Hedge and Correlation Strategy | Page 131 | 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

  • #2,601
  • Feb 11, 2011 12:39pm Feb 11, 2011 12:39pm
Quoting Zr-fx
Mine is certainly not closing at the defined cash profit in the variable 'Profit Target'. It is only closing at 10%. I shall try the latest version.
Strange, everything's fine on my side.

Sq
  • #2,602
  • Feb 11, 2011 12:49pm Feb 11, 2011 12:49pm
Quoting Zr-fx
Right, I've closed shop for the day. I think I left a few pips behind but things started jumping around so I decided to close with a total week pip count of 96 pips, which, given the 160 pip loss at the begging of the week, is a reasonable result. Not brilliant, but reasonable.

This brings total growth since starting the test last week to 4.14% and 350 pips.

Looking forward to another week of testing.

Z

in this moment I lose 211pips


gbp cad - eurchf

eur chf eur aud

gbpusd eurjpy

I use with m5 - m30 -h1

entry 90 exit 5

I use stock different2pairEasqe
  • #2,603
  • Edited 1:42pm Feb 11, 2011 12:52pm | Edited 1:42pm
Squalou :

We all know that the stoc diff stays at same level or stoc diff goes higher after reaching 80.

My thought is this :

ALTERNATIVE 1 FOR ENTRY :

In case if stoc diff goes higher then i would consider 1 lot entry at 80 then another lot 90 another lot 95.

Exit by cash profit will have to calculated for all three lots. Say 50 $ for all three lots.

If stoc diff reaches 80 and then never goes up further it is fine and i would exit at cash profit whatever i set.

ALTERNATIVE 2 FOR ENTRY:

I would like my first entry a 1 lot at 80 stoc diff. then i would add second lot when the pips loss 50, then i would add third lot at 100 pips loss.

The second entry and third entry shall left blank and we should be able to choose. I may enter second lot at 40 pips/ 50 pips. Third lot at 80/100 pips.

Stop loss : We should be able to enter cash stop loss in order to exit the whole basket.

Thanks for all your help. Hope i put my thoughts to the best..

Note : The second alternative is better option for entry.
Intraday only.
  • #2,604
  • Feb 11, 2011 1:46pm Feb 11, 2011 1:46pm
Hi I have noticed many times a stoch will converge from say 85 to 50 but is driven by one pair and the other pair could lose more than the other gains - a consideration could be independent s/l for each pair
  • #2,605
  • Feb 11, 2011 1:53pm Feb 11, 2011 1:53pm
Quoting censura
Hi I have noticed many times a stoch will converge from say 85 to 50 but is driven by one pair and the other pair could lose more than the other gains - a consideration could be independent s/l for each pair
It is a hedging strategy. Leaving one leg of trade is very dangerous.

Two trades ( sell & buy ) are one basket and s/l has to be for one basket.
Intraday only.
  • #2,606
  • Feb 11, 2011 2:07pm Feb 11, 2011 2:07pm
Quoting navk
Squalou :

Trading with your EA on many pairs in hourly chart. EA doing great. ...
Navk,

trading M5 still here - if you are trading on H1, what avg # of trades you get a day/week?

josch
trading is war - life is simple
  • #2,607
  • Feb 11, 2011 2:21pm Feb 11, 2011 2:21pm
Quoting josch
Navk,

trading M5 still here - if you are trading on H1, what avg # of trades you get a day/week?

josch
In hourly chart, the EA has made 125 pips in one platform with cash profit exit. But one bad trade ( gbpcad/eurchf ) spoiled. I got 13 trades since europeoon open. 12 trades closed in profit. 1 Open trade in loss.This is why i am writing about my thoughts of various options for entry and exit to squalou.

In another platform, the EA has made 47 pips w/o loss in hourly chart.
Intraday only.
  • #2,608
  • Feb 11, 2011 2:36pm Feb 11, 2011 2:36pm
Quoting navk
In hourly chart, the EA has made 125 pips in one platform with cash profit exit. But one bad trade ( gbpcad/eurchf ) spoiled ....
Excellent, seems that you are using quads too. Nonetheless - all PIPs are welcome

josch
trading is war - life is simple
  • #2,609
  • Feb 11, 2011 2:44pm Feb 11, 2011 2:44pm
squalou, can we take profit with pip target, instead of cash value?
  • #2,610
  • Feb 11, 2011 3:06pm Feb 11, 2011 3:06pm
!read This!

we see that CAD news was a problem for this strategy.

i opened GBPAUD and GBPCAD. did a buy on GBPAUD and sell on GBPCAD according to ruleset.

