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Hedge and Correlation Strategy

  • #2,701
  • Feb 15, 2011 3:07pm Feb 15, 2011 3:07pm
roundrock. ofcourse not. short and agressive.

i believe in 10 bars on 5 minute chart i can close the gap at least 60 pips on what i have now. however to be sure about it. i need a small Ea to test it. today i did actually manually already close the gap 54 pips. but it aint much fun sitting infront of a computer opening orders every 5 minutes.

all i need is a small Ea that works and i can easly show by picture how i do it.
  • #2,702
  • Feb 15, 2011 4:12pm Feb 15, 2011 4:12pm
Hi all,

i started to read side 1 and side 100 and in between i switched to the last. So pls dont kill me if that one is discussed before, but 180 pages at one, ok 81 from 100 is a lot in one piece.

I only ask me if it would make sense to study if one pair is running more away from the other. So we could enter only that trades where that running away pair comes back to the other pair to avoid to have 2 trades going in the wrong direction and having only 1.
  • #2,703
  • Feb 15, 2011 4:23pm Feb 15, 2011 4:23pm
Quoting Mediator
i don't understand what could give an egde to trade now the equity with BB's MA's? it is the same then trading the usuall chart with one pair.

don't loose the focus. i give a link from bilbiss the last week, which he shows how divergence happen between correlated pairs of highs and lows. after reviewing some charts this could give an edge.

Not really.
The hedged basket is creating a more stable "instrument", where BBs are allowed to give their best performance, where Stochastics still fail.
We can trade regular pairs with Stochastics as well, however we tried using the Stochastics on the hedged basket because it seemed to have potential.
So far, i personally have not seen it performing better than merely coin toss.
Yes we have some good trades, but yes we also have some very bad ones as well, and the outcome on the long run looks really uncertain to me, where the bad trades wipe out many of our little winners.
My screenshots of "modified BB's" plotted on top of the equity curve compared to the Stochastics are showing me some real improvements IMO.
I prefer the statistical approach, and Spinfoil put the right words on some of my thoughts.
I think it is worth trying at least.

And we have not yet started talking about uneven lot sizes...
Which could also lead to even more stable (read: ranging) "pairs".

I'll look at Billbss link you posted, thanks for reminding it.
Perhaps that can also refocus the search.

Sq
  • #2,704
  • Feb 15, 2011 4:28pm Feb 15, 2011 4:28pm
I have added both original basket profit indi as well as revised ones for comparison.

My entries using the original ones were giving more pips.

Entry at or around outer bb line could lead to some DD as is my case today with euraud/eurchf.
Attached Image (click to enlarge)
Click to Enlarge Name: euraud-eurchf.gif Size: 29 KB
Intraday only.
  • #2,705
  • Feb 15, 2011 8:53pm Feb 15, 2011 8:53pm
Hey All,

I am looking for an EA that can close all the positions when the balance is a positive figure in MT4 platform, with some alert or email option. Have any of you all seen something like that...............


Thanks...........................
  • #2,706
  • Feb 15, 2011 10:19pm Feb 15, 2011 10:19pm
Guys,

I also hoping that sq, dreamliner and others to explore the opposite.. I'm not diverting here as i'm making consistent profit out of DL startegy however, every time i open buy and sell my profit factors stays and grows negative for a while meaning atleast 2-15-20 days and then it reverts back to the positive value where i could close it.

Now most of my trades that followed this DL startegy were successful have waited atleast average 2-10 days to profit, likewise if i turn on the opposite trade once i receive the signal then i would have taken profit much earlier for example within a day and definately the EA would work well too.

Now i know going against a working strategy is not a good idea, please help explain.

adious....
  • #2,707
  • Feb 15, 2011 11:17pm Feb 15, 2011 11:17pm
Quoting fortheex
Guys,

I also hoping that sq, dreamliner and others to explore the opposite.. I'm not diverting here as i'm making consistent profit out of DL startegy however, every time i open buy and sell my profit factors stays and grows negative for a while meaning atleast 2-15-20 days and then it reverts back to the positive value where i could close it.

Now most of my trades that followed this DL startegy were successful have waited atleast average 2-10 days to profit, likewise if i turn on the opposite trade once i receive the signal then i would have...
And here is one reason why trading is so difficult for most people. Most trades one enters are both profitable and unprofitable for some period of time... I mean, who sells the EXACT high before their profit is hit? and on the other side, how often to markets push so fast that an entry price is never profitable before it hits your target?

