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Hedge and Correlation Strategy

  • #3,161
  • May 9, 2011 10:45am May 9, 2011 10:45am
Quoting josch
olimpia,
may you give some details about the working of strength meter? It's one point to use decorrelation. Other point, strength meter is based on this too or possibly on volatility, volume or anything else?
josch
I second this. It would be interesting to know how it's calculated.

Stocastics seems to work well, but as any impulse indicator some caution is necessary; however, I've seen it many times. A strategy is born and it seems to have some traction; then you get ppl trying to tweak it before really understanding it. It would be better if olympia would implement the system himself (or is it herself) and then come back here saying if rel. strength works better.

@josch: wow! 4 posts in few minutes.

BTW: Automated trading last week was a disaster. There's much to do with trade management (i.e. no set and forget as with any system). My discretionary trade was much better, mainly because I was wise enough to not hedge the EU diving move.
  • #3,162
  • Edited May 10, 2011 10:45am May 9, 2011 10:50am | Edited May 10, 2011 10:45am
Well.. I forguet to add in the Picture.. Correlation must be high between pairs--
The correlation between tha pairs must be HIGH.. 75%....

Just I commented to use the currency meter.. instead wait the Stochastic difference indicator.. Anyway.. the use of currency meter we could interpretate like this.. Its just an idea....

Well the interpretate of Currency meter..

Currency Meter Values:
USD: 7.43 USD very strong against all other currencies
USD: must go DOWN to home that is 5.0 in the currency meter


GBP: 2.86 GBP weak against USD by 5 points
GBP: te gbp tending go UP (5.0) in the currency meter

EUR: 0.57 EUR Very weak against all other currencies (but we use this to hedge, so doesnt care the possition in the currency meter)

Test it!


For info about how its working the Currency meter.. Google: FXMeter (Currency Meter) by Tom Yeomans
visit www.OlimpiaFX.com
  • #3,163
  • May 9, 2011 11:55am May 9, 2011 11:55am
This was a test I did this morning.. WITH AUDJPY.. EURJPY
Attached Image(s) (click to enlarge)
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visit www.OlimpiaFX.com
  • #3,164
  • May 13, 2011 1:55am May 13, 2011 1:55am
Adjusts someone this great EA? For negative correlation, and possibly more reliable for closing positions.

Stoch Diff 2 Pair EAsq 2011.03.07.mq4
  • #3,165
  • May 13, 2011 10:21pm May 13, 2011 10:21pm
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  • #3,166
  • May 25, 2011 7:10am May 25, 2011 7:10am
I've been somewhat involved with other projects, so I had no time for following here.

My systems are running, but I see that monthly correlations have gone ashtray.
Many pairs are uncorrelated on the daily. i've gone from a total of 15-20 pairs to about half.

This explains why the demo tests have suffered a lot and have given away most of the profits.

This brings another issue: There's a need to stop trading when conditions are not favorable for a particular strategy. I guess, when there are a number of losses in a row and when there's some amount of DD on an account, it's wise to just wait a few days/weeks before using a strategy again.

My idea for "stop trading" would be to use demo accounts and track performance. As soon as performance is back on track start live. As soon as live looses edge, move back to demo until things get better.

This is probably common sense. Does anyone agree?

pvpn.
  • #3,167
  • May 26, 2011 4:59am May 26, 2011 4:59am
Quoting pvpn
I've been somewhat involved with other projects, so I had no time for following here.

My systems are running, but I see that monthly correlations have gone ashtray.
Many pairs are uncorrelated on the daily. i've gone from a total of 15-20 pairs to about half.

This explains why the demo tests have suffered a lot and have given away most of the profits.

This brings another issue: There's a need to stop trading when conditions are not favorable for a particular strategy. I guess, when there are a number of losses in a row and when there's some...
I do not agree with you, freind.

Within the last 36 hours I had 21 opened baskets with 3 loose baskets.

At the moment I have 35 optional baskets that have the correct conditions, and they are waiting for good signals to open, and one opened basket (EURAUD+EURNZD).

Y.
  • #3,168
  • Jun 1, 2011 10:56am Jun 1, 2011 10:56am

Hi,


Here is the results for trading for 6 days.


The "high" DD has to divide by about 2 (50%) since it is an hedging.


I improved it a little bit, and I hope for even better results.


Y.

Attached Image (click to enlarge)
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  • #3,169
  • Jun 1, 2011 12:50pm Jun 1, 2011 12:50pm
Quoting crossy
... Here is the results for trading for 6 days. ...
Crossy,

that's a large # of trades in a few days. What TF and how many pairs do you trade?

josch
trading is war - life is simple
  • #3,170
  • Jun 1, 2011 4:04pm Jun 1, 2011 4:04pm
Quoting crossy

Hi,


Here is the results for trading for 6 days.


