011 4:22am
After the two 80pip losses on Tuesday, things have gone smoothly and has almost recovered the losses and now is a couple of pips below BE for the week, which is good.


This week I have changed criteria to 85% entry, 10% exit.
If it goes back to over 90% then I enter again. I have only done this one this week so it is still experimental.

I will continue Demo testing for another week.
Attached Image (click to enlarge)
Click to Enlarge Name: DetailedStatement.gif Size: 6 KB
  • #2,579
  • Feb 11, 2011 6:04am Feb 11, 2011 6:04am
Quoting Zr-fx
After the two 80pip losses on Tuesday, things have gone smoothly and has almost recovered the losses and now is a couple of pips below BE for the week, which is good. .....
Zr-fx,

you meant by 'enter again' at 90%, that you'll scale-in/average with another size?

josch
trading is war - life is simple
  • #2,580
  • Feb 11, 2011 6:48am Feb 11, 2011 6:48am
All testing ...

would be interesting to hear about max DD, using the Hedge with adding positions or not. Still using demo last week, I was a bit surprised, that I get a 200- and the pair comes back to positive territory. Although have to mention,
1. it was no triple (EURCHF x GBPCAD)
2. EURCHF about 2 hrs in OS level
3. adding 2nd pos. at 97% (29- PIPs)
4. adding 3rd pos. at 82% (110- PIPs)
5. max DD was 200- at (still 92%)
6.
trading is war - life is simple
1 trader viewing now