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Hedge and Correlation Strategy

  • #3,261
  • Jul 20, 2011 8:13pm Jul 20, 2011 8:13pm
Hi Operigote,

right now I tested 5 minutes, next hour 15 minutes.. and so on, quite good results ! (at least on 5 minutes)

There is no maximum number of charts (theoretically). May be this helps you:
I have an EA where I need(ed) 19 charts...works fine, no crash.

Quote
Can I use the EA on on the same combo pairs in 2 different time frames?
Yes and No. I guess you need an Identification (magic number or sth. like this). My programmer had to implement this, else metatrader don't know which lot to close, sorry.

Ok, here's a hint for you for using diff. settings for stochastic: 80%/20% is fine...

Lots of people talked about SL. Don't use it (my opinion) just wait until difference is at 20(25%) again.

Jack
  • #3,262
  • Jul 21, 2011 3:35pm Jul 21, 2011 3:35pm
Awesome, Thank for the info.
  • #3,263
  • Jul 22, 2011 6:47am Jul 22, 2011 6:47am
Quoting Malik81
Please keep in mind I am very new to this and cross check every single word I say; dont take it for granted, I have no specific pairs, I open mataf and check all pairs on daily basis and then pick whatever is +75 or higher on the DAILY table.
All of you have to know that MATAF data has big leg - many times - since it is updated every few hours..
  • #3,264
  • Jul 26, 2011 6:17pm Jul 26, 2011 6:17pm
Roundrock, any chance you can add to your Stoch Diff 2 Pair EA, a command to limit the total number of open orders??
Much apprec.
Jack

here is a very basic EA that opens trades when diff > 80 and closes when < 20, you can choose your own pairs, stoch settings...

pl note there is no stoploss, takeprofit

i didnt understand when to exit. right now it exits when diff < 20
Attached Files http://www.forexfactory.com/images/attach/mq4.gif Stoch Diff 2 Pair.mq4 (6.5 KB, 492 views)
  • #3,265
  • Jul 27, 2011 2:53am Jul 27, 2011 2:53am
hello,

i am new to this thread and would like to know what the latest file are that i need to run this EA. Maybe some short introduction would be nice howto start rolling with it, i would really like to give it a try cause it reads like a great strategy.

thanks in advance.
  • #3,266
  • Jul 28, 2011 7:36am Jul 28, 2011 7:36am
Hello everyone=)

I'm new to this forum but I realise that this is a system with great potencial. I'm trying to "translate" it to MT5 since it is a more powerful plattform. I'm proggraming this system in an expert advisor so I can test it in the last years and check what variants are more profitable.

Also i'm thinking of another thing that can improve this system. What do you think about using a moving average in pips difference between pairs? And then we add another entry requirement:

 

  1. buy if the pip differente is below the MA;
  2. sell if the pip difference is above the MA.


I'm trying to program this but I'm having some difficulties. The tick function is called everytime a new price comes but to calculate the moving average of the difference between pairs, I just want the close price of each canddle. So that I can add all those close prices differences and then divide for the number of periodos. Do you understand my point? How can I do that? Someone here that is good with mt5?

  • #3,267
  • Jul 28, 2011 10:56pm Jul 28, 2011 10:56pm
Hi everyone, this is a very interesting system and I'm really liking it so far. I'm trying to understand how were some of the post earlier mentions that they left it running all night and in the morning saw that they've made profit? Is there a way to set a limit/stop on combined pairs? If I had two sets of currency pairs open, how to set a combined limit/stop to get out at a profit? As I understand it, from this style of trading you would not know which will be the - and which is the +. Placing a limit on both set pairs would only exit too early and the negative can run endlessly. So, it needs to have a combined limit/stop which my broker does not have this option on their platform. Please advise.
Thanks
  • #3,268
  • Edited 8:49am Jul 29, 2011 2:57am | Edited 8:49am
Quoting Agent-Pipen
Hi everyone, this is a very interesting system and I'm really liking it so far. I'm trying to understand how were some of the post ...

Agent-Pipen,

you may use either one of the general tools for trade-management like the 'Multi Pupose Trade Manager', mentioned in post http://www.forexfactory.com/showthre...36#post4490636 or Squalou's 'Stoch Diff 2 Pair EAsq 2011.03.01.mq4', see post http://www.forexfactory.com/showthre...93#post4438793.