Since the vast majority (95%+?) are both at LEAST 1 pip profitable and 1 pip unprofitable during some moment during the trade, the question isn't

"since this method/system/etc shows a loss while it is open, why don't I trade the opposite?"

the question really is:

"since ALL systems/methods etc. show both profit AND loss during the time the trade is on... which system will win enough money, enough times, to overcome the losses and show a consistent profit)"

So forget the whole "i got in a trade, and it showed a loss for a period of time before it made a profit" thought. this will ALWAYS be the case unless you sell/buy the exact high/exact low of a move, AND if your profit target is hit before that move reverses.

As an example, I don't trade this method yet (though I will start testing it soon), but my trading record for february so far is over 70% winning trades... yet when I look back at each trade, I find that EVERY SINGLE ONE showed a loss greater than the spread at some point, and many showed a loss for the first half of the time that the trade was on.

You need to determine 3 points in a trade: An entry, a stop loss, and a target. The secret to profitable trading is knowing that your target will be hit more than your stop loss, OR that your profits will make more money than your losses will give up, or both.

But between the time your target is hit, or your stop loss is hit...you can expect 95%+ trades to be both profitable and unprofitable until they finally hit one of those two points.

Since every successful trading method requires 3 points: An entry, a stop, and a target, why don't you ask yourself the following question:

"If I try to trade the reverse of this system, what rules will I have for entering, taking profits, OR taking losses." I think you'll find entering a trade is the easy part...but coming up with rules that are consistently profitable for profit targets and stops will be very difficult for you to objectively define.

Hope this helps!

Greg
  • #2,708
  • Feb 16, 2011 12:02am Feb 16, 2011 12:02am
Quoting spinfoil
And here is one reason why trading is so difficult for most people. Most trades one enters are both profitable and unprofitable for some period of time... I mean, who sells the EXACT high before their profit is hit? and on the other side, how often to markets push so fast that an entry price is never profitable before it hits your target?

Since the vast majority (95%+?) are both at LEAST 1 pip profitable and 1 pip unprofitable during some moment during the trade, the question isn't

"since this method/system/etc shows a loss while it is open,...
Hi..

It has been an eye opener gesture from you and i do take it professionally. Well to be honest, i've thought about even thinking about the entry rules of your last question paragrapgh or neither have i taken the opportunity to enter such trades. Its just that i want to know the frequency of the trades that i end up with when using the rules.

So far i've changed the rules myself abit and i know its not advisable ( i just don't enter the SL factor during my trades however eventually since Jan till now my profits were USD170 with a USD 300 account.

And its also silly why i don't use SL to my own risk is because of the correlation factor, somehow its been working that the price do come back to profit and of course my enter lot is usd 0.1cents.

All my trades so far has been a winning trade meaning xample gbpusd / eurusd ( -2.50cents / 3.50cent= 1.0 cent) in this matter its still profitable trade based on correlation pairs eventhough it took me 5 days to get back to positive factor.



Adious....
  • #2,709
  • Feb 16, 2011 12:34am Feb 16, 2011 12:34am
Quoting fortheex
Hi..

It has been an eye opener gesture from you and i do take it professionally. Well to be honest, i've thought about even thinking about the entry rules of your last question paragrapgh or neither have i taken the opportunity to enter such trades. Its just that i want to know the frequency of the trades that i end up with when using the rules.

So far i've changed the rules myself abit and i know its not advisable ( i just don't enter the SL factor during my trades however eventually since Jan till now my profits were USD170 with a USD 300...
I'm glad to hear I could provide some insight, and congratulations on your profits!

I will strongly caution you on one thing when it comes to trading without a stop loss. Remember, if you truly never use a stop loss, you are basically saying "The only way I will close a trade that is losing is when my account gets wiped out."

If this is the case, you can't afford to be right even 99.99% of the time! You actually have to be right 100% of the time, forever. Period.

It is actually easier to use a gambling analogy to explain how this works. Lets say you somehow randomly pick numbers from a jar, and there are 1000 numbers in the jar. You have $300 in your pocket.

Now, you never know how much a number will give you when you pick it out. Some will give you 1% profit of whatever you risk, some will give you 3%, 7%, even 20%.

But, if you pick out number 999 out of the jar, you lose 100% of your amount you risk.

You start picking numbers, and after you've won about 25 times in a row, you figure "forget the small stuff! i always win a little...so i'm just gonna bet whatever I have in my pocket, and i'll win 1%-20% of my total account, rather than 1% - 20% of just some...i'll make a fortune!)

