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Three Pairs Hedging

  • #441
  • Jul 14, 2011 10:08am Jul 14, 2011 10:08am
Quoting treadline
yes because the other pairs eliminate each other. so the driving force is the u/c. but i think if i didnt have the 50 dollar sl then i think it would of came back for a profit. now sure how much but it wouldnt have been a loss. i have 2 ea's that will close out at a profit or a loss. thats the only way i can tp is if the ea closes them on time. cant monitor them as it takes a while for them to profit. my 6th hedge is still going but at a loss right now so will have to wait if it profitable one or not.
If "the other pairs eliminate each other", why are you trading them? You are paying 4x the spread for no benefit.

USDCHF is not only the driving force, it is the "only force" in your basket.

You are shorting the USDCHF. It is as simple as that.
  • #442
  • Jul 14, 2011 5:55pm Jul 14, 2011 5:55pm
Quoting zznbrm
If "the other pairs eliminate each other", why are you trading them? You are paying 4x the spread for no benefit.

USDCHF is not only the driving force, it is the "only force" in your basket.

You are shorting the USDCHF. It is as simple as that.
yes i understand the spread issue here. what this strategy does is not set a sl therefor not worrying about getting stopped out all the time as if you were only long or short the u/c. like i said just trying it out on demo not really doing it live. dont know if i will. like with other systems on here you have to try it out to make sure that it works or not. my 6th hedge is still active and will keep it at that until i get a profit of 30 dollars. so it could take a long time who knows. time will tell..
  • #443
  • Jul 14, 2011 7:30pm Jul 14, 2011 7:30pm
Your not really hedging anything. If taking a 1:1:1 position all your doing is trading the pair spread. Take a look at the picture, shorting gbp/chf and going long usd/chf and gbp/usd at any time in the past would net you positive results, but if you take the opposite side then you will continue to lose as the trend or the ratio is down.
Attached Image (click to enlarge)
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  • #444
  • Jul 14, 2011 8:13pm Jul 14, 2011 8:13pm
Quoting andy9775
Your not really hedging anything. If taking a 1:1:1 position all your doing is trading the pair spread. Take a look at the picture, shorting gbp/chf and going long usd/chf and gbp/usd at any time in the past would net you positive results, but if you take the opposite side then you will continue to lose as the trend or the ratio is down.

hey andy where can i get that indi? is it some special platform that i have to download? thanks. would like to use it as when it reverses then i can trade the opposite.
  • #445
  • Jul 14, 2011 8:25pm Jul 14, 2011 8:25pm
Quoting andy9775
Your not really hedging anything. If taking a 1:1:1 position all your doing is trading the pair spread. Take a look at the picture, shorting gbp/chf and going long usd/chf and gbp/usd at any time in the past would net you positive results, but if you take the opposite side then you will continue to lose as the trend or the ratio is down.
hey andy after looking at your chart there. it looks like its think or swim platform. i have that platform too. can you plz tell me how you got the 3 pairs to show like you have on your chart? thanks
  • #446
  • Jul 14, 2011 8:53pm Jul 14, 2011 8:53pm
Quoting treadline
hey andy after looking at your chart there. it looks like its think or swim platform. i have that platform too. can you plz tell me how you got the 3 pairs to show like you have on your chart? thanks
no worries. just enter gbp/chf-usd/chf. You can create ratio charts with what ever you want just separate using dash or hyphen. The indicators are pair ratio and pair correlation.

The strategy is similar to pair trading which is when you take the pair ratio of two correlated and co-integrated assets and plot a moving average then act accordingly as the ratio separates from the ma by x std deviations (typical from my reading is 2.7)
  • #447
  • Jul 14, 2011 9:09pm Jul 14, 2011 9:09pm
Quoting andy9775
no worries. just enter gbp/chf-usd/chf. You can create ratio charts with what ever you want just separate using dash or hyphen. The indicators are pair ratio and pair correlation.

The strategy is similar to pair trading which is when you take the pair ratio of two correlated and co-integrated assets and plot a moving average then act accordingly as the ratio separates from the ma by x std deviations (typical from my reading is 2.7)
thanks for the reply andy. now how do you use the chart and the and pick a direction?
  • #448
  • Jul 14, 2011 9:17pm Jul 14, 2011 9:17pm
Quoting treadline
thanks for the reply andy. now how do you use the chart and the and pick a direction?
well like I said. You need software that will plot an MA on the pair ratio and you enter based on said ratios deviation from the mean. In this case you would have to be dollar neutral hence your hedging out market direction and betting on the ratio of the two assets to diverge or converge (depending on conditions of entry). If you want to go with a 1:1 ratio (1lot long 1short) then you can use a fundamental based approach to determine why and if the spread should diverge or converge. Hence going short in the chart I posted and trying to determine when/if the trend will reverse.
  • #449
  • Jul 14, 2011 11:43pm Jul 14, 2011 11:43pm
how i wish i can be the market maker to all of you...

lonestar and zznbrm are you interested in a joint-venture?
  • #450
  • Jul 15, 2011 12:13am Jul 15, 2011 12:13am


Quoting spicymonkey
how i wish i can be the market maker to all of you...