I made a white paper of the method's summary. If you are interested in, let me know your e-mail address by PM.

josch
trading is war - life is simple
  • #3,269
  • Jul 29, 2011 8:44am Jul 29, 2011 8:44am
Quoting josch
Agent-Pipen,

you may use either one of the general tools for trade-management like the 'Multi Pupose Trade Manager', mentioned in post http://www.forexfactory.com/showthre...36#post4490636 or Squalou's 'Stoch Diff 2 Pair EAsq 2011.03.01.mq4', see post http://www.forexfactory.com/showthre...93#post4438793.

[size=2][font=Verdana]I made a white paper of the summary's method. If you are interested...

Thanks Josch, this really helps.
  • #3,270
  • Aug 1, 2011 7:23pm Aug 1, 2011 7:23pm
I had a demo account set up with over 25 pairs. Some, were over the 75% correlation factor, some were not. It was at first but, after a week it did not reach over 75%. I observed them and their behaviors. It seems, that even the pairs that did not have a 75% correlation still cross each other after a certain amount of time. My reasoning is that, pairs that does not have any correlations according to the stoch indicator still cross at some point. There's huge profit that can be made. In two days 99 pips on USDCHF and USDCAD. Am I not following the rules or the rules needs to be adjusted?
  • #3,271
  • Aug 2, 2011 2:55am Aug 2, 2011 2:55am
Agent-Pipen,

nice profits. Each day you see prices move and may get huge profits, if you are on the right side. Correlation working the same way. Intention of DL's thread was to get a rule for this. Some times you get no trade setup, especially if you are using larger timeframes.

Adjusting rules - nice idea, if profits are better or trade setups showing up more often. Question is how?

Stoch was chosen as instrument to get a mesaurement of the kind of move, both pairs are moving to each other.

josch
trading is war - life is simple
  • #3,272
  • Aug 2, 2011 10:25pm Aug 2, 2011 10:25pm
Thanks Dreamliner for wonderful strategy on hedging

Can you suggest a EA which can only close the position once the equity is increased by certain amount say $10 or $ 20, also is there a alert system which can be used to ring the bell once the correlated selected currency pair are decoupled by more than 50% on stochastic indicator
  • #3,273
  • Aug 3, 2011 9:31am Aug 3, 2011 9:31am
[quote=JackintheBox;4790111]Hello All, (thanks to every person who made the great stuff here!!)

I love your efforts to make a killing in the lower TFs.I have forward tested using one hour charts correlation about several months back or so.The results are ..
To put in the statistics
1win,1win ,1 win ,1loss,1win ,1 loss and so on.
The winners averaged around 10 - 30 pips or so.I used SL when trading the lower tf's so that meant around 50pips or so. I dunno what to make of this stats,since i lose alot more pips during the losses and won small during the tests.Apparently i used micro accounts so it wont hit my main account much.Its hard for me to achieve better win rate as that is a main criteria to be successful in the lower tf.
I made the most out of the higher TF (H4) ,which i had achieve a nice winning rate,i add up to the position -100 p on the DD.
Btw i still has a big interest working on the lower TF,since you could make money faster,especially when using a smaller account.I just could'nt cut it,although i also wanna be able to do it someday,for now i stick to the higher tf.
Hopefully you keep us posted,as the system has proven to make money (at least for me) ,the question that remains is how to speed it up = more money!!
Thank you.
  • #3,274
  • Aug 3, 2011 7:43pm Aug 3, 2011 7:43pm
Interesting thread I have been looking at EU and AU they are not the most correlated but some volatility on the short charts makes your floating profit and loss change. I am only buying AU and selling EU this helps with the swap. I have looked at these pairs some the worst I think you might get is 300 pips down in an extreme case. So might get a little stressful if some real money was on the line. But unless you happened to get in the trade at that way out extreme they do come back. Remember your not waiting for one pair to reverse a trend just the correlation to change.
I also have seen alot of strats like this that use USD/CHF the CHF is one of the most manipulated monies in the world I wouldn't trust it with a strat like this.
  • #3,275
  • Aug 9, 2011 9:11am Aug 9, 2011 9:11am
Nicastro in his post 2896, pg 194 suggested changing the code of the EA to reverse the trades, ie sell instead of buy the low pair, and buy instead of sell the high pair. What become of this?? Anyone know if the code changes he suggested were correct?? thnx, Jack
  • #3,276
  • Aug 9, 2011 7:26pm Aug 9, 2011 7:26pm
I tried this on gbpchf/eurgbp 2 time it was win, made 30pips.but yesterday i was stuck with 500pips dd on my live a/c. So guys be always prepared for this kind of dd. Still stuck don't know what to do.
  • #3,277
  • Aug 10, 2011 7:01am Aug 10, 2011 7:01am
hey ive just done pages 100-present...

few comments/suggestions/observations..