And, although you will make a lot, and win alot...eventually, you will pull number 999 out of the jar. It will only happen 1 in a 1000 times, but it will happen, guaranteed.

And since you are risking it all each time you pull a number.... you have to ask yourself "is this method the most perfect thing on earth...so perfect that it never fails...?"

If you trade with absolutly NO stops, all you need is a single losing trade...ever. forever, i mean like...till you die, and you will only close the trade when your account reaches 0. Because, remember, having "NO STOPS" is really having NO STOPS.

Truth of the matter is, you probably won't trade with NO stops. You'll eventually have a loser that draws you down 20% - 60% of your account in a few days, and you won't be able to take the pain, and you'll take your loss. THEN, that one will turn around, and would have made a profit.

Now, you decide to "screw it", and you'll decide to never take a stop again. And, within a few days/weeks/months, you will have another loser. This one you actually will take no stop, and this one will take all your profits, and send them to the professional traders...you know...the ones who have stops.

Also...i highly doubt this system will have 100 trades in a row, without some vicious drawdown during at least a few.... but even if it does...

what if your in a trade, say EUR/USD long, EUR/CAD short... and as you are sleeping that night... and the U.S. drops a nuke on Canada Hey...it could happen... and usually no one calls you the day before a world disaster or war breaks out.

Now, your trade is gonna really have some volatility... it may move several hundered pips against you in 1 day...and more than 1,000 pips in a week, or even more.

So, can you take a 1,000 pip drawdown? by the way...as a more realistic example, you take EUR/USD long, and GBP/USD short... and a day after you enter the trade...Germany announces it plans to pull out of the Euro union.... and within 1 week, france says the same.

Now how's your trade doing?

Remember, no stops means your system is so perfect that god himself couldn't create a better one. It is one that never, ever, ever, ever loses...or a single loser means your account is wiped out.

Successful trading requires MANAGING and ACCEPTING risk...not ignoring risk.

Good trading to you!

Greg
  • #2,710
  • Feb 16, 2011 2:08am Feb 16, 2011 2:08am
Quoting spinfoil
I'm glad to hear I could provide some insight, and congratulations on your profits!

I will strongly caution you on one thing when it comes to trading without a stop loss. Remember, if you truly never use a stop loss, you are basically saying "The only way I will close a trade that is losing is when my account gets wiped out."

If this is the case, you can't afford to be right even 99.99% of the time! You actually have to be right 100% of the time, forever. Period.

It is actually easier to use a gambling analogy to explain how this works....
Hi... yes i TOTALLY AGREE on the SL factor... been trading for 2 yrs.. yet to see some success till i came venturing to this site earlier when dreamliner posted.. meaning my trades in the past never wiped out the account... only thing with any startegy and robots its just fluctuates balance up and down..

I definately would not want to trade without a SL... just recently it was kind of interesting. i will take your advise to pull out those with high drawndown in pips.. which i'm not suppose to but hoping for success base on this startegy...

Ok this thread face preview or post one have changed alot and also alot of amendmends the last 1 month which i have read all the post from page 1 to 100++..

do you have a summary whats going on.. or if this could be summarized in post 1 itself.

adious....
  • #2,711
  • Edited 2:28am Feb 16, 2011 2:17am | Edited 2:28am
Quoting fortheex
Guys,

I also hoping that sq, dreamliner and others to explore the opposite.. I'm not diverting here as i'm making consistent profit out of DL startegy however, every time i open buy and sell my profit factors stays and grows negative for a while meaning atleast 2-15-20 days and then it reverts back to the positive value where i could close it.

Now most of my trades that followed this DL startegy were successful have waited atleast average 2-10 days to profit, likewise if i turn on the opposite trade once i receive the signal then i would...
My experience is exactly the opposite. For me the shorter the sweeter. So far I have done 182 trades (91 sets) and the average trade duration is 1h 47m. My balance growth is 7.14% in 19 days. Perhaps not brilliant for some people but if I can achieve this consistently I would be very happy. To be honest so far I have encountered nothing that makes me want to change anything.
  • #2,712
  • Feb 16, 2011 2:26am Feb 16, 2011 2:26am
Quoting Zr-fx
My experience is exactly the opposite. For me the shorter the sweeter. So far I have done 182 trades (91 sets) and the average trade duration is 1h 47m. My balance is 7.14% in 19 days. Perhaps not brilliant for some people but if I can achieve this consistently I would be very happy. To be honest so far I have encountered nothing that makes want to change anything.
good to know u achieved this great success. 7.14% in 19 days is grea achievement.

