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Hedge and Correlation Strategy

  • #2,901
  • Mar 4, 2011 2:25pm Mar 4, 2011 2:25pm
Here my "algoritm" to understand better while I organize the indis/EA :
1.- Using Tradeable Corr 1.8 :
a) Select > 75% correl in 50 periods H4 ( 240 )
b) Select < of 10 pips spread
c) Select 80% as entry

2.- Open with StochEA 3-4 pairs when such almost 80% dif for automatics sell/buy

3.- Using ( I am not know how/which ) Trailing Profit Stop EA, this mean, no wait until 5% or 20%, simply trail 3,4,5,6,7,8,9---100 pips in steps of 2 pips until EA close such pair
( BTW some trailing profit/stop for use? )

Thanks
  • #2,902
  • Mar 4, 2011 4:57pm Mar 4, 2011 4:57pm
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...
Hi. I am really not sure what you mean by opposite trades. Look, this strategy has worked brilliantly for me for over a month now. Almost every time it goes into profit. Like others have said sometimes you have to take another set of trades as a recovery mechanism. To give an idea I started live trading this Monday. I was up 8% by Wednesday. However I got greedy and kept trading and then was hit by the news, so it is really my fault.

If you are looking for something to set and forget then it will not happen. It needs management and manual intervention. As Navk said you need to monitor and go in again. I have done it when it goes to 90 and again at 95. Perhaps a pip DD like Navk is good too.

Most of my profits are realised in short duration trades of less than an hour. I'm even thinking that if it does not go anywhere in an hour then to kill the trade. But I've not tested this yet.
  • #2,903
  • Mar 4, 2011 6:53pm Mar 4, 2011 6:53pm
void GlobalOrderClosure()
{
bool CloseOrders=false;
double ProfitPercentage=0;
// First calculate whether the upl is >= the point at which the position is to close
// Profit in dollars enabled
if (ProfitInDollars)
{
if(AccountProfit()>=DollarProfit) CloseOrders=true;
}

// Profit as percentage of account balance enabled
if (ProfitAsPercentageOfBalance)
{
ProfitPercentage=AccountBalance() * (PercentageProfit/100);
if (AccountProfit()>= ProfitPercentage) CloseOrders=true;
}
// Abort routine if profit has not hit the required level
if (!CloseOrders) return(0);

// Got this far, so orders are to be closed.
// Code lifted from CloseAll-PL, so thanks to whoever wrote the ea. Ok, so I could
// have written my own, buy why re-invent the wheel?

int _total=OrdersTotal(); // number of lots or trades ????
int _ordertype;// order type
if (_total==0) {return;} // if total==0
int _ticket; // ticket number
double _priceClose;// price to close orders;
for(int _i=_total-1;_i>=0;_i--)
{ //# for loop
if (OrderSelect(_i,SELECT_BY_POS))
{ //# if
_ordertype=OrderType();
_ticket=OrderTicket();
switch(_ordertype)
{ //# switch
case OP_BUYLIMIT:
if(IncludePendingOrdersInClosure) OrderDelete(OrderTicket());
case OP_BUYSTOP:
if(IncludePendingOrdersInClosure) OrderDelete(OrderTicket());
case OP_BUY:
// close buy
_priceClose=MarketInfo(OrderSymbol(),MODE_BID);
Print("Close on ",_i," position order with ticket ?,_ticket);
OrderClose(_ticket,OrderLots(),_priceClose,10,Red);
break;
case OP_SELLLIMIT:
if(IncludePendingOrdersInClosure) OrderDelete(OrderTicket());
case OP_SELLSTOP:
if(IncludePendingOrdersInClosure) OrderDelete(OrderTicket());
case OP_SELL:
// close sell
_priceClose=MarketInfo(OrderSymbol(),MODE_ASK);
Print("Close on ",_i," position order with ticket ?,_ticket);
OrderClose(_ticket,OrderLots(),_priceClose,10,Red);
break;
default:
// values from 1 to 5, deleting pending orders
// if (PrintToJournal) Print("Delete on ",_i," position order with ticket ?,_ticket);
// OrderDelete(_ticket);
break;
} //# switch
} // # if
} // # for loop
// User feedback
if (ShowAlerts) Alert("Global profit hit your target, so all open trades should have been closed");

} //End of GlobalOrderClosure()
  • #2,904
  • Mar 4, 2011 6:59pm Mar 4, 2011 6:59pm
But magic number option is not..
anybody change code for our.