- i used to work as a trader and the guys that make big money use spreading techniques not directional trades
- u can either trade the direction of the spread as its smoother (less volatile) or via revert to mean style.
- there is too much talk of EA's etc.. there always needs to be some sort of disgression whether that be working a position or whatever.


- do we need to adjust the size of lots for each pair based upon the price of the pair for eg... EURUSD is 1.2500 GBPUSD is 1.6000... GBPUSD price is 28% larger thus lot size has to be 28% larger (im not looking at daily range or volatility of each pair just assuming that if GU moves 4% and EU moves 4% the pip movement is larger on GU)

- is long EU and short GU the same as long EURGBP??? i always thought the price of EURGBP is jsut the EU price x the GU price therefore any signal can jsut be traded on the synthetic cross (EURGBP)??

- there needs to be some visual besides the stoch and overlay chart to show the correlation has gone out of whack. Would a indicator showing the pip difference as discussed on previous pages (assuming would only work for triplets) with a bollinger band overlayed work for entry signals along with the stoch and overlay chart?
Grabbing the bull by the horns!
  • #3,278
  • Aug 11, 2011 2:52am Aug 11, 2011 2:52am
Quoting whitegoodman
hey ive just done pages 100-present...

few comments/suggestions/observations..

- i used to work as a trader and the guys that make big money use spreading techniques not directional trades
- u can either trade the direction of the spread as its smoother (less volatile) or via revert to mean style.
- there is too much talk of EA's etc.. there always needs to be some sort of disgression whether that be working a position or whatever.


- do we need to adjust the size of lots for each pair based upon the price of the pair for eg... EURUSD is 1.2500...
Im new to the spreading techniques, but it sounds interestning
could you please explain little further thanks
Bulls are stupid Animals!especially when Im short!
  • #3,279
  • Aug 12, 2011 9:45am Aug 12, 2011 9:45am
Quoting whitegoodman
hey ive just done pages 100-present...

few comments/suggestions/observations..

- i used to work as a trader and the guys that make big money use spreading techniques not directional trades
- u can either trade the direction of the spread as its smoother (less volatile) or via revert to mean style.
- there is too much talk of EA's etc.. there always needs to be some sort of disgression whether that be working a position or whatever.


- do we need to adjust the size of lots for each pair based upon the price of the pair for eg... EURUSD is 1.2500...


Just my opinion:

-i never did adjust the lots for each pair since theres no really much difference than trading directly EURGBP other than :either the overall eu gu position is bigger than eurgbp pos or smaller than eurgbp only than a small margin.But the point is if we buy eurgbp in the positive +pips and trade buy eurodollar and sell pounddollar we still get +positive also more or less.But if adjust the pounddollar lots based on eurgbp ,then youll get an identical eurgbp trade..not much use i think since the spread is higher.
-need and alternative visual beside stochs and overlay?yes use the pairs that the trade represent : example, eu gu >> eurgbp or UJ, EJ >> eu ...just remember to trade only the positive correlation ones not the negatives.
  • #3,280
  • Aug 20, 2011 2:17am Aug 20, 2011 2:17am
Quoting whitegoodman
do we need to adjust the size of lots for each pair based upon the price of the pair for eg... EURUSD is 1.2500 GBPUSD is 1.6000... GBPUSD price is 28% larger thus lot size has to be 28% larger (im not looking at daily range or volatility of each pair just assuming that if GU moves 4% and EU moves 4% the pip movement is larger on GU)
Hi everyone, I have read this thread with great interest as I have done a lot a of research on this area.

Whitegoodman has a very valid point about adjusting the lot size. In all trading you need to be able to understand and control your risk which will lead to better trades. With this kind of strategy you need to ensure that the risk is balanced between the two trades.

Think of this, if you have equal lot sizes but one pair has a daily range of 100 pips and the other 50pips, then your risk is twice as great on the first pair so you should adjust for volatility in order to control the risk.

You could start by finacially balancing them to adjust the lot size of the 2nd trade so that they have an equal P&L per pip.

Then adjust those lot sizes by the volatility. A simple way to do this is to use an ATR ratio between the two pairs. You could test out different ATR periods to find a suitable match.

I have seen losing systems turn to winners just by including this kind of adjustment so I hope it helps you all.
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