Hedge and Correlation Strategy | Page 152 | 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

  • #3,021
  • Mar 21, 2011 9:57am Mar 21, 2011 9:57am
Quoting AlbertoFX
Guys, for your consideration ( I am trading this way 1 week with absolute no loss ) ( I had to buy a custom indicator but I am sure here are good coders that can reproduce it ):
If we begin with correlations in 1140 why not watch un-correlations in 5 min ?
1.- Watch correlation > 80 in Daily in 200 days
2.- Watch correlation < 80 en TF 5M in 200 periods:
* If correlation < 80 enter 1 lot, 1 sell, 1 buy according FXCM TradeStation visual mode.
* If correl < 85 ( grap grow up ) enter a second lot
* if correl < 90 ( grap continue up ) enter a thrid...
hi AlbertoFX,

thanks for your observation. there are some typos in your post. can u add + - suymbols for the corelation condition. like corelation should be < -80 on 5min for entry. you forgot the minus symbol

can you explain the logic behind this system ? on higher tf, the corelation still exists. on 5 min the pairs went out of corelation and are negatively corelated. you are expecting them to come back to original corelation as per higher TF. What happens if they dont come back ? any stoploss ? we have seen the pairs could go out of corelation slowly even on higher TF.

i think stoploss exit must be there as protection. also how did you derive which one to buy and which one to sell ? do u use stoch difference ?
  • #3,022
  • Mar 21, 2011 10:49am Mar 21, 2011 10:49am
Hi Round!, I write below:

Quoting roundrock
hi AlbertoFX,

thanks for your observation. there are some typos in your post. can u add + - suymbols for the corelation condition. like corelation should be < -80 on 5min for entry. you forgot the minus symbol

- Yes, when I referred to < -80 this mean pairs are un-correlated and Indicator show us -80 in red color.
This mean, normal correlation is positive > 80 ( green color ) in D1 200 periods.

can you explain the logic behind this system ? on higher tf, the corelation still exists. on 5 min the pairs went out of corelation and are negatively...
  • #3,023
  • Mar 21, 2011 12:05pm Mar 21, 2011 12:05pm
here is a quick EA i wrote (using SQ EA) for this system. i didnt understand which pair to buy , which pair to sell. right now buy the pair with lower sto and sell other

exit is when the corelation comes back to positive zone and a defined number. or fixed take profit

read all the EA properties you will understand what it does.

i havent tested this yet..... pl test and report bugs
Attached File(s)
File Type: mq4 Corelation Allignment EA.mq4   38 KB | 1,161 downloads
  • #3,024
  • Mar 21, 2011 12:43pm Mar 21, 2011 12:43pm
Hello.
I have a request.

I would need a simple EA.

Trades will open manually

shut down all trades where total profit $ 100.
shut down all trades where total loss of $ 200.
I need the value in dollars, not pips.
Of loss and gain can be changed.
I begged the script where we can enter 2 trades.
One buy and one sell.

Thank you very much, this is a great trading system
  • #3,025
  • Mar 21, 2011 1:05pm Mar 21, 2011 1:05pm
Quoting roundrock

i think stoploss exit must be there as protection. ...
Hi roundrock and all Correlated friends,

I'd like to focus on this point: stop loss or risk management.
I must admit that I ALWAYS use stop loss for any OTHER trding strategy (directional).

In THIS case, my difficulty is conceptual. Stop loss itself.
1) Why should we set it, if this strategy is considered "hedged"? I mean: this style of trading is based on the fact that while we lose from one side, we profit on the other (we should ). Isn't it so? In case the gap widens, we might a) wait for it closes and results in a profit - b) add further positions

2) If we MUST use stop loss, HOW can we calculate it? I would like to get it from a math/stat point or view,and not a subjective point of view.

Thanks to all

P.S.: dreamliner, how do you manage this?
  • #3,026
  • Mar 22, 2011 5:52am Mar 22, 2011 5:52am
Hey,

I'm really enjoying all those concepts on here, especially spinfoils contributions and of course the coders ones!
I'm playing arround with Squalous std. dev indi with some pretty nice results.

There is one thing I'm not sure about though.
Can someone explain to me how to calculate the correct lot ratio of two currency pairs, so they move in equal speed to each other?
I Hope you understand what I mean.