Quoting angel1004
void GlobalOrderClosure()
{
bool CloseOrders=false;
double ProfitPercentage=0;
// First calculate whether the upl is >= the point at which the position is to close
// Profit in dollars enabled
if (ProfitInDollars)
{
if(AccountProfit()>=DollarProfit) CloseOrders=true;
}

// Profit as percentage of account balance enabled
if (ProfitAsPercentageOfBalance)
{
ProfitPercentage=AccountBalance() * (PercentageProfit/100);
if (AccountProfit()>= ProfitPercentage) CloseOrders=true;
}
// Abort routine if profit has not hit the required level
if (!CloseOrders)...
Attached File(s)
File Type: mq4 TrailingStopEA.mq4   9 KB | 596 downloads
  • #2,905
  • Mar 4, 2011 7:23pm Mar 4, 2011 7:23pm
Quoting navk
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.
Hi navk,

Not sure I follow you regarding re-rentry to average out. Attached is the trade the EA(stoch diff 2pair EAsq 2011.03.01) made early during london session...it was sell eurjpy/buy gbpusd...DD went beyond 20pips, so I first placed another sell order on eurjpy, then later a buy order on gbpusd..then during NY session, I manually closed all 4 trades due to a large DD.

Any comment is appreciated.
Attached Image (click to enlarge)
Click to Enlarge Name: ea.jpg Size: 61 KB
  • #2,906
  • Mar 4, 2011 8:13pm Mar 4, 2011 8:13pm
its a simple system and lets not make it too complex by reversing the trades.

my rules are very very simle

1. i trade only M5

2. I trade only tripplets

3. I trade only few selected pairs that have less spread and are less choppy. I removed GBPCHF, GBPCAD. I am thinking of removing CHF/JPY Pairs. May be i will have more strict entry criteria

4. At start of week, i select the pairs based on the indi and open those charts (around 12 last week).

5. Load EA on each chart

6. I dont follow same entry criteria on all charts. but you can try your own comfort zone settings.

7. Entry at sto diff >90. for USDCHF/USDJPY its 95.

8. Add another lot at DD 15 pips (including spread). but sto diff must be above 70 for add

9. Exit ALL at same time. either sto diff 20 or original pips profit 15 which would translate to 30 pips for 2nd lot

10. I added UseTradingHours logic which would stop EA during my lunch /dinner break. Also during late US Session

11. I take my account size and take each basket risk as 5% (another 5% for add) and derive the lotsize and max baskets. i added MaxOpenOrdersAllowed and EA wont place orders beyond this. otherwise you will end up with bad MM and one leg some times. my comfort zone is max 3 baskets at a time with scope to add

this plan is working out well. as already said by others, its not a EA to set and forget (i dont think there is one). you need to keep watching now and then. you can set alerts when signal is given.

closing orders is an issue sometimes, i dont know whats causing this, the code looks good, but i added logic to keep trying until all orders are closed.

i dont trade anything else in this account.

one thing missing in my plan is about the news. i cant integrate news with the EA. Its a manual step. Navk mentioned Fridays are bad for this strategy, Mondays are ok , you get less signals. If you really want to tighten the EA, everyday you wake up and check the news calendar and use trading hours settings to avoid placing new orders. this has to be at each chart level

thanks SQ, DL and others for making this a great strategy
  • #2,907
  • Mar 4, 2011 8:29pm Mar 4, 2011 8:29pm
Hi ..
Which EA are you using for control the close of profit ?
Thanks
  • #2,908
  • Mar 4, 2011 8:33pm Mar 4, 2011 8:33pm
Quoting wallstreet03
in asia open 11 trades ?

which pairs? and when you entry ? 90?

Well, the EA made 11 trades since Asia open...I opened one manually.

I trade: eurusd/gbpusd, gbpusd/gbpjpy, euraus/eurcad, euruad/eurjpy, euraud/eurusd, eurchf/eurjpy, eurcad/eurusd, eurjpy/eurusd, eurjpy/gbpusd

Open at 80
close at 20
Profit target=15pips

Today was a disaster due to NFP, so I should have listened to navk, and turn-off the EA during NY session...

Also removing the pair: eurjpy/gbpusd, as this is a quad pair, and am only interested in triplets.

Also will change the setting:

Open at 90
close at 5
Profit target=20pips


Let's see what next week will bring...
  • #2,909
  • Mar 5, 2011 3:44am Mar 5, 2011 3:44am
Quoting castlebrook
Hi,
Do you also use the Tradeable Corrections indicator as well as "Stoch diff 2 pair EAsq 2011.02.16"?

