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Correlation Deviation

  • #1
  • First Post: Edited 8:40am May 11, 2012 8:26am | Edited 8:40am
This strategy focuses on deviations from predefined correlations. It's loosely based on triangular trading/arbitrage

Its a fully automated strategy.

Started on May 9th. Here's log results....
Start Balance : 50,000
Current balance: 52,284
Attached Image(s) (click to enlarge)
Click to Enlarge Name: trade1.JPG Size: 100 KB
Click to Enlarge Name: trade2.JPG Size: 108 KB
Click to Enlarge Name: trade3.JPG Size: 105 KB
  • #2
  • May 11, 2012 8:49am May 11, 2012 8:49am
Quoting fortiron
This strategy focuses on deviations from predefined correlations. It's loosely based on triangular trading/arbitrage

Its a fully automated strategy.

Started on May 9th. Here's log results....
Start Balance : 50,000
Current balance: 52,284
Hi mate, the results look pretty great! Do carry on... Want to know more!
  • #3
  • May 11, 2012 8:55am May 11, 2012 8:55am
Hey, looks great!!

Could you share the principles of the strategy?

Thanks in advance
  • #4
  • May 11, 2012 9:01am May 11, 2012 9:01am
Quoting burningmunke
Hi mate, the results look pretty great! Do carry on... Want to know more!

Thanks!

Here's a more detailed breakdown of how it works...

on each of the 3 symbols, i have 2 moving averages... one fast and one slow(er).

One all sets of MVA point in the same direction, it enters into a trade sequence.. either Buy/sell/buy or sell/buy/sell or sell/buy/buy ..etc

It shoots for a meager 12 pip of largest lot size for profit.

It's running on 15;1 leverage right now at max capacity, although usually only has about 6:1 out.
  • #5
  • May 11, 2012 9:05am May 11, 2012 9:05am
Quoting fortiron
Thanks!

Here's a more detailed breakdown of how it works...

on each of the 3 symbols, i have 2 moving averages... one fast and one slow(er).

One all sets of MVA point in the same direction, it enters into a trade sequence.. either Buy/sell/buy or sell/buy/sell or sell/buy/buy ..etc

It shoots for a meager 12 pip of largest lot size for profit.

It's running on 15;1 leverage right now at max capacity, although usually only has about 6:1 out.
Subscribed!

Am I right in assuming its an EA that you are referring to it being 'fully automated' and all? Mind sharing it as well as a set file so we can test it from our side as well?

Also, what kind of DD's does this get into on full capacity?

Thanks in advance!
  • #6
  • May 11, 2012 9:14am May 11, 2012 9:14am
Quoting burningmunke
Subscribed!

Am I right in assuming its an EA that you are referring to it being 'fully automated' and all? Mind sharing it as well as a set file so we can test it from our side as well?

Also, what kind of DD's does this get into on full capacity?

Thanks in advance!

I'm actually running it on FXCM TSII, so EA-like, but not technically.

I'm thinking about releasing it, however, not just yet. Want to play with it more myself

Max DD so far while running(even with a few faulty executions, was <1%)
  • #7
  • May 11, 2012 9:42am May 11, 2012 9:42am
Quoting fortiron
I'm actually running it on FXCM TSII, so EA-like, but not technically.

I'm thinking about releasing it, however, not just yet. Want to play with it more myself

Max DD so far while running(even with a few faulty executions, was <1%)
Wow, who could argue with those gains vs. drawdowns lol!

Well keep us posted mate - I would love to give it a shot!

Regards
  • #8
  • May 11, 2012 9:46am May 11, 2012 9:46am
I'm sure i'll run into a situation where i get clobbered on an open position... so far though, about 60 trades with no bad results. WOrst thing that happened was it double triggered an order once, and i ended up with twice the position i was supposed to.
  • #9
  • May 11, 2012 10:01am May 11, 2012 10:01am
Your corelation is not OK, look one exemple and are more than one , you have just lucky.
Attached Image (click to enlarge)
Click to Enlarge Name: 2012-05-11_Corelation OK.png Size: 59 KB


Quoting fortiron
This strategy focuses on deviations from predefined correlations. It's loosely based on triangular trading/arbitrage

Its a fully automated strategy.

Started on May 9th. Here's log results....
Start Balance : 50,000
Current balance: 52,284
  • #10
  • May 11, 2012 10:08am May 11, 2012 10:08am
Luca, what do you mean exactly?

not OK, because his AUDNZD lotsize is too big??? i feel the audnzd lotsize should be same as AUDUSD......

Quoting lucatony29
Your corelation is not OK, look one exemple and are more than one , you have just lucky.
Attachment
  • #11
  • May 11, 2012 10:12am May 11, 2012 10:12am
Quoting lucatony29
Your corelation is not OK, look one exemple and are more than one , you have just lucky.
Attachment

Sorry, i should have made it more clear -- its not a correlation of prices/expected prices -- it's a correllation of expected movements in currencies based. Lot sizing is a whole nother story
  • #12
  • May 11, 2012 10:21am May 11, 2012 10:21am
I think the problem is you have only buy aud, and if this are going down your trade it was with a massive negative number.
Quoting fortiron
Sorