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Hedge and Correlation Strategy

  • #2,881
  • Mar 3, 2011 11:26am Mar 3, 2011 11:26am
Quoting wallstreet03
problem also with 90 on the news as today !
Swith off the EA especially around 8.30 EST.

Also re entry will be needed when DD goes beyond 20 pips for the basket so that you can average it out.
Intraday only.
  • #2,882
  • Mar 3, 2011 11:31am Mar 3, 2011 11:31am
Quoting navk
Your entry criteria should be 90 and not 80 for most of basket pairs.

For less volatile pairs entry at 80 may be ok. If you enter at 80, you will see DD
I agree but this would not have mattered today with EUR pairs. If you took the EURCHF-GBPAUD for example at 12:22 GMT when the Stoch Diff was about 98%, then the news came in and EC jumped 140 pips, the GA followed after a while but only 67 pips or so. For me this was worse becuase I had already entered at 90% and this was a second entry so me the situation was much worse.

Bottom line whatever we do there will some time when something unexpected happens. We just cannot protect ourselves 100%. One thing to do is perhaps sit out the news then start after any big impact is stable.
  • #2,883
  • Mar 3, 2011 11:40am Mar 3, 2011 11:40am
Quoting Zr-fx
I agree but this would not have mattered today with EUR pairs. If you took the EURCHF-GBPAUD for example at 12:22 GMT when the Stoch Diff was about 98%, then the news came in and EC jumped 140 pips, the GA followed after a while but only 67 pips or so. For me this was worse becuase I had already entered at 90% and this was a second entry so me the situation was much worse.

Bottom line whatever we do there will some time when something unexpected happens. We just cannot protect ourselves 100%. One thing to do is perhaps sit out the news then...
Any europeon news do not impact much. US news will. So better to switch off the EA for 1 hr after news. The big impact news always at 8.30 EST. So switching on the EA after stock market opens ( after 9.30 EST )will help.

Also consider rentry when the basket DD goes up beyond 20 pips

I am considering running the EA during europeon sesion and manual trading with this strategy during US session.

Whatever big DD i have seen all these days is only and only in US session. Lessons will have to be learnt.
Intraday only.
  • #2,884
  • Mar 3, 2011 1:13pm Mar 3, 2011 1:13pm
Hi,

First of all I've been going through this thread like a maniac over the past 24h and wanna thank everyone for their hard work, it's really interesting!

I would like to know if the EA could be modified slightly to let it only work during some specified hours.

As mentionned in the last post, the European and Asian session are not mainly the ones to worry about news wise.

I would like to be able to configure the EA so that it only trades from the opening of the Asian session till about 1h before the US opens. Then I will probs trade this manually throughout the US session as news can be a big no no...

Thanks a lot
  • #2,885
  • Mar 3, 2011 2:06pm Mar 3, 2011 2:06pm
Hi folks,

Can anyone explain those numbers inside the circle?

Thanks!
Attached Image (click to enlarge)
Click to Enlarge Name: STOCH.jpg Size: 108 KB
  • #2,886
  • Mar 3, 2011 2:26pm Mar 3, 2011 2:26pm
Hi All,

As a suggestion for alternative entrance - how about looking for the difference between average basket price and the current basket price instead of using Stoch only. The point is that if the current basket price deviates away from the average farther than the commission fees + some profit then it’s the good time to enter. Obviously, on the way back home the basket will compensate commission fees and bring the profit. If it swings then to the other side then it will bring even more profit.

It seems this should resolve the issue with entrance by Stoch when you do not know if the pairs far enough to close with a profit. And definitely, this approach can be used solely or with any combination of Stoch or Stddev.

Besides, the basket price distance from home can advise when it is a good time to add more lots.

What do you think?

rulla
  • #2,887
  • Mar 3, 2011 2:45pm Mar 3, 2011 2:45pm
Hey guys,

Looking back at the posts a while ago (page 100 onwards) you seemed to be able to get a reasonable amount of trades per day.

