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Hedge and Correlation Strategy

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  • Edited Dec 3, 2011 4:49am Dec 2, 2011 9:52am | Edited Dec 3, 2011 4:49am
Altos,

Attached is the EA we discussed. I placed it here in case anybody else wants it.

It works as follows:

Attach to any active chart on your MT4 something that generates ticks all the time as it only processes on a tick.

It will gather up and manage as a single set upto 10 separate sets of trades and there can be upto 10 trades per set.

Each set is distinguished by the Comment field 1st two characters.
The 1st charactor is a letter prefix that you can set in the EA say "P" for pair this will be the same across all sets.
The 2nd is the set it belongs to ie: P1 = set one P3= set three.
You can have sets 0-9 so ten sets.

If the TP or SL total is reached for a set it will close the entire set.

It has an information display on the chart.

EA Parameters:

sPrefix = Single character prefix that you must put as the first Comment character when you open the trade.

dTP = Take Profit value - this is the sum of all trades in the set
dSL = Stop Loss value - sum of all trades in the set MUST be negative

iCheckPeriod = number of seconds between refreshing the data and checking for close actions. If you have this set at 0 then it will check every tick. But may be cpu intensive as it has to query your account everytime and sort through all the open trades.

iTradeDelay = number of seconds delay between retrys if a close action fails. I would leave this at 0.5 seconds unless you have need to alter it.


If dTP or dSL are set to 0 then it will not close any trades with that feature.

You can run multiple versions by using more than one chart but you must use a different prefix for each version.

PLEASE TEST ON DEMO to ensure that it works properly for you.

Regards
Attached File(s)
File Type: ex4 Close Pairs v3.ex4   6 KB | 1,004 downloads
Hello
I find this interesting strategy.
Could someone put a table of currency pairs would be best for this strategy and start practicing.
thanks

(I am Spanish and do not speak English, thank you google translator)
Quoting MaxDoom
Altos,

Attached is the EA we discussed. I placed it here in case anybody else wants it.

It works as follows:

Attach to any active chart on your MT4 something that generates ticks all the time as it only processes on a tick.

It will gather up and manage as a single set upto 10 separate sets of trades and there can be upto 10 trades per set.
Excellent work Max. You have taken a slightly different approach by grouping trades but this might not be a bad thing. I will experiment. This would suggest building positions with several entries and I have done that several times already so may be quite workable.

The only small puzzle is with "" iTradeDelay = number of seconds delay between retries if a close action fails. I would leave this at 0.5 seconds unless you have need to alter it.""

I tried to input 0.5 and .5 but the EA will not accept a decimal point. I don't know if you have preset it internally ? In any event, I have set it to 1 which is still only 1 second so I doubt that is a real issue.

 There are in this forum, some EA's for closing single trades, might suit anyone reading this, they are not suitable for my purpose though as it means 1 Chart for Each EA and that becomes unworkable if we have many multiple positions. The market is now closed so I will be waiting for Monday mornings open to do some testing. Being able to load *.sets is an advantage also - saves wear on the keyboard. :-)
My sincere thanks for your effort and I am sure others will find it of interest/benefit.
Regards,
Altos.
Have a look here: Free Co-Integration System for advanced Trader

Cheers

Mediator
Quoting AltosTrader
Excellent work Max. You have taken a slightly different approach by grouping trades but this might not be a bad thing. I will experiment.

The only small puzzle is with "" iTradeDelay = number of seconds delay between retries if a close action fails. I would leave this at 0.5 seconds unless you have need to alter it.""
I have updated the EA in the original post it will now accept a decimal point. I would still recommend 0.5 seconds because this should be more than long enough if the servers are busy etc to allow a retry of the close order.

I took the approach of allowing many trades to give max flexibility, so you could have as few as 1 or as many as 10 trades per set. So for pairs it is fine to have just two trades per set.
To MaxDoom: I wanted to ask on which timeframe do you trade the "raw stochastic difference" betweem two pairs? And what period do you prefer to use?

And I can't the indicator to work on as well, some suggestions?
Thanks a lot!
Quoting pego
To MaxDoom: I wanted to ask on which timeframe do you trade the "raw stochastic difference" betweem two pairs? And what period do you prefer to use?

And I can't the indicator to work on as well, some suggestions?
Thanks a lot!
I trade mainly on M5 and M15 timeframes, M5 has been the most consistent for EU v GU. I am just starting to look at other pairs.

If the indicator is not working on your charts then check that you have put a valid second symbol name in. It has to be an exact match so if your symbol says GBPUSD-fx then you must type that exactly in the correct case ie: gbpusd-fx will not work. If it is not this then are there comments in the Experts or Journal tabs?
Quoting Dreamliner
There are only 5 steps to trading this successfully:

1. Go to http://www.mataf.net/en/tools/01-01-correlation and click on “Forex Correlation” under “Tools and Charts”. Put a check on all pairs.