CAd news came around which was good. and boom GBPAUD is 80 pips profit. while GBPCAD = -180 pips.



my idea is this. check upcoming news. then check correlation of pairs. if Ea shows pairs to open.

then only and only open pairs that are correlated to that news.

so if USd news hit. open EURUSD and USDCAD for example. but never ever singlepairs because you will get destroyed badly.

if you actually checked last week news and checked how well it went specially friday. you could see that it opened all EUR pairs based on news. that made around 150 pips profit.

if i would have done this today and yesterday i would have closed 658 pips this week. however since i didnt interact i am now -600 pips.

that said next week we could all be back into profit. since someday pairs will come back again. but do you really want to risk it all?

ofcourse not.

so be smart. single pairs can be opened when there is no major news like we do now. then something like GBPUSd and GBPJPY can be opened.

but when major news is coming up. never ever open single pairs. only open pairs based on the news. or pairs not related to news item at all.
  • #2,611
  • Feb 11, 2011 3:50pm Feb 11, 2011 3:50pm
this week bad gbpcad and gbpjpy!!
  • #2,612
  • Feb 11, 2011 3:54pm Feb 11, 2011 3:54pm
but if add as filter a simple moving average ?
  • #2,613
  • Edited 6:20pm Feb 11, 2011 6:04pm | Edited 6:20pm
01:55:00 2011.02.07 EURUSD,: Ready to place orders. Stoch1 3.01 stoch298.14 Difference 80
01:55:00 2011.02.07 EURUSD,: Placing buy order at 1.35107000 for EURUSD
01:55:27 2011.02.07 EURUSD,: open #13451 buy 0.10 EURUSD at 1.35107 ok
01:55:27 2011.02.07 EURUSD,: Placing sell order at 0.97625000 for USDCHF
01:55:31 2011.02.07 EURUSD,: open #13452 sell 0.10 USDCHF at 0.97625 ok
01:55:31 2011.02.07 EURUSD,: Order entered into history in 0ms
01:55:31 2011.02.07 EURUSD,: Order entered into history in 0ms
01:56:22 2011.02.07 EURUSD,: In full closure mode. Closing a EURUSD buy trade...
01:56:22 2011.02.07 EURUSD,: close #13451 buy 0.10 EURUSD at 1.35107 at price 1.35168
01:56:22 2011.02.07 EURUSD,: 18:56:26:Closed EURUSD=6.10/=0.00:6.10,max DD=-1.94

I am test real account but latest sq EA is not close full close mode.
when 10$ reached eurusd is close but usdchf is not close.

Sometimes well working but Sometimes not working full mode close.
i am manually closed..

sq ...check it pls.


good day.
  • #2,614
  • Feb 11, 2011 7:27pm Feb 11, 2011 7:27pm
Quoting trade4fun
!read This!

we see that CAD news was a problem for this strategy.

i opened GBPAUD and GBPCAD. did a buy on GBPAUD and sell on GBPCAD according to ruleset.

CAd news came around which was good. and boom GBPAUD is 80 pips profit. while GBPCAD = -180 pips.



my idea is this. check upcoming news. then check correlation of pairs. if Ea shows pairs to open.

then only and only open pairs that are correlated to that news.

so if USd news hit. open EURUSD and USDCAD for example. but never ever singlepairs because you will get destroyed...
t4u, thats a good point. but how does EA know the news ? do we need to do it manually ? one simple solution is close the EA ahead of major news release regardless of the currency. open EA after 1 hr. how is that ?
  • #2,615
  • Feb 12, 2011 4:20am Feb 12, 2011 4:20am
Quoting navk
Squalou :

We all know that the stoc diff stays at same level or stoc diff goes higher after reaching 80.

My thought is this :

ALTERNATIVE 1 FOR ENTRY :

In case if stoc diff goes higher then i would consider 1 lot entry at 80 then another lot 90 another lot 95.

Exit by cash profit will have to calculated for all three lots. Say 50 $ for all three lots.

If stoc diff reaches 80 and then never goes up further it is fine and i would exit at cash profit whatever i set.

