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Hedge and Correlation Strategy

  • #3,521
  • Jan 12, 2012 3:33am Jan 12, 2012 3:33am
Quoting josch
Lyk,

months ago I made a summary of Dreamliner's method (pdf). Let me your e-mail, and I'll send it to you, if you don't want to go through the posts, which would be best to get knowledge though. It is dated dec. 2011 and includes NOT the most recent changes/replenishments.

josch
[email protected]

Thank you
  • #3,522
  • Jan 12, 2012 3:35am Jan 12, 2012 3:35am
Quoting josch
leandar,

why do you think, this method has anything to do with this thread?

josch
did you notice he used gbp/chf, eur/gbp, eur/chf is correlated pairs

check his history trades
--------------------
  • #3,523
  • Edited 5:04am Jan 12, 2012 3:53am | Edited 5:04am
Quoting leandar_
did you notice he used gbp/chf, eur/gbp, eur/chf is correlated pairs ...
leandar,

you aren't by pure chance the 'millionar'?

checking his trades and so on:
Leverage 1:500
description technical / mixed
he's not opening pairs at the same time - so no sign of correlation/hedge
he's using 600 lots to tp at 2 pips - that's impossible to trade real
yesterday 5:38 pm he bought 1,150 lot EURCHF

this looks very/too nice
very impressive results
but I doubt, you will transfer it to reality (if the results are real anyway)

Your threads here in FF all going same direction - but have nothing to do with what we are doing here!

josch
trading is war - life is simple
  • #3,524
  • Jan 12, 2012 4:19am Jan 12, 2012 4:19am
josch, that was not my account in Myfxbook anyway.,
--------------------
  • #3,525
  • Jan 12, 2012 9:09am Jan 12, 2012 9:09am
Quoting josch
Lyk,

months ago I made a summary of Dreamliner's method (pdf). Let me your e-mail, and I'll send it to you, if you don't want to go through the posts, which would be best to get knowledge though. It is dated dec. 2011 and includes NOT the most recent changes/replenishments.

josch
send to me too please. write<dot>sal<at>gmail<dot>com
thanks
  • #3,526
  • Jan 13, 2012 3:45am Jan 13, 2012 3:45am
Quoting ronaldoaf
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.
Thanks for this Indi and EA. I am interested in the correlation for a long time and the idea of the standard deviation is the perfect!

In your EA and Indi I foung bug i code:
In your calculation moving average is wrong parameter MODE_CLOSE
Inserted Code
 MA_1 = iMA(Symbol(),0,Period_,0,MODE_SMA,MODE_CLOSE,0);
 MA_2 = iMA(Second_Pair,0,Period_,0,MODE_SMA,MODE_CLOSE,0);
this parameter for iMA is applied_price should be PRICE_CLOSE and not MODE_CLOSE.
MODE_CLOSE is represents int value 3 which in the parameter applied_price means PRICE_LOW.

Correct code is:
Inserted Code
 MA_1 = iMA(Symbol(),0,Period_,0,MODE_SMA,PRICE_CLOSE,i);
 MA_2 = iMA(Second_Pair,0,Period_,0,MODE_SMA,PRICE_CLOSE,i);
  • #3,527
  • Jan 13, 2012 6:03am Jan 13, 2012 6:03am
Quoting luku
Thanks for this Indi and EA. I am interested in the correlation for a long time and the idea of the standard deviation is the perfect!
...
Coders,

professionals entering this thread again
(I'm not of those ones).

Would be nice, if ronaldoaf give some details (I believe, I hadn't overlooked reading back - or was it mentioned already?).

Following the still promising results, there was a change in comments. Did the EA changed too?

Luku, was your checked code possibly responsible for doubling trade execs?

Thank you
josch
trading is war - life is simple
  • #3,528
  • Jan 13, 2012 7:45am Jan 13, 2012 7:45am
Quoting luku
Thanks for this Indi and EA. I am interested in the correlation for a long time and the idea of the standard deviation is the perfect!

In your EA and Indi I foung bug i code:
In your calculation moving average is wrong parameter MODE_CLOSE
Inserted Code
 MA_1 = iMA(Symbol(),0,Period_,0,MODE_SMA,MODE_CLOSE,0);
 MA_2 = iMA(Second_Pair,0,Period_,0,MODE_SMA,MODE_CLOSE,0);
this parameter for iMA is applied_price should be PRICE_CLOSE and not MODE_CLOSE.
MODE_CLOSE is represents int value 3 which in the parameter applied_price means PRICE_LOW.

Correct...


--

Thank you, this is a big bug. Let me fix it.


I'm putting comments in the indicator value "Diff zscores" and [(ADX pair 1) + (ADX pair 2)] / 2 for statistical purposes
  • #3,529
  • Jan 13, 2012 8:05am Jan 13, 2012 8:05am
Hi all! I am from the Czech Republic. Trying to trade the forex, I do not understand this strategy too, could anyone help me and explain? I enclose a picture.
Attached Image (click to enlarge)
Click to Enlarge Name: strategy.JPG Size: 201 KB
  • #3,530
  • Jan 13, 2012 9:48am Jan 13, 2012 9:48am
Quote
I have decided to continue to trade this method live, exactly as presented on page 1, with one small variation: I'm now looking for "hooks" to trade (see attachment). This means that when the "difference" takes a trip above 80 percent we wait for it to close above 80 and begin a trip back home, thereby forming a "hook". We then open our positions at that point.
First post...and I gotta say I'm "hooked" with Dreamliner's latest hook technique and the overall trading strategy founded by him. Easy and precise.