lonestar and zznbrm are you interested in a joint-venture?
  • #451
  • Jul 15, 2011 12:36am Jul 15, 2011 12:36am
Quoting spicymonkey
how i wish i can be the market maker to all of you...

lonestar and zznbrm are you interested in a joint-venture?
LOL!!!!! Yes, count me in!
  • #452
  • Jul 15, 2011 6:02pm Jul 15, 2011 6:02pm
Please PM me too



Quoting zznbrm
LOL!!!!! Yes, count me in!
  • #453
  • Jul 20, 2011 12:02pm Jul 20, 2011 12:02pm
I might not be a guru but from what i have observed, one pair does not drive the basket. As unprofitable as this strategy might be, it is not because uc is the only pair. I wrote an ea for the system and ran it for a good while. The pattern of the losses did not correlate with the performance of just one pair.
  • #454
  • Jul 20, 2011 12:18pm Jul 20, 2011 12:18pm
Please help us with a brief doubts :

a) How much is the TP ( in pips ) of GU/EG/EU ring?
b) How much spread do you have on these 3 pairs on average?
c) How much hours in average take for close/open a new ssb or bbs based on your TP?
d) Wichs rings are you seen more volatiles/profitables?

I am begining to play with GU/EG/EU with TP 5 pips, Spread on 3 pairs is almost times 6 pips...


Thanks



Quoting josid
I might not be a guru but from what i have observed, one pair does not drive the basket. As unprofitable as this strategy might be, it is not because uc is the only pair. I wrote an ea for the system and ran it for a good while. The pattern of the losses did not correlate with the performance of just one pair.
  • #455
  • Jul 20, 2011 9:28pm Jul 20, 2011 9:28pm
Quoting josid
I might not be a guru but from what i have observed, one pair does not drive the basket. As unprofitable as this strategy might be, it is not because uc is the only pair. I wrote an ea for the system and ran it for a good while. The pattern of the losses did not correlate with the performance of just one pair.
Mt4 can't let u enter fractional units so i wonder hw u test but tts not the problem.
I hv no idea hw u calculate your "correlation". If u used any kind of tp or sl, u already changed ur data. Any money management should NOT be used.
Are you really sure u know hw to calculate ur residual exposure? Whatever your EA does and the results are totally irrelevant.
A simple test will reveal everythig to u. Just get the close of anyday a mth ago and open ur equal lot size basket, calculate ur net exposure and multiply it by the pip move since then till now. Its freaking clear. I wonder what is making it so hard for you guys to understand?
  • #456
  • Jul 20, 2011 9:37pm Jul 20, 2011 9:37pm
yes really... as real as this Unicorn I'm riding over this rainbow to my pot of gold

  • #457
  • Jul 21, 2011 3:59am Jul 21, 2011 3:59am
Quoting Simihouse
Ok Guys,

finally I got an EA that works and that we can use at least for a forward test in a demo. The EA is a mod of the NewHedge EA of LazyForexTrading. The settings are 0.1 lots and the TP is set to 10 pips, virtually no stop loss. Put the two EAs in the same time on two different charts.
Sure every hedge has an exposure, thats means that everytime we close a trade in profit the opposite trade is in loss. The problem here is try to figure how can be the BIGGEST drawdown (this is the case if the specular hedges works as an oscillator between...

am i wrong but it seems there are no trades open after i attach it to the chart. Is it waiting for some confirmation first?
  • #458
  • Aug 27, 2011 2:41am Aug 27, 2011 2:41am
Quoting Simihouse
Hi Imnicetoyou,

as I wrote before, in my opinion, this strategy works without any indicator and is unrelated to any timeframe. If you BBS and SSB in the meantime the pair circle EU UC and EC you froze your account, so you can enter in any time you want. But also if the account is frozen the single circles have an inner dynamic that make them oscillating around relatively narrow values. Than you must only wait untill one of them go in profit and close that hedge, than open the close hedge again and start a new one. The only things usefull is...
Hi Simihouse
I don't know yet if you follow this topic.
On your indy, on the first line (HEDGE) there are EURUSD USDCHF EURCHF and TOTAL PROFIT.....OK... ie B , B , S and ( B+B+S)
It's well but I'd like it shows also a factor and its curve.
This factor is (B+B)/S ie the sum of the 2 buys divided by the sell.
In my opinion, this factor is important to enter (or close) a trade.
My idea is to open a demo chart to enter according this indicator.
Best regards.
  • #459
  • Aug 27, 2011 4:15am Aug 27, 2011 4:15am
Hi Madscalp,

sorry but after many trials and errors I definitively decided to leave the hedging strategies...finally I must agree with Zznbrm: they are not profitables on the long run.
Actually I work on an entirely different strategy based on momentum and ADR. It's essentially a counter-trend strategy and I call i the "Tao Chinese Merchant" strategy. I follow this strategy for a month with nice results and I plan to open a new thread as soon as I have more positives feedbacks.
Anyway I'm still open to any kind of experimentation.

All the best
"If you want something go down, let it go up first" Lao-Tzu
  • #460
  • Aug 27, 2011 4:40am Aug 27, 2011 4:40am
OK I understand...
However could you make the display of this factor with or without the curve ...it's easy for you.
If I get good results with my idea, of course I'll post ...
I'm very excited about your next thread.
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