what exactly is your entry, exit criteria ? 182 trades in 19 days is approximately 9 per day
  • #2,713
  • Feb 16, 2011 3:04am Feb 16, 2011 3:04am
Quoting roundrock
good to know u achieved this great success. 7.14% in 19 days is grea achievement.

what exactly is your entry, exit criteria ? 182 trades in 19 days is approximately 9 per day
Hi Roundrock

There were 14 at the beginning which were experimental or by error so they really should not count.

Apart from those I have used Squalo's ES with setting 85% and 10%, however I interfere sometimes. For example it went in at 85%, then the pairs continued going opposite resulting in DD and the Diff is still high, in this case I set the EA to enter at 90% and add 0 to the magic number. Only once last night I let it go in a third time at 98% and added 1 to the magic number.

A few times I killed all the trades manually because I had DD then the whole basked went positive so I took the profit.

But most of the time it is in automatic.

Sadly though all of this is still on Demo (Alpari uK), although my aim is to do it live from 1st March. I know 19 days of testing is not really a strong indicator but I will go live with a reduced risk and lot size and see what happens. It is a fact that things will perform differently on live than demo, so we'll see.

All the above can be seen on:
http://www.mt4i.com/users/zr-fx-gh/stats
and
https://www.myfxbook.com/portfolio/gh-correlation/82330

My magic numbers are all 5 digits. Where you see an extra 0 or 1 to the magic number means I have set the EA to re-enter at a higher Stoch Diff.

It would be great to hear from people who are trading this strategy live and what their experience has been.

Hope this helps.

Z
  • #2,714
  • Feb 16, 2011 3:10am Feb 16, 2011 3:10am
Quoting Zr-fx
Hi Roundrock

There were 14 at the beginning which were experimental or by error so they really should not count.

Apart from those I have used Squalo's ES with setting 85% and 10%, however I interfere sometimes. For example it went in at 85%, then the pairs continued going opposite resulting in DD and the Diff is still high, in this case I set the EA to enter at 90% and add...
Hi...

would it be possible to let me know what EA that you were using... back from the pages of post... its confusing already...

adious...
  • #2,715
  • Feb 16, 2011 4:52am Feb 16, 2011 4:52am
Quoting Zr-fx
Hi Roundrock

There were 14 at the beginning which were experimental or by error so they really should not count.

Apart from those I have used Squalo's ES with setting 85% and 10%, however I interfere sometimes. For example it went in at 85%, then the pairs continued going opposite resulting in DD and the Diff is still high, in this case I set the EA to enter at 90% and add...
thanks Z for the detailed response. i assume this is on M5.

i have also tested on and off the GomeHome EA (pretty much similar to SQ EA). i tested only triplets, entry at 90%, exit at 5% or 15 pips whichever comes early. i dont have the stats as i test other systems also on same demo account. sometimes i average at 95%. my feeling is positive. i tried on hgher TF but DD is not good and less trades. i prefer M5.

now i am testing SQ latest indi (basket profit). yet to find a way to enter. i tried 2 approaches. sell basket when PL > x (where x is mostly 100 for 0.1 lot), buy below y. this seems to work well. i exit with 15 pips. another approach is with std deviation Bands, this is little tricky, enter when PL goes out of band and comes back inside. but lot of times it grazes along the band giving high DD. Bands also go in same angle as PL. this is not comfortable to me. in bolinger bands, the bands expand and contract most times, yes there also the price grazes along. here i dont find bands expanding and contracting. they are parallel lines. always. may be i didnt understand the mathematics of it properly. so i quickly abonded that idea (lol, after few hours testing only). i am back to my earlier systems. sto diff 95, 5 and PL +-100. these 2 are working well so far

one thing common in all these systems is a quick exit. take some pips and go home. dont wait for the magic numbrers of sto dif 5 or ZERO line. always pips in bank are safe than on the platform

i will do more tests and see when i will get that 'bad' trade to know the max DD
  • #2,716
  • Feb 16, 2011 4:53am Feb 16, 2011 4:53am
Quoting rulla
Hi All,

I just recently found this thread and it really caught my attention. The idea definitely has some potential in my opinion and worth spending time in research.