No I only use "stochastic different pairs 1.5b" indicator to ensure the pairs I have chosen are still highly correlated and I check Mataf manually at start of week to add any. I have avoided GBPJPY but GBPCAD has been very good for me.

All trades on 5m timeframe.
  • #2,910
  • Mar 5, 2011 5:41am Mar 5, 2011 5:41am
can you add the filter time to ea ?

thank you
  • #2,911
  • Mar 5, 2011 8:36am Mar 5, 2011 8:36am
Quoting fchaman
Hi folks,

Can anyone explain those numbers inside the circle?

Thanks!
It looks like stoch level to me. If you add 2 values together, you'll see the # came out to match I think number is there to spot it quickly rather than looking at the lines to figure out.
  • #2,912
  • Edited 11:36am Mar 5, 2011 11:36am | Edited 11:36am
Quoting roundrock

4. At start of week, i select the pairs based on the indi and open those charts (around 12 last week).
Thanks for the input.
What do you mean by point 4?
  • #2,913
  • Mar 5, 2011 12:16pm Mar 5, 2011 12:16pm
Quoting rulla
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.
you inspired me to filter through a Keltner channel since it works with a StDv, appears to improve the our entrances, and let avoid the stoch diff 2 pairs "over over bougth and sold" failures.

What do you think?
Attached Image (click to enlarge)
Click to Enlarge Name: keltner ch filter.gif Size: 26 KB
Humble & Kalcker CLO2 = Covid killer
  • #2,914
  • Mar 5, 2011 4:56pm Mar 5, 2011 4:56pm
Dear Angel,

Can you please explain what doed this function do?

Thanks,


Quoting angel1004
void GlobalOrderClosure()
{
bool CloseOrders=false;
double ProfitPercentage=0;
// First calculate whether the upl is >= the point at which the position is to close
// Profit in dollars enabled
if (ProfitInDollars)
{
if(AccountProfit()>=DollarProfit) CloseOrders=true;
}

// Profit as percentage of account balance enabled
if (ProfitAsPercentageOfBalance)
{
ProfitPercentage=AccountBalance() * (PercentageProfit/100);
if (AccountProfit()>= ProfitPercentage) CloseOrders=true;
}
// Abort routine if profit has not hit the required level
if (!CloseOrders)...
  • #2,915
  • Mar 5, 2011 4:59pm Mar 5, 2011 4:59pm
Alberto,
I think that check Corralation based on H4 (n=50, means more then 8 days) is quit dangerous...

Quoting AlbertoFX
Here my "algoritm" to understand better while I organize the indis/EA :
1.- Using Tradeable Corr 1.8 :
a) Select > 75% correl in 50 periods H4 ( 240 )
b) Select < of 10 pips spread
c) Select 80% as entry

2.- Open with StochEA 3-4 pairs when such almost 80% dif for automatics sell/buy

3.- Using ( I am not know how/which ) Trailing Profit Stop EA, this mean, no wait until 5% or 20%, simply trail 3,4,5,6,7,8,9---100 pips in steps of 2 pips until EA close such pair
( BTW some trailing profit/stop for use? )

Thanks
  • #2,916
  • Mar 5, 2011 5:03pm Mar 5, 2011 5:03pm
Hi ROUNDROCK,

I think that if you opened a basket at Stoch diff = 80, and DD became 15 pips, then Stoch diff should be > 80, not less.

Quoting roundrock
its a simple system and lets not make it too complex by reversing the trades.

my rules are very very simle

8. Add another lot at DD 15 pips (including spread). but sto diff must be above 70 for add

thanks SQ, DL and others for making this a great strategy
  • #2,917
  • Mar 5, 2011 8:48pm Mar 5, 2011 8:48pm
to SQ

How about this code?
int cb=0; // Count buy
int cs=0; // Count sell
int cbl=0; // Count buy limit
int csl=0; // Count sell limit
int cbs=0; // Count buy limit
int css=0; // Count sell limit
double tbl=0; //Count lot size
double tsl=0; //Count lot size
double tl=0; //total lots out
double to=0; //total buy and sell order out
double buysl=0; //stop losses are set to zero if POSL off
double sellsl=0; //stop losses are set to zero if POSL off
double POSL=0; //Initialize POSL
double ProfitPot=0;
double CurrentTP=0;
double m,lot2;
double lp; // last buy price
double ll; //last lot
double ltp; //last tp
double lopt; // last open time
double g2;
double tp2;
double entry;
int lticket;
double ma;
double stddev;
double bup, bux;
double bdn, bdx;
int zoneBUY = BuySellStochZone;
int zoneSELL = 100 - BuySellStochZone;
double pr=0; // profit;



