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Hedge and Correlation Strategy

  • #3,481
  • Dec 27, 2011 2:19pm Dec 27, 2011 2:19pm
Quoting ronaldoaf
MA_P1 = Movin Average Pair 1 to price 1
MA_P2 = Moving Average Pair 2 to price 2
Dif_P1_P2 = Dif between MA_P1 - MA_P2.

The red line is the Dif_P1_P2 or Delta

The blue bars is the Average Delta.

Values ​​are pips.
I would need manual as it deals with a similar add alerts as StochasticDifferent.
  • #3,482
  • Dec 27, 2011 11:30pm Dec 27, 2011 11:30pm
Quoting ronaldoaf
MA_P1 = Movin Average Pair 1 to price 1
MA_P2 = Moving Average Pair 2 to price 2
Dif_P1_P2 = Dif between MA_P1 - MA_P2.

The red line is the Dif_P1_P2 or Delta

The blue bars is the Average Delta.

Values ​​are pips.
The most important value: when do you enter a trade?????
At which value of Dif_P1_P2 do you decide to enter a trade???
  • #3,483
  • Dec 28, 2011 3:49am Dec 28, 2011 3:49am
DiffEMA indicator is useless for negative correlation, because the invert set to true blue bars disappear.
  • #3,484
  • Dec 29, 2011 8:12am Dec 29, 2011 8:12am
Quoting Zaatar
But how do you read this indicator?
There was a question about mentioned EAs for this strategy:

CloseAll.mq4
this one is mentioned in post #2018

ArbitrageScannerI&.ex4
this one was referred as I remember, now
unfortunately I don't find the source any longer!

If anyone knows about this, would be helpful to add this in this thread again, I mentioned this one for myself with remark 'check if usable', so it wasn't used in this thread probably yet.

josch
trading is war - life is simple
  • #3,485
  • Dec 29, 2011 7:53pm Dec 29, 2011 7:53pm
Quoting pepekvyskoc
I would need manual as it deals with a similar add alerts as StochasticDifferent.
I'm making a indicator simpler than DiffEMA and I will put alerts.


Quoting Zaatar;
The most important value: when do you enter a trade?????
At which value of Dif_P1_P2 do you decide to enter a trade???
That depends on the pairs, the timeframe and volatility. I'm doing several tests. I'll post the results.
  • #3,486
  • Dec 29, 2011 8:49pm Dec 29, 2011 8:49pm
When dif > 40 "raw" pips away from MA then enter.
If dif > 50 enter another lot
If dif > 60 enter another lot.

Is "almost" impossible dif > 60
Obviusly we need a mathematical backtest for find average deviations of pairs, lets say EURUSD and GBPUSD.




Quoting ronaldoaf
I'm making a indicator simpler than DiffEMA and I will put alerts.




That depends on the pairs, the timeframe and volatility. I'm doing several tests. I'll post the results.
  • #3,487
  • Dec 29, 2011 11:45pm Dec 29, 2011 11:45pm
I look forward to the indicator.
  • #3,488
  • Dec 30, 2011 12:13pm Dec 30, 2011 12:13pm
Hi Ronaldo:
Please, if you can/wish, add difference too with Demarker (14) indi and Standart Deviation indi too.

I think we will have very accurate entries with this addons.

Thanks.


Quoting pepekvyskoc
I look forward to the indicator.
  • #3,489
  • Dec 30, 2011 4:59pm Dec 30, 2011 4:59pm
Quoting AlbertoFX
Hi Ronaldo:
Please, if you can/wish, add difference too with Demarker (14) indi and Standart Deviation indi too.

I think we will have very accurate entries with this addons.

Thanks.
That sounds good. I'll try
  • #3,490
  • Dec 30, 2011 11:30pm Dec 30, 2011 11:30pm
[quote=AlbertoFX;5237207]Dears: After following this thread almost 1 year I am playing with relative manual sucess changing stoch by EMA. Reason ? EMA move with price, Stoch do not move due is limiting from 0-100.

So, Somebody here can change the indi show 2 values of stoch to 2 values of MA ? Also, If you can, we need the numeric diference between :
MA_P1 = Movin Average Pair 1 to price 1
MA_P2 = Moving Average Pair 2 to price 2
Dif_P1_P2 = Dif between MA_P1 - MA_P2.[/QUOTi

that in your chart i saw on the corner, you have a current price, average price...is that indicator?
  • #3,491
  • Dec 31, 2011 9:07am Dec 31, 2011 9:07am
Dreamliner,
Hedge and Correlation Traders,

have a nice holiday and a Happy New Year!

josch
trading is war - life is simple
  • #3,492
  • Jan 1, 2012 4:06am Jan 1, 2012 4:06am
[quote=anjel2104;5258030]
Quoting AlbertoFX
Dears: After following this thread almost 1 year I am playing with relative manual sucess changing stoch by EMA. Reason ? EMA move with price, Stoch do not move due is limiting from 0-100.