So, I steal Going Home EA from a parallel thread (I hope SteveHopewood is not going to be mad at me ) and used it as a base to create a quick and dirty mod trying to implement StDev idea that spinfoil suggested below.

EA calculates StDev for each session (3 columns abbreviated "A","E", and "U") for each pair. I use SMA in EA to find mean and I added appropriate...
Sir,

This EA is working very well OOTB. It does however need some filters, ie News Filter just to keep it out of dangerous DD areas.

Secondly, can the look back periods be programmed in the way suggested by spinfoil?

The icing on the cake would be some way of monitoring price deviation so that we enter on the retrace - ie price goes to over 2xSD and then we wait, or put in a pending order, to trade once the price comes back to 2xSD.

Would this be possible?

just my 2 pennies worth
  • #2,717
  • Feb 16, 2011 6:54am Feb 16, 2011 6:54am
Quoting Zr-fx
My experience is exactly the opposite. For me the shorter the sweeter. So far I have done 182 trades (91 sets) and the average trade duration is 1h 47m. My balance growth is 7.14% in 19 days. Perhaps not brilliant for some people but if I can achieve this consistently I would be very happy. To be honest so far I have encountered nothing that makes me want to change anything.
I have been using SQ's EA in hourly chart with consistent profit.

5000 $ A/C has grown up to 5726 $ untill this morning here today.

From 11 th to 15 th. 4 trading days, a/c up by 14.5 %. Amazing. Have seen DD up to about 8 to 10 %.
Intraday only.
  • #2,718
  • Feb 16, 2011 6:56am Feb 16, 2011 6:56am
Quoting fortheex
Hi...

would it be possible to let me know what EA that you were using... back from the pages of post... its confusing already...

adious...
I am using 'Stoch Diff 2 Pair EAsq' but it is not the latest. I think just found a bug with the £ (or $) take profit. I set the £ TP to £15. I think what happened was it close the pair that was over £15 in profit but not the other pair.

So perhaps you want to fins the latest version. You can click on the paper clip icon at the top right to find all the attachments.
  • #2,719
  • Edited 9:29am Feb 16, 2011 8:39am | Edited 9:29am
I am use sq last ver EA.
1)
Requote is appeared
eurusd is opened but usdchf is not open.
and manual opened...
2)
yet profittarget mode ===>full close mode is not working.

one pair is closed but one pair is remaining position.

for (i = 1; i <=3; i++) {
iTicket = OrderSend(strSymbol,OP_BUY,dblLots,....rest of params);
if(iTicket<0) {
Print("OrderSend failed with error #",GetLastError());
//---- wait for 5 seconds
Sleep(5000);
//try again
} else {
break;
}
}


this routine add for me...
  • #2,720
  • Feb 16, 2011 9:33am Feb 16, 2011 9:33am
Quoting squalou
Here is a picture showing the Basket Profit for +EURUSD/-GBPUSD basket on an M5 chart, with a Red BB(100,2stddev), and a green SMA(100) with a +/-15USD channel around it.
The gray lines are the profit levels in USD for a 0.1 lot basket (buy 0.1 EURUSD, sell 0.1 GBPUSD).

Attachment

Just drag and drop MT4's "Bollinger Bands" default indicator to the Basket Profit sub window, and select "Apply to" = "First indicator's data".Sq
Thanks A LOT for your´s inputs Dreamliner-Squalou-navk-roundrock-spinfoil- I´ve been learning and enjoyed to much.
I have tried to emulate the "basket with BB MA profit" of Squalou, but I think there's still something wrong.
What I did was:
1. Indicators used: 2 pairs sq profit basket, BB, stdDev, SMA
2. opened a subwindow with basket sq profit 2 pairs
3. add mt4 BB (period 100, shift 0, deviations 2, apply to first indicator´s data, style red)
4. add mt4 stdDev (period 15, apply to previous indicator's data, simple method, fixed minumun box checked, maximun fixed box NOT checked)
5. add another mt4 stdDev (period 15, apply to previous indicator data, simple method, fixed minumun box NOT checked, fixed maximun box checked)
both stdDev in order to create the green channel
6. add mt4 SMA (period 100, shift 0, MA method simple, apply to previous indicator's data, lime dotted line style.

I do not know if this is all right, but I feel that something is wrong.
Could you please help me, I don´t want to miss any think of this great thread.
Thank you in advance
Attached Image (click to enlarge)
Click to Enlarge Name: my chart.gif Size: 19 KB
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