2. Scroll down to “Daily” and note each pair with a positive correlation of 75% or greater (I am currently monitoring 25 pairs, which is very easy to do using the indicator mentioned below).

3. Open 5M charts on your MT4 platform for all the pairs selected in the steps above. Place the “Stochastic...

can someone explain point number 4.? million thanks.
Quoting EricKamezou
can someone explain point number 4.? million thanks.

difficult your post only includes 3 points.....
Quoting MaxDoom
difficult your post only includes 3 points.....
4. When a 5M bar (candle, whatever) closes above 80% differential sell the pair that is high, buy the pair that is low.

5. Close at 50%, or lower, depending on your risk tolerance.
Quoting MaxDoom

I took the approach of allowing many trades to give max flexibility, so you could have as few as 1 or as many as 10 trades per set. So for pairs it is fine to have just two trades per set.
Hi Max, - a question if you would. In the pic below I have P P1 P2 etc - no seperators. If I put in a profit of, say, $100. does this mean the EA would close out P3 when it reached $100 and P9 when it reached $100 etc etc. It is not related to the global total is it ?

Also since we are dealing with pairs of pairs, if in say P7, AUDJPY and NZDJPY are active does the EA see this as two trades. ?

I ran it earlier and it did not close the trades but, I used it with just one group in as G 03 and another instance as G 07 just 2 pairs in each as only testing to get right procedure.
Regards,
AltosT
Attached Image (click to enlarge)
Click to Enlarge Name: Max ClosePairEa.jpg Size: 43 KB
Quoting AltosTrader
Hi Max, - a question if you would. In the pic below I have P P1 P2 etc - no seperators. If I put in a profit of, say, $100. does this mean the EA would close out P3 when it reached $100 and P9 when it reached $100 etc etc. It is not related to the global total is it ?
Hi Altos,

You are using this wrong, the prefix should just be a single letter, for example "x".

Then when you want some trades to be managed by this EA for exit you must enter the same letter plus a number 0-9 in the comment field for the trade (see attached example). Repeat this for every trade that you want to be managed as a single set.

So if you had two pair trades on you need two sets as follows:

EURUSD - Comment = x0
GBPUSD - Comment = x0

USDJPY - comment = x1
AUDJPY - comment = x1

now you have two sets being managed, you can have 10 sets in total (0-9) and between 1 and 10 trades per set.

All sets with the same prefix will use the same SL and TP as set in the EA. And this is an overall SL & TP for the set.

If you want to have different SL and TP for different sets use the EA twice with a different prefix in each instance.

I have attached an example in use and also an example trade entry comment field.

As you can see the 5 trades are managed in two sets denoted by the first two characters of the comment field - you can type what you like after the first two characters.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: example 1.jpg Size: 157 KB
Click to Enlarge Name: Example 2.jpg Size: 95 KB
[quote=MaxDoom;5194434]Hi Altos,

You are using this wrong, the prefix should just be a single letter, for example "x".

Then when you want some trades to be managed by this EA for exit you must enter the same letter plus a number 0-9 in the comment field for the trade (see attached example). Repeat this for every trade that you want to be managed as a single set. Damn - missed the quote mark.