So far I have put the EA on a 5M TF and when I look at the difference history of a lot of correlated pairs (I have 8 pairs on display), it seems that the 80 sotchastic level threshold is only reached like once every two days, sometimes a bit more, sometimes a bit less.

On what TF do you think ranrock's EA is best in your experience?

Thx
  • #2,888
  • Mar 3, 2011 3:08pm Mar 3, 2011 3:08pm
Quoting fchaman
Hi folks,

Can anyone explain those numbers inside the circle?

Thanks!
I don't have those displayed on my Stochastics 1.7 window. Can't help on that one. Anyone else with that on their chart?
  • #2,889
  • Mar 3, 2011 3:53pm Mar 3, 2011 3:53pm
news items wont be your only problem.

what if an earthquake happens like we saw last week on new zeadland dollar. this is not econemical news. but it broke this correlation strategy based on stoch. i went into 400 dollars drawdown because of it.

coders idea. , what you guys think of this?

instead of trying to counter trade. wh not trade with the trend?

take for example GBPJPY and GBPUSD today on 5M chart. GBPUSd goes down. GBPJPY goes up.

so why not have a buy on GBPJPY and a sell on GBPUSD when they go out of correlation. i believe this is much more profitable then trying to guess when to counter trade with stoch.

then when the correlation wont go any further. you can see this at your trades. the balance stays the same. then close the trade and start the orginal idea to counter trend.

this way you take both rides. and you make double profit.

1. this eliminates the stoch problem.
2. you make doube the profit. sounds nice by me.
  • #2,890
  • Edited 5:15pm Mar 3, 2011 5:12pm | Edited 5:15pm
This is a perf report of a demo account (with sql EA: Stoch Diff Pair EAsq 2011.03.01, with lots=.5), since openning today during Asia open:
Attached Image (click to enlarge)
Click to Enlarge Name: statement.jpg Size: 150 KB
  • #2,891
  • Mar 3, 2011 5:55pm Mar 3, 2011 5:55pm
Quoting navk
Any europeon news do not impact much. US news will. So better to switch off the EA for 1 hr after news. The big impact news always
EurUsd jumped 140 pips in a few minutes today when the ECB president talked about possible interest rate rises in the near future. It may not have the same impact as a surprise NFP number but it certainly has an impact.
  • #2,892
  • Mar 3, 2011 6:29pm Mar 3, 2011 6:29pm
Quoting fchaman
This is a perf report of a demo account (with sql EA: Stoch Diff Pair EAsq 2011.03.01, with lots=.5), since openning today during Asia open:
in asia open 11 trades ?

which pairs? and when you entry ? 90?
  • #2,893
  • Edited 7:23pm Mar 3, 2011 7:09pm | Edited 7:23pm
Quoting Zr-fx
EurUsd jumped 140 pips in a few minutes today when the ECB president talked about possible interest rate rises in the near future. It may not have the same impact as a surprise NFP number but it certainly has an impact.
This coincided with 8.30 EST news.

But generally no negative surprises to me when i get up and see the a/c in my morning after most part of europeon session is over. Mostly a/c will be up. But whatever big DD i have seen in my a/c is trading gbpcad, gbpchf during US session. So i stopped EA trading during US session.

So i decided two weeks back to start manual trading only in US session in a seperate a/c. Same entry criteria. I started on 14 th feb with 5000 $ a/c. with 0.4 lots. Exit 15 pips profit or 60 pips s/l. Now the a/c is up by 50 % !!

EA trading goes very well in asian and europeon session. Here too after i started to add trades after 20 pips, DD, the results improved a lot.
Intraday only.
  • #2,894
  • Edited 1:58am Mar 4, 2011 1:54am | Edited 1:58am
Quoting Zr-fx
EurUsd jumped 140 pips in a few minutes today when the ECB president talked about possible interest rate rises in the near future. It may not have the same impact as a surprise NFP number but it certainly has an impact.

Hi Zr-Fx,

This week and past months i've noticed all trades that are triggered based on 90/20 setting goes up negative of 20-30pips before returning to either breakeven or big drawdown or painstaking waiting to gain profit.