So, Somebody here can change the indi show 2 values of stoch to 2 values of MA ? Also, If you can, we need the numeric diference between :
MA_P1 = Movin Average Pair 1 to price 1
MA_P2 = Moving Average Pair 2 to price 2
Dif_P1_P2 = Dif between MA_P1 - MA_P2.[/QUOTi

that in your chart i saw on the corner, you have a current price, average...
Why don't we have an indicator with both stock diff and MA diff ?
Then enter a trade when both agree.
  • #3,493
  • Jan 10, 2012 1:40am Jan 10, 2012 1:40am
why just don't open trade in one pair double lot size? instead trading correlated currency pairs same time?
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  • #3,494
  • Jan 10, 2012 5:48am Jan 10, 2012 5:48am
Quoting leandar_
why just don't open trade in one pair double lot size? instead trading correlated currency pairs same time?
leandar,

regarding this question there is simply and only one answer: read this thread starting at post #1.

josch
trading is war - life is simple
  • #3,495
  • Edited 9:54am Jan 10, 2012 7:45am | Edited 9:54am
Quoting ronaldoaf
I'm making a indicator simpler than DiffEMA and I will put alerts.
Hi Guys !
I couldn't improve the Diff EMA, but the AlbertoFX and I made a new indicator, the Zscore Diff 2 pairs. It's much better.

ZScore = (Close - MVA of Close)/ Stdev of Close;
Z Scope basically translate the movement of Price within the Bollinger Bands,
to move within a fixed, deviation channel.
Every time B.B. touches the channel, Z Scope do the same thing.

In our "Zscore Diff 2 pairs" have 3 lines:
Red line => Zscore of Pair 1
Blue line is => Zscore of Pair 2
Magenta line => (Zscore of Pair 1) - (Zscore of Pair 2) = Diff

In our trade system we are using the we are using the following rules:
Timeframe: 5min Pair: EURUSD and GBPUSP

If Diff> 1.7 Sell 1 lot EURUSD and Buy 1 lot of GBPUSD
If Diff> 2.1 Sell +1 lot of EURUSD and Buy +1 lot of GBPUSD
If Diff> 2.5 Sell +1 lot of EURUSD and Buy +1 lot of GBPUSD

If Diff<-1.7 Buy 1 lot of EURUSD and Sell 1 lot of GBPUSD
If Diff<-2.1 Buy +1 lot of EURUSD and Sell +1 lot of GBPUSD
If Diff<-2.5 Buy +1 lot of EURUSD and Sell +1 lot of GBPUSD

And you can add other levels


If the indicator crosses the zero line, close all orders.



=================================================================
I made an EA to conduct a forward test

Follow the test that is on a VPS
Login : 1255203
Investor : d8ax4xGg
Server : 208.116.40.197:443 (Fx Clearing Demo)
==================================================================

In just two days the result is already been amazing


My congratulations to this great idea for AlbertoFX
Attached File(s)
File Type: mq4 EA_Diff_ZScore.mq4   5 KB | 980 downloads
File Type: mq4 Diff ZScore 2 pairs.mq4   4 KB | 936 downloads
  • #3,496
  • Jan 10, 2012 8:44am Jan 10, 2012 8:44am
Quoting ronaldoaf
Hi Guys !
... Follow the test that is on a VPS ...
In just two days the result is already been amazing
My congratulations to this great idea for AlbertoFX
ronaldoaf,

thank you inviting for this. I'll follow for sure

josch
trading is war - life is simple
  • #3,497
  • Edited 9:37am Jan 10, 2012 9:00am | Edited 9:37am
Hmm,

I tried to get there, but connection always was rejected. Not sure, if it's a problem with my security or a real connection problem.

How's the normal going there?

https://IP
http://IP:443 or ??

Thank you
josch
trading is war - life is simple
  • #3,498
  • Jan 10, 2012 9:31am Jan 10, 2012 9:31am
Quoting josch
Hmm,

I tried to get there, but connection always was rejected. Not sure, if it's a problem with my security or a real connection problem.

How's the normal going there?

https://IP
http://IP:443 or ??

Thanky you
josch

Use the Metatrader 4:
Attached Images
  • #3,499
  • Jan 10, 2012 9:46am Jan 10, 2012 9:46am
ty
trading is war - life is simple
  • #3,500
  • Jan 10, 2012 9:46am Jan 10, 2012 9:46am
But you can also monitor for https://www.myfxbook.com/portfolio/zscore-hedge/220979



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