@AlbertoFX

How did your trades turn out, seems to be an interesting approach to me.
  • #3,027
  • Mar 22, 2011 6:40am Mar 22, 2011 6:40am
Quoting chrisx
Hey,

I'm really enjoying all those concepts on here, especially spinfoils contributions and of course the coders ones!
I'm playing arround with Squalous std. dev indi with some pretty nice results.

There is one thing I'm not sure about though.
Can someone explain to me how to calculate the correct lot ratio of two currency pairs, so they move in equal speed to each other?
I Hope you understand what I mean.
Proper lot ratio eliminate influence of middle currency - so EURUSD-GBPUSD - 1 EUR and 0.86GBP (so EURGBP ratio) - to buy and sell the same amount of dollars on both sides of the trade.
  • #3,028
  • Mar 22, 2011 7:49am Mar 22, 2011 7:49am
Sorry, I did not understant the question about how turn out the trades.. Can do you re-ask me with another words?

Thanks


Quoting chrisx
Hey,

I'm really enjoying all those concepts on here, especially spinfoils contributions and of course the coders ones!
I'm playing arround with Squalous std. dev indi with some pretty nice results.

There is one thing I'm not sure about though.
Can someone explain to me how to calculate the correct lot ratio of two currency pairs, so they move in equal speed to each other?
I Hope you understand what I mean.

@AlbertoFX

How did your trades turn out, seems to be an interesting approach to me.
  • #3,029
  • Mar 22, 2011 9:23am Mar 22, 2011 9:23am
Correlation to the minute chart, not a good deal.
Many times it is diferrent 80, who returns to 20, but the price is in place.
So the result is against you.
Different returns home at 20, and the account is in deficit.
Correlation is always automatically adjusted to the detriment of account.
  • #3,030
  • Mar 22, 2011 10:20am Mar 22, 2011 10:20am
Quoting kgblock
Hello.
I have a request.

I would need a simple EA.

Trades will open manually

shut down all trades where total profit $ 100.
shut down all trades where total loss of $ 200.
I need the value in dollars, not pips.
Of loss and gain can be changed.
I begged the script where we can enter 2 trades.
One buy and one sell.

Thank you very much, this is a great trading system
There are several EA Trade Managers available... here is the one I use with this trading method. To use it to control multiple pairs like this method uses, simply put the same "COMMENT" in each order you place. Then set this EA to control by Comment, and use the "Basket" settings.

Good luck.
Attached File(s)
File Type: ex4 Multi purpose trade manager.ex4   66 KB | 637 downloads
File Type: mq4 Multi purpose trade manager.mq4   96 KB | 794 downloads
  • #3,031
  • Mar 22, 2011 10:36am Mar 22, 2011 10:36am
Quoting AlbertoFX
Sorry, I did not understant the question about how turn out the trades.. Can do you re-ask me with another words?

Thanks

Hey Alberto,

what I wanted to know was if the trades you postet earlier this page have worked out the way you wanted.

Concerning sqalous std. dev indi, I basicly wait until the std. dev goes above 2, and when the value crosses the std. dev 2 line back in direction to the mean i open the pair of trades.
I'll also enter arround the std. dev. 3 line
When the price difference goes straight back to the mean I'll look for an exit arround the mean.
If the difference reverses before, I'll exit arround 1 std dev.
But all that is pretty hard to manage manually, because you would have to sit infront of the screen all the time.
  • #3,032
  • Mar 22, 2011 10:56am Mar 22, 2011 10:56am
Hi!
Well, I received a margin call due I have microacc and small money.
Even, trade gbpaud/gbpchf will produce big profit due big gap.

Can you share the indi and image of use of std dv ? May be we can take ideas for better entries/exits.
Thanks!


Quoting chrisx
Hey Alberto,

what I wanted to know was if the trades you postet earlier this page have worked out the way you wanted.