//+------------------------------------------------------------------+
//| Calculate Total Profits and Total Orders |
//+------------------------------------------------------------------+
for (y = 0; y < OrdersTotal(); y++)
{
OrderSelect (y, SELECT_BY_POS, MODE_TRADES);
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_BUY)) {
cb++;
pr=pr+OrderProfit();
tbl=tbl+OrderLots();
ProfitPot=ProfitPot + OrderSwap() + OrderCommission() + OrderLots()*pipvalue*(((OrderTakeProfit() - OrderOpenPrice())/Point)-spread);
CurrentTP=OrderTakeProfit();
}
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_SELL)) {
cs++;
pr=pr+OrderProfit();
tsl=tsl+OrderLots();
ProfitPot=ProfitPot + OrderSwap() + OrderCommission() + OrderLots()*pipvalue*(((OrderOpenPrice() - OrderTakeProfit())/Point)-spread);
CurrentTP=OrderTakeProfit();
}
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_BUYLIMIT)) cbl++;
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_SELLLIMIT)) csl++;
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_BUYSTOP)) cbs++;
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_SELLSTOP)) css++;
tl=tbl+tsl;
to=cb+cs;}
ProfitPot = NormalizeDouble(ProfitPot,2);
pr = NormalizeDouble(pr,2);
//+------------------------------------------------------------------+
//| Maximize Profit with Moving TP and setting Trailing Profit Stop |
//+------------------------------------------------------------------+
if(MaximizeProfit) {
if(ProfitSL > 0 && pr <= ProfitSL)
ExitAllTrades(Green,"Profit Trailing Stop Reached");
if(to == 0){
counter = 0;
moves = 0;
ProfitSL = 0;}
if((pr && ProfitPot) > 0){
if(pr/ProfitPot >= ProfitSet/100) ProfitSL = pr - (pr * (1-(ProfitSet/100)));}
if(ProfitSL > 0 && ProfitSL > counter && MoveTP > 0 && TotalMoves > moves) {
for (y = 0; y < OrdersTotal(); y++) {
OrderSelect (y, SELECT_BY_POS, MODE_TRADES);
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_BUY)) {
OrderModify(OrderTicket(),OrderOpenPrice(),OrderStopLoss(),(CurrentTP+(MoveTP*Point)),0,Blue); }
if ((OrderMagicNumber()==magic) && (OrderSymbol()==Symbol()) && (OrderType()==OP_SELL)) {
OrderModify(OrderTicket(),OrderOpenPrice(),OrderStopLoss(),(CurrentTP-(MoveTP*Point)),0,Red); }
}
moves++;
counter = ProfitSL;}
}
  • #2,918
  • Edited 10:17pm Mar 5, 2011 9:01pm | Edited 10:17pm
To sq
First thanks to your contribution.

Account all position lot control is possible?

1)Pls add spread limit.
2)limit Lot.(account total lot manager)
3)add lot multiple ..if two pair total loss pip (200pip ,300pip, 400pip) 0.1 0.1 0.1 lot increment..

Multi EA1,EA2,EA3 working...
Limit lot manager??
double dCharts;
init() {
if(!GlobalVariableCheck("Charts")) GlobalVariableSet("Charts", 1);
else {
dCharts=GlobalVariableGet("Charts");
GlobalVariableSet("Charts",dCharts+1);
}
return(0);
}
deinit() {
dCharts=GlobalVariableGet("Charts");
GlobalVariableSet("Charts",dCharts-1);
}
start() {
dCharts=GlobalVariableGet("Charts");
Risk_Level=30/dCharts; // let's say total risk level is 30% of balance
Lots=(AccountBalance()*(Risk_Level/100)/(CurrencyLotSize/100))/(Margin_Per_Lot/1000);
  • #2,919
  • Mar 5, 2011 9:39pm Mar 5, 2011 9:39pm
Quoting roundrock
its a simple system and lets not make it too complex by reversing the trades.

my rules are very very simle

1. i trade only M5

2. I trade only tripplets
RR have you modified the code to open the second trade on DD??
  • #2,920
  • Mar 6, 2011 1:59am Mar 6, 2011 1:59am
Quoting crossy
Hi ROUNDROCK,

I think that if you opened a basket at Stoch diff = 80, and DD became 15 pips, then Stoch diff should be > 80, not less.
not necessarily. the sto diff could go down while DD could go up. there is no such linear relation between price and sto diff
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