The "high" DD has to divide by about 2 (50%) since it is an hedging.


I improved it a little bit, and I hope for even better results.


Y.

Good going Crossy
What is your Stoch difference entry trigger?

I've set it to 90% but hardily get any triggers.

Cheers
  • #3,171
  • Jun 2, 2011 10:37pm Jun 2, 2011 10:37pm
JOSCH - I use TF = M5 and M15.

Zr-fx - every pair has its stoch trigger.
  • #3,172
  • Jun 3, 2011 1:58am Jun 3, 2011 1:58am
Quoting crossy
JOSCH - I use TF = M5 and M15.

Zr-fx - every pair has its stoch trigger.
Thanks Crossy. I have been using this method on and off for a while now and been very happy with it but haven't though of a different trigger for each pair. Yes I thought Quads will have a higher entry than triplets but not down to each pair. Very interesting.

Of course the next question is how do you decide the trigger for each pair and can you give some examples please? Do you base this on historical data by watching the charts?

Many thanks.
  • #3,173
  • Jun 3, 2011 6:52am Jun 3, 2011 6:52am
Hi all, new to this thread. I have always been interested in stat arb with equities but would prefer to try it with FX. I have downloaded a few of the indicators from this thread and will give it a go. Thanks for all the posts.
  • #3,174
  • Jun 3, 2011 3:29pm Jun 3, 2011 3:29pm
thanks for this Strategy
  • #3,175
  • Jun 10, 2011 6:33pm Jun 10, 2011 6:33pm
Hello all,

I have just finished reading this thread and really like the theory behind it.

However, I am having diffuculty getting the primary indicator recommended by Dreamliner, the “Stochastic Different Pairs 1.4b” to display properly.

I have attached a screen shot of my MT4 platform with the indicator displayed and what I see. It seems to be that I am only seeing the yellow line witout seeing the other two lines I am seeing in everyone elses screen shots.

Am I missing another indicator or doing something wrong with my display?

Any help or assistance to make the indicator display the way it is supposed to is greatly appreciated.

Thank you!
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  • #3,176
  • Jun 11, 2011 3:51am Jun 11, 2011 3:51am
Quoting islandtrader41
Hello all,

I have just finished reading this thread and really like the theory behind it.

However, I am having diffuculty getting the primary indicator recommended by Dreamliner, the “Stochastic Different Pairs 1.4b” to display properly.

I have attached a screen shot of my MT4 platform with the indicator displayed and what I see. It seems to be that I am only seeing the yellow line witout seeing the other two lines I am seeing in everyone elses screen shots.

Am I missing another indicator or doing something wrong with my display?...
You seem to have a suffix 'm' at the end of the pair name 'EURUSDm' so make sure the pair name in the indicator setup matches exactly what you have, even the letter case.

I think the later version were not case sensitive but I'm not sure
  • #3,177
  • Jun 11, 2011 1:14pm Jun 11, 2011 1:14pm
Thank you Zr-fx!

You solution had me play around with the symbols and find the problem.

It was not the "m" designator that was causing the problem but rather the case sensitivity. I was previously using lower case symbols and changed them to uppercase and that has cleared the problem.

I dont ever recall having that issue with MT4 previously but it was a solution here!

Thank you again and good trading!
  • #3,178
  • Jun 12, 2011 1:28pm Jun 12, 2011 1:28pm
Hello Dreamliner,

may I ask how do you continue to trading this method? As I can see you stopped writting to this thread some time ago.

You trade 5 min or 30 min TF but you dont trade this automatically, that mean you look for cross pair trend reversal to open trade? Open at 80% and close at 50% still the same ? And what pairs are you prefering? What are your results?

I apreciate goodwill all of you in this tread, it is unbeliavable as each helps to other.
  • #3,179
  • Edited 3:43am Jun 13, 2011 2:44am | Edited 3:43am
After the beginning of the great crash, the corralations were disappeared.

As a continuation of post #3168, here are the results of 8 days of trading. After that I had a big DD. I think that a stoploss is needed.

Again, since we are hedging the MaxDD should be related as 50% of the shown number.

Go on.
Attached Image (click to enlarge)
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  • #3,180
  • Jun 13, 2011 9:24am Jun 13, 2011 9:24am
Hi,

if we trade some triple for ex. GBPUSD and EURUSD isnt it better to instead of go long on GBPUSD and short on EURUSD simply go long on GBPEUR ... ( sell EURGBP)??
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