Argh ! OK, I've got that thanks. This should work quite well as I do add to positions if they don't go straight to profit. I have organised myself to nine screens - I know the EA will go to 10 but my correlated sets only go to nine screens - that is about 100 convolutions though so there are some pairs I can be a bit choosy with :-)
Many thanks for that, should be great when I get the habit. Did miss putting the comment in a couple of trades and MT4 won't let you add once placed.
Regards,
AltosT
Hopefully , i didnt interrupt your discussions, just want to update here. After a few years trading this method on EURGBP on H4 successfully, i decided that the tf h4 is too slow..sometimes i get a trade after 2 weeks max...thats incredibly slow..but so far no losses for a few months.I do get some losses here and there but quickly recouped by the next few trades.
Next , i also decided to speed things up , i switched to H1 for faster trades. I knew in my experience when you get to the lower tf ,faked signals began to appear. I mused ,thinking how to compensate/overcome this trouble. I found the answer to be diversification , i added one other correlation trade pound dollar at the same time trading the usual eurusd/ gbpusd combo =/ Eurgbp . The result is the drawdown is somewhat controlled/ lessen...i ended up closing when the equity is in the plus side,even though the eurgbp trade is still in the minus.
Its amazing what happens you have more pairs to play at your side..even trading eurusd /gbpusd combo is a type of diversification.
I tested this theory on an unrelated system which is a trending system 7 pairs in total...at one point 2 - 3 pairs hit SL,or u can hedge them, the other 4 -5 pairs shows you some profit in the equity side. Hence proves the power of diversification...the more pairs you trade ,the more profitable. I cant imagine trading a single pair only for a trend following system...it will be a sl streak for sure.
Try to do this on correlation method...you get better results faster,with better chances of profit..not much to worry about sudden decorrelation,market shakeups ..since the other trades will cover your losses. I will try to add more pairs to play if we can get the profit faster,with zero risk of blowout.
Hello Superbandam3.
I am interested in this type of trading systems and I would like if it may be possible to comment in which it largely is your way of trading, here or opening an issue with your version if it differs much from this method is explained here.
thanks
Quoting xfran
Hello Superbandam3.
I am interested in this type of trading systems and I would like if it may be possible to comment in which it largely is your way of trading, here or opening an issue with your version if it differs much from this method is explained here.
thanks
Hi xfran.
Im afraid not to disclose much of what i did, since i fear it will confuse, or even contradicting whatever being discussed here. But there also lies similarity between the method that i practised and the current method discussed here. I'm still trading the same correlation method. Sell the higher one and buying the lower one.
My point above is to emphasize the importance of diversifying.One set of trade could be in red, and the other in profit. Hopefully the overall positions will be in profit. One set could mean buy eurusd sell gbpusd and the set buy eurchf sell gbpchf for example .So u could have four positions running at the same time.
You could trade the current system with the current settings defined in the first post of the thread, yet at the same time adding more pairs to trade so u could hopefully cancel out the losses that you could possibly have in your positions. I have found out that trading only a set of pair to trade inefficient for both time and profits factors compared to trading 2 - 3 sets at the same time.
A trend following system cannot survive in my opinion without proper diversification since you are only exposed to one pair. More to trade the more spread out the exposure with less pain suffering dd's or SL since you have other trades performing well for you.
I think applying above will work out even when trading the method outlined by the original thread starter. I trade eurgbp , eurusd and sometimes gbpusd. Trading additional pairs will be a major plus too.
Thanks for your answer Superbandam3.
I find it very interesting variation you do about this form of trading, as a suggestion could you share your way of trading and how to manage profit-taking and above all lost in this thread if it is not possible, you could open one explaining your method, I think you may be interested in who opened this thread and those who are learning (like me) to use it.
Thanks

... Thanks to Google for your translator ..
for xfran..and others still looking..
there are two ways i make money using this method,i will discussed one i use for 2 years for now
1) Timeframe H4 , indicator Neutral hedge overlay.mq4(indi settings..change to -1 for pair mirroring box) ,bollinger bands,13ma for max target profit.Imho the slowest way to make money ever..but so far in 2011 i only remember 2 losses vs 30> 40++ times winning ... i lost count...those two losses occur because i played h1 tf...the rest on H4 all winners.Overlay GBPUSD on eurusd chart ,key in GBPUSD on neutral...mq4 indicator thanks to the creator of this indicator
2) Im too lazy to post screenshot..lol, btw open a EURGBP h4 chart, put those bollinger bands on ,wait for the EURUSD chart ...... wait for the neutral indicator to say OK not otherwise..check wether the indicator says buy eurusd sell gbpusd (1)or sell eurusud and buy gbpusd (2)...if you got it ok...proceed to EURGBP chart ,if conditions is (1) look for buy EURGBP vise versa for sell
3) Lets proceed on ..lets say conditions are (1) we are buying ,make a trendline on eurgbp chart, if trendline is broken buy...do this for (2)
4)The trendline contribute to the highest winning rate i have ever had in such a long period of time.We are counter trading here so u know the purpose of propping a bband indi.
4)tp 10 -20 pips or 13ma, i know the risk reward will be horrible, but the winning rate is so high you can overcame those losses without too much trouble. SL i used for eurgbp was 100 - 150 pips.If you used b eurusd s gbpusd instead of direct eurgbp trade how do u put the sl?
5) It helps a lot to learn about candlestick basics,trendline break etc..but it cannot stand alone, we still need to know the correlation ....etc
6) Pray...
Maybe i should make a tutor program should there will be a demand lol...maybe im not that qualified..hehe
7) Be sceptical to your performance and always look for room of improvement
8)Diversify if you can..which is my second method ...but for now try to master EURGBP or other high correlated pairs
9) Pls do this on demo account first before moving on to real account
Quoting MaxDoom
I trade mainly on M5 and M15 timeframes, M5 has been the most consistent for EU v GU. I am just starting to look at other pairs.

If the indicator is not working on your charts then check that you have put a valid second symbol name in. It has to be an exact match so if your symbol says GBPUSD-fx then you must type that exactly in the correct case ie: gbpusd-fx will not work. If it is not this then are there comments in the Experts or Journal tabs?
Hello, the Stochastic raw indicator still does not seem to work properly for me - please find enclosed a picture. The indicator ranges just between values 0 and 100. I tried to use the version enclosed in post 3425, the version enclosed in post 3435 does not work at all for me. I have Windows7, donīt you think it might be the problem? Thanks a lot.
Here is the attachment
Attached File(s)
File Type: doc Picture_stochastic_raw_indicator.doc   189 KB | 595 downloads
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