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Hedge and Correlation Strategy

  • #3,541
  • Jan 15, 2012 8:24am Jan 15, 2012 8:24am
Quoting Cheezy
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.
Cheezy,

I understand, but the advice will be the same - you have to know, what to do and best is reading the thread starting with post #1.

The idea is, that correlating pairs moving away and back together - aka 'going home'. So simply you have to measure the correlation and 1st movement to exec a trade on both pairs, one short, the other long, to wait until the correlation is coming back home to average. That's it in 2 short sentences - a KISS strategy.

josch
trading is war - life is simple
  • #3,542
  • Jan 15, 2012 9:20am Jan 15, 2012 9:20am
here is correlation draw 4 times, is there more correlations between this 9 currency pairs ?

http://i.imgur.com/eLhu8.png
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  • #3,543
  • Jan 15, 2012 12:30pm Jan 15, 2012 12:30pm
Quoting AlbertoFX
Do you have statistics?
Also, wich broker did you used?
Thanks!
The Exness has tight spreads end great execution too. It's my preferred broker. I'm using "FXClearing" because fixed-spread testing becomes simpler.
  • #3,544
  • Jan 15, 2012 4:30pm Jan 15, 2012 4:30pm
I understand, thank Josch.

Will you tell me how to use two pairs?
How do I measure colleration please?
  • #3,545
  • Jan 16, 2012 4:19am Jan 16, 2012 4:19am
Quoting Cheezy
I understand, thank Josch.

Will you tell me how to use two pairs?
How do I measure colleration please?
Cheezy,

see post #1
There are only 5 steps to trading this successfully:

and go on continuing there, if you have specific questions, please free free to ask.

josch
trading is war - life is simple
  • #3,546
  • Jan 16, 2012 4:33am Jan 16, 2012 4:33am
BIG thank you for the EA!
Great Work!!

One quick question,
i used the new version but is it suppose to be like one shown in the picture? it made 10 trades, when it suppose to trade only two(i think)..

Regards,
J
Attached Image (click to enlarge)
Click to Enlarge Name: untitled.JPG Size: 156 KB
  • #3,547
  • Jan 16, 2012 4:34am Jan 16, 2012 4:34am
Good morning,

Has anyone noticed that the last version is performing worst than first version?
Maybe there is a big bug in first version of Ronaldo´s EA, but the results today are better.
I´m not a coder but ......I only care about results.....
  • #3,548
  • Jan 16, 2012 4:52am Jan 16, 2012 4:52am
Quoting Caillou
Good morning,

Has anyone noticed that the last version is performing worst than first version?
Maybe there is a big bug in first version of Ronaldo´s EA, but the results today are better.
I´m not a coder but ......I only care about results.....

I think the second is equal to the first. 80 pips today
  • #3,549
  • Jan 16, 2012 4:52am Jan 16, 2012 4:52am
Quoting Caillou
Good morning,

Has anyone noticed that the last version is performing worst than first version?
Maybe there is a big bug in first version of Ronaldo´s EA, but the results today are better.
I´m not a coder but ......I only care about results.....
If I have made correct calculations, since 8h00 (Frankfurt time) :

1º version: 68 pips
2º version: 16 pips
  • #3,550
  • Jan 16, 2012 4:54am Jan 16, 2012 4:54am
Quoting Caillou
If I have made correct calculations, since 8h00 (Frankfurt time) :

1º version: 68 pips
2º version: 16 pips
Ronaldo, your demo test is still with 1º version, right?

Thank you
  • #3,551
  • Jan 16, 2012 4:55am Jan 16, 2012 4:55am
Quoting josch
Cheezy,

see post #1
There are only 5 steps to trading this successfully:

and go on continuing there, if you have specific questions, please free free to ask.

josch
i read the system

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.

so EUR/USD sell at 80% USD/CHF bought at 20% lot size 1

why not sell EUR/USD only 2 lot in 80% or why not buy USD/CHF 2 lot instead buy and sell together?
--------------------
  • #3,552
  • Jan 16, 2012 5:00am Jan 16, 2012 5:00am
Quoting Caillou
If I have made correct calculations, since 8h00 (Frankfurt time) :

1º version: 68 pips
2º version: 16 pips

Really much better. Thanks for your help in testing


I'm also testing a third version.

with

iDiff (PRICE_LOW) <-1.7 Buy EURUSD and SellGBPUSD
iDiff (PRICE_HIGH)> 1.7 Sell EURUSD and BuyGBPUSD


And so on
  • #3,553
  • Jan 16, 2012 5:01am Jan 16, 2012 5:01am
Quoting Caillou
Ronaldo, your demo test is still with 1º version, right?

Thank you
No, It's with 2º version
  • #3,554
  • Jan 16, 2012 5:07am Jan 16, 2012 5:07am
Quoting ronaldoaf
No, It's with 2º version
Now I´m really confused. Last week my live results were exactly with your demo with 1º version and today I don´t understand how it is possible such a big difference with 2º version between your demo and my live test..............
  • #3,555
  • Jan 16, 2012 6:05am Jan 16, 2012 6:05am
Quoting Caillou
Now I´m really confused. Last week my live results were exactly with your demo with 1º version and today I don´t understand how it is possible such a big difference with 2º version between your demo and my live test..............
The main difference comes from a basket closed this morning, a few trades tiggered by my broker a few minutes before the demo (maybe 1-2 pips and a level is reached with a broker and not with another)...

Anyway, it is performing nicely.......

Thank you Ronaldo
  • #3,556
  • Jan 16, 2012 6:20am Jan 16, 2012 6:20am
Quoting leandar_
i read the system

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.

so EUR/USD sell at 80% USD/CHF bought at 20% lot size 1

why not sell EUR/USD only 2 lot in 80% or why not buy USD/CHF 2 lot instead buy and sell together?
leandar,

this is alway the same question of those, who don't understand the basket principle. If you are only buying/selling one pair and the pair goes wrong direction, you'll lose. If you are buying/selling 1 basket (2 pairs), price may go in any direction, you always will make a profit, as long as the correlation is going home.

josch
trading is war - life is simple
  • #3,557
  • Jan 16, 2012 6:20am Jan 16, 2012 6:20am
Quoting Caillou
Now I´m really confused. Last week my live results were exactly with your demo with 1º version and today I don´t understand how it is possible such a big difference with 2º version between your demo and my live test..............
I think the difference is small. Because in my test, I made 74 pips since 8:00 am CET
  • #3,558
  • Jan 16, 2012 6:22am Jan 16, 2012 6:22am
Thanks.

I want to ask if I can use this strategy in pairs EURUSD / USDCHF.
They are still facing each other. I enclose a picture.
Attached Image (click to enlarge)
Click to Enlarge Name: eurusdusdchf.JPG Size: 128 KB
  • #3,559
  • Jan 16, 2012 6:26am Jan 16, 2012 6:26am
Quoting ronaldoaf
I think the difference is small. Because in my test, I made 74 pips since 8:00 am CET
It depends if a level is reached for a broker and not for another but in the long run, results must be similar.....,.
  • #3,560
  • Jan 16, 2012 6:43am Jan 16, 2012 6:43am
Quoting Cheezy
Thanks.

I want to ask if I can use this strategy in pairs EURUSD / USDCHF.
They are still facing each other. I enclose a picture.
Yes, But you must invert the USDCHF.

Ex USDCHF = 0.9500 CHFUSD= 1/0.9500 = 1.0526
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