DL, please keep posting. This thread needs your valuable input.
  • #3,531
  • Jan 13, 2012 11:12am Jan 13, 2012 11:12am
Quoting Cheezy
Hi all! I am from the Czech Republic. Trying to trade the forex, I do not understand this strategy too, could anyone help me and explain? I enclose a picture.
Cheezy,

if you don't understand it, don't trade it - often enough said. Read post #1, the hedge is fully explained there and follow the posts as mentioned. If you want to have a summary, let me know your e-mail address, I made a PDF-summary of this strategy (see above too).

But - check what is going on there, this is compulsory, before putting the EAs on a chart.

josch
trading is war - life is simple
  • #3,532
  • Jan 13, 2012 8:22pm Jan 13, 2012 8:22pm
I believe the basic way the hedge funds hedge pairs is based on the fraction of the value of pair 1 to pair 2.

For example if Pair1 is $1.2 and Pair2 is $0.9.

Pair1air2 ratio is 4:3

In order for the hedge to be cash neutral as possible, it is hedged in the inverse ratio.

So the hedge combination is 3 lots of Pair1 and 4 lots of Pair2.
  • #3,533
  • Edited 8:54am Jan 14, 2012 8:42am | Edited 8:54am
Quoting luku
Thanks for this Indi and EA. I am interested in the correlation for a long time and the idea of the standard deviation is the perfect!

In your EA and Indi I foung bug i code:
In your calculation moving average is wrong parameter MODE_CLOSE
Inserted Code
 MA_1 = iMA(Symbol(),0,Period_,0,MODE_SMA,MODE_CLOSE,0);
 MA_2 = iMA(Second_Pair,0,Period_,0,MODE_SMA,MODE_CLOSE,0);
this parameter for iMA is applied_price should be PRICE_CLOSE and not MODE_CLOSE.
MODE_CLOSE is represents int value 3 which in the parameter applied_price means PRICE_LOW.

Correct...

Version with bug fixed and code refactoring
Thank you


P.S.

Look at the statistics on http://www.myfxbook.com/members/rona...e-hedge/220979

Longs Won: (66/98) 67%
Shorts Won: (53/97) 54%

It may be because I use the Low Price.
Attached File(s)
File Type: mq4 Zscore Diff.mq4   6 KB | 922 downloads
  • #3,534
  • Jan 14, 2012 8:47am Jan 14, 2012 8:47am
Indicator with bug fix
Attached File(s)
File Type: mq4 Diff ZScore 2 pairs.mq4   4 KB | 1,192 downloads
  • #3,535
  • Jan 14, 2012 9:03am Jan 14, 2012 9:03am
Quoting ronaldoaf
Indicator with bug fix
Hi Ronaldoaf,

I have been trading this system a long time ago and thanks to your EA this week I've been testing it live and results were exactly as your demo account (well, a bit better due to a better spread and better execution).

Anyway, waiting for Sunday for testing your corrected version.

Thank you very much to you and to AlbertoFX and to everyone who still has faith in this strategy.

PD: DL, come back......
  • #3,536
  • Jan 14, 2012 9:50am Jan 14, 2012 9:50am
Thanks so much to Ronaldo for coding the idea of Zcore.
May be good idea add "the version" of EA and Indicator each time that it released. For example:

Diff_Zcore_V2
EA_Diff_Zcore_V3

Waiting for Sunday for live testing ;-)




Quoting Caillou
Hi Ronaldoaf,

I have been trading this system a long time ago and thanks to your EA this week I've been testing it live and results were exactly as your demo account (well, a bit better due to a better spread and better execution).

Anyway, waiting for Sunday for testing your corrected version.

Thank you very much to you and to AlbertoFX and to everyone who still has faith in this strategy.

PD: DL, come back......
  • #3,537
  • Jan 14, 2012 9:53am Jan 14, 2012 9:53am
Do you have statistics?
Also, wich broker did you used?
Thanks!


Quoting Caillou
Hi Ronaldoaf,

I have been trading this system a long time ago and thanks to your EA this week I've been testing it live and results were exactly as your demo account (well, a bit better due to a better spread and better execution).

Anyway, waiting for Sunday for testing your corrected version.

Thank you very much to you and to AlbertoFX and to everyone who still has faith in this strategy.

PD: DL, come back......
  • #3,538
  • Jan 14, 2012 11:12am Jan 14, 2012 11:12am
Quoting AlbertoFX
Do you have statistics?
Also, wich broker did you used?
Thanks!
Hi

Sorry, I'm not going to post my fxbook report since it is a live account but you can be sure that results are exactly the same as the demo account, just 1-2 pips more profit for each basket closed.

My broker is FinFX PRO ECN account, spread aorund 0.4-0.8 for EUR/USD and commision is balanced with Forextradingchoice IB program (0.5.-$ /lot).

Cheers
  • #3,539
  • Jan 14, 2012 12:35pm Jan 14, 2012 12:35pm
anyone Analise http://www.olsenscale.com/

there is list of SMQ volume details, sometime this will help maximum utilization of correlation trading

ex:

> eur/chf + usd/chf = eur/usd + gbp/usd = eur/gbp + chf/jpy = eur/chf <

so the currency start in eur/chf end in eur/chf

6 currency pairs are correlated
--------------------
  • #3,540
  • Jan 14, 2012 5:48pm Jan 14, 2012 5:48pm
Hi josch!

I do not want to use the EA, I want to trade manually. I just want to know how and when to use the steam to enter the buy / sell order to have profit.
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