I spoke about this the last time but got rejected. I want to know if someone could construct the SQ EA's to trigger opposite transaction instead of what's its doing rite now.

You may notice even the winning ones stalls for hours before coming to profit and that stalling for hours will be always in negative of 20-40pips range. I might guess that one of the pair is going through a breakout based on the stoch while other pair not affected and suppose to slowly follow.

Please let me know your thought. We may use the same script of SQ's ea just that it does the reverse trades.

adious....
  • #2,895
  • Mar 4, 2011 2:58am Mar 4, 2011 2:58am
hi sq,
want to ask if you can add this two features in your ea.
1. logs of alarms when baskets goes above 80
2. add more trades in same baskets if baskets goes above some particular DD lets say if its DD goes above 20 it will automatically add more trade with same or diff lot size.

thank you
  • #2,896
  • Edited 5:04am Mar 4, 2011 4:30am | Edited 5:04am
Quoting fortheex
Hi Zr-Fx,

This week and past months i've noticed all trades that are triggered based on 90/20 setting goes up negative of 20-30pips before returning to either breakeven or big drawdown or painstaking waiting to gain profit.

I spoke about this the last time but got rejected. I want to know if someone could construct the SQ EA's to trigger opposite transaction instead of what's its doing rite now.

You may notice even the winning ones stalls for hours before coming to profit and that stalling for hours will be always in negative of 20-40pips...
Please dont shoot me down. This is really the first time that i have tried to look at the logic of an EA and make changes to it.

What I have produced is very probably all wrong. But I would like if possible for someone, Squalou or anyone, to look over the changes that I have produced to see if these changes would actually place reverse trades.



My tentative changes appear below


ORIGINAL part of Sq EA:-


//+------------------------------------------------------------------+
int start()
//+------------------------------------------------------------------+
{
static string last_comment = "";
double stoch1 = iStochastic(Pair1, 0, K, D, S, 0, 0, 0, 0);
double stoch2 = iStochastic(Pair2, 0, K, D, S, 0, 0, 0, 0);

if (CheckTradeExist(Pair1,Pair2) || CheckTradeExist(Pair2,Pair1)) {

// both trades exist: check for closing both
if ( ( CloseTradesStoch>0 && MathAbs(stoch1 - stoch2) < CloseTradesStoch ) // Stoch Diff for closing reached
|| ( ProfitTarget>0 && current_UPL>=ProfitTarget )) // combined Profit target reached
{
// close existing trades
last_comment = TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS)+ "Closing Trades Now"+"n";
CloseTrades();
orderclosetime = "Last Orders Closed at "+TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS);
}

} else {

// no trade exist: check for open
if (MathAbs(stoch1 - stoch2) > OpenTradeStoch)
{
// ready to open trade.
// check if same trade exists
string buySym = "",sellSym = "";
if (stoch1 < stoch2) {
buySym = Pair1;
sellSym = Pair2;
} else {
buySym = Pair2;
sellSym = Pair1;
}

Print("Ready to place orders. Stoch1 " + DoubleToStr(stoch1, 2) + " stoch2" + DoubleToStr(stoch2, 2) + " Difference " + DoubleToStr(MathAbs(stoch1 - stoch2), 2));
// now place new trade
last_comment = TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS)+"Placing Buy("+Pair1+") + Sell("+Pair2+")"+"n";
placeOrders(buySym,sellSym);
}
}




CHANGE TO (marked in RED):-

//+------------------------------------------------------------------+
int start()
//+------------------------------------------------------------------+
{
static string last_comment = "";
double stoch1 = iStochastic(Pair1, 0, K, D, S, 0, 0, 0, 0);
double stoch2 = iStochastic(Pair2, 0, K, D, S, 0, 0, 0, 0);

if (CheckTradeExist(Pair1,Pair2) || CheckTradeExist(Pair2,Pair1)) {

// both trades exist: check for closing both
if ( ( CloseTradesStoch>0 && MathAbs(stoch1 - stoch2) < CloseTradesStoch ) // Stoch Diff for closing reached
|| ( ProfitTarget>0 && current_UPL>=ProfitTarget )) // combined Profit target reached
{
// close existing trades
last_comment = TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS)+ "Closing Trades Now"+"n";
CloseTrades();
orderclosetime = "Last Orders Closed at "+TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS);
}