ALTERNATIVE 2 FOR ENTRY:

I would like my first entry a 1 lot at 80...

buddy according to my senses ALTERNATIVE 1 is good.i was thinking in same way.
  • #2,616
  • Feb 12, 2011 5:04am Feb 12, 2011 5:04am
Quoting angel1004
01:55:00 2011.02.07 EURUSD,: Ready to place orders. Stoch1 3.01 stoch298.14 Difference 80
01:55:00 2011.02.07 EURUSD,: Placing buy order at 1.35107000 for EURUSD
01:55:27 2011.02.07 EURUSD,: open #13451 buy 0.10 EURUSD at 1.35107 ok
01:55:27 2011.02.07 EURUSD,: Placing sell order at 0.97625000 for USDCHF
01:55:31 2011.02.07 EURUSD,: open #13452 sell 0.10 USDCHF at 0.97625 ok
01:55:31 2011.02.07 EURUSD,: Order entered into history in 0ms
01:55:31 2011.02.07 EURUSD,: Order entered into history in 0ms
01:56:22 2011.02.07 EURUSD,: In full closure mode....
This is strange.
The EA closes trades based on the magicnumber.
Both trades are opened with the same magicnumber.
If it doesn't find one of them in the list of opened trades, it means it was closed perhaps manually or by another EA running in parallel.
Check your "account history" window: look for the "id" of the USDCHF trade that you had to manually close: the "id" is the magicnumber.
You can see the "id" when moving your mouse over the trade entry in the "account history" window.
Check that it is the same for both the EURUSD and USDCHF trades -- it should.
If it is the case then i have no explanation why the EA missed one when closing.
I had multiple EAs running in parallel yesterday and all trades where closed properly with no misses.

sq
  • #2,617
  • Feb 12, 2011 5:12am Feb 12, 2011 5:12am
Quoting navk
Squalou :

We all know that the stoc diff stays at same level or stoc diff goes higher after reaching 80.

My thought is this :

ALTERNATIVE 1 FOR ENTRY :

In case if stoc diff goes higher then i would consider 1 lot entry at 80 then another lot 90 another lot 95.

Exit by cash profit will have to calculated for all three lots. Say 50 $ for all three lots.

If stoc diff reaches 80 and then never goes up further it is fine and i would exit at cash profit whatever i set.

ALTERNATIVE 2 FOR ENTRY:

I would like my first entry a 1 lot at 80...

So option 1 is more like re-entry, while option 2 is true recovery (averaging).
Although option 1 is also probably recovery, as when stoch keeps reaching higher values means price is continuing in the same direction, therefore opposite of what we want, but hard to tell just from the stoch lines.

I'll see what i can do for that.

sq
  • #2,618
  • Edited 6:41am Feb 12, 2011 6:23am | Edited 6:41am
Thanks you.
I will re-test.


@@pair_ea limit...
and if one-pair EA is working then other pair EA waiting is possible?
because margin level..
Satisfied another pair condition EA is waiting...??
  • #2,619
  • Feb 12, 2011 6:39am Feb 12, 2011 6:39am
RoundRock

as we saw this week. EURCHf with EURUSD and GBPUSD with GBPJPY and Cad were the pairs that brought us into problems. all based on news. now we know this for fact. i came up with these solutions so far. if somebody else has any others i am all ears.

Solution.1

integrate an news indicator into an EA. Hanover made 1 although that one is very complicated. we need the EA to look for example at the news feed of forexfactory. check day ahead what news is coming up.

then check if news is USD releated, JPY related etc. then check which pairs are correlating. if USd news for example coming up and although for example GBPUSD and GBPJPY would normally open according to ruleset. dont open those pairs. instead look for example at EURUSD with GBPUSD. or GBPUSD with AUDUSD. as long as the pairs you use are from that news item. or open correlated pairs that have nothing to do with news at all. like EURCHF with EURAUD for example.

Solution.2

close EA as you suggested before news item hits. you maybe in small lose. but i rather lose small. then lose big.

this is so far what i came up with.
  • #2,620
  • Feb 12, 2011 9:50am Feb 12, 2011 9:50am
Squalou :

I have spoken to my broker who has no dealing desk.

He said, sending two trades at the same time is not preferable whether it is open or close order. He is advising a slight delay between two orders so that the server will execute with out any problems.

Presently the EA sening two orders at the same time and this is why sometimes we see one buy trade opens and sell trade does not open. I have seen at times, the EA closes one trade but fail to close another trade.

By having a slight delay in the code both orders will get executed.

Thanks.
Intraday only.
12 traders viewing now