Concerning sqalous std. dev indi, I basicly wait until the std. dev goes above 2, and when the value crosses the std. dev 2 line back in direction to the mean i open the pair of trades.
I'll also enter arround the std. dev. 3 line
When the price difference goes straight back to the mean I'll look for an exit arround the mean.
If the difference reverses before, I'll exit arround 1 std dev.
But all that is pretty hard to manage manually,...
  • #3,033
  • Mar 22, 2011 11:22am Mar 22, 2011 11:22am
Hello everyone,

After some weeks really busy with a moving house, I have re-tested this strategy.
I only use "Tradable Correlations with Spread" indicator from Roundrock and "MPTM" EA from Steve.
10.000.-$ demo account, 1 lot each trade, usually entry at Stoch Diff: 80, if it goes up 90 another lot, but if Iīm bored, I enter at 60, if 70 another lot, if 80 another lot,......
Open trades manually.
MPTM close all trades when profit = 1% account, I donīt look at Stoch Diff for close, just for entry.
Triplets, quads, but not during news, from 7h00 till 20h00 (GMT+1)
Only one week tested, average 3% daily,.....
Will test for one month but looks promising......
  • #3,034
  • Mar 22, 2011 12:39pm Mar 22, 2011 12:39pm
Quoting Caillou
Hello everyone,

After some weeks really busy with a moving house, I have re-tested this strategy.
I only use "Tradable Correlations with Spread" indicator from Roundrock and "MPTM" EA from Steve.
10.000.-$ demo account, 1 lot each trade, usually entry at Stoch Diff: 80, if it goes up 90 another lot, but if Iīm bored, I enter at 60, if 70 another lot, if 80 another lot,......
Open trades manually.
MPTM close all trades when profit = 1% account, I donīt look at Stoch Diff for close, just for entry.
Triplets, quads, but not during news, from...

Calilou,

what do you use as an emergency stop loss?
  • #3,035
  • Mar 22, 2011 1:05pm Mar 22, 2011 1:05pm
Quoting DojiMojo
There are several EA Trade Managers available... here is the one I use with this trading method. To use it to control multiple pairs like this method uses, simply put the same "COMMENT" in each order you place. Then set this EA to control by Comment, and use the "Basket" settings.

Good luck.
Thank you, but it is difficult.
My only option was to enter buy and sell and enter the TP and SL in dollars or euros. If it were possible, I would be very grateful.
  • #3,036
  • Mar 22, 2011 3:30pm Mar 22, 2011 3:30pm
Quoting roundrock
here is a quick EA i wrote (using SQ EA) for this system. i didnt understand which pair to buy , which pair to sell. right now buy the pair with lower sto and sell other

exit is when the corelation comes back to positive zone and a defined number. or fixed take profit

read all the EA properties you will understand what it does.

i havent tested this yet..... pl test and report bugs
Much thanks roundrock! You totally rock.

I was thinking and it has probably been discussed, since the DD almost always happens with this strategy, perhaps a optional time frame lag could be introduced to mitigate the initial entry. So in the 5 minute time frame an accumulation of 3 threshold events (stoch diff > 90 on 3 different bars) before the initial trade gets triggered.

food for thought

T
  • #3,037
  • Mar 22, 2011 7:49pm Mar 22, 2011 7:49pm
Difference correlated pairs by stochastic indikators is very imprecise.
Unable to track correlation and difference in the price?
Comparing prices of the two pairs should be correlated to 100%
Indicate differences in the prices of couples.
Would be divided exactly as the couples move and what is the difference in pips.
  • #3,038
  • Mar 22, 2011 9:21pm Mar 22, 2011 9:21pm
Please you can hand someone trading this system?
Do you have any procedures for the functional trading?
I would like to learn something, but EA is not my system.
Thank you for your advice.
  • #3,039
  • Mar 23, 2011 12:44am Mar 23, 2011 12:44am
I am new to this thread. Does anyone have a record of past performance for this strategy?

I am looking for an equity curve or something similar.
  • #3,040
  • Mar 23, 2011 4:53am Mar 23, 2011 4:53am
Quoting Caillou
Hello everyone,

After some weeks really busy with a moving house, I have re-tested this strategy.
I only use "Tradable Correlations with Spread" indicator from Roundrock and "MPTM" EA from Steve.
10.000.-$ demo account, 1 lot each trade, usually entry at Stoch Diff: 80, if it goes up 90 another lot, but if Iīm bored, I enter at 60, if 70 another lot, if 80 another lot,......
Open trades manually.
MPTM close all trades when profit = 1% account, I donīt look at Stoch Diff for close, just for entry.
Triplets, quads, but not during news,...
Hi caillou... I'm about to start live, your same specifications.
What's you preferable time frame? I often start from little divergences (>30-40 stoch.) on 60m - I don't know how reliable 5m is....
3 traders viewing now