} else {

// no trade exist: check for open
if (MathAbs(stoch1 - stoch2) > OpenTradeStoch)
{
// ready to open trade.
// check if same trade exists
string buySym = "",sellSym = "";
if (stoch1 < stoch2) {
sellSym = Pair1;
buySym = Pair2;
} else {
sellSym = Pair2;
buySym = Pair1;
}

Print("Ready to place orders. Stoch1 " + DoubleToStr(stoch1, 2) + " stoch2" + DoubleToStr(stoch2, 2) + " Difference " + DoubleToStr(MathAbs(stoch1 - stoch2), 2));
// now place new trade
last_comment = TimeToStr(TimeCurrent(),TIME_DATE|TIME_SECONDS)+"Placing Sell("+Pair1+") + Buy("+Pair2+")"+"n";
placeOrders(sellSym,buySym);
}
}



Once again, please dont shoot, I'm not the piano player!
  • #2,897
  • Edited 6:20am Mar 4, 2011 4:31am | Edited 6:20am
Thanks SQ for for extra contribution for this community.

About DAW results, I think that you have a conceptual mistake, which it migth be built in the EA.

The first couple you showed: EURUSD+EURAUD. Theses pairs are positive coralated, so why it does BUY+BUY (B-B). It should be B-S or S-B. It
doesn't metter if you got a profit from this basket.

You should check it.

Quoting dawjones
i would share like to my results with the new updated EA, its was really great, thank you squalou for the Update and this great thread. my setting
open at 80 close at 5 .



http://www.forexfactory.com/attachme...1&d=1299143666
  • #2,898
  • Mar 4, 2011 5:59am Mar 4, 2011 5:59am
I have been testing the EA for nearly 2 weeks with decent results (and no orphan trades). I am using the version named "Stoch diff 2 pair EAsq 2011.02.16".

I am using 85/10 with a TP of 10.

The EA took 21 trades, 16 winners (ave 10 pips) and 5 losers (ave 4 pips) so a good R:R and win rate.

Did not have EA on all the time due to one reason or another and managed to avoid news.

All trades managed to close within an hour of them being opened.

Tempted to go live.

Big thanks to all who contributed to this thread and the development of this system.
  • #2,899
  • Mar 4, 2011 7:17am Mar 4, 2011 7:17am
dear crossy,

please ignore the first EURUSD-EURAUD trade its was and orphan trade.
see the time stamp.

waaw another +20 pips on GBPUSD-EURUSD 5M stoch 1 hour before newyork opening today.



many many thanks for this thread, specially for dreamliner, squalio and to all to alllll

http://www.forexfactory.com/images/icons/icon14.gif


Quoting crossy
Thanks SQ for for extra contribution for this community.

About DAW results, I think that you have a conceptual mistake, which it migth be built in the EA.

The first couple you showed: EURUSD+EURAUD. Theses pairs are positive coralated, so why it does BUY+BUY (B-B). It should be B-S or S-B. It
doesn't metter if you got a profit from this basket.

You should check it.
  • #2,900
  • Mar 4, 2011 7:18am Mar 4, 2011 7:18am
Quoting Xfd
I have been testing the EA for nearly 2 weeks with decent results (and no orphan trades). I am using the version named "Stoch diff 2 pair EAsq 2011.02.16".

I am using 85/10 with a TP of 10.

The EA took 21 trades, 16 winners (ave 10 pips) and 5 losers (ave 4 pips) so a good R:R and win rate.

Did not have EA on all the time due to one reason or another and managed to avoid news.

All trades managed to close within an hour of them being opened.

Tempted to go live.



Big thanks to all who contributed to this thread and the development of this...
Hi,
Do you also use the Tradeable Corrections indicator as well as "Stoch diff 2 pair EAsq 2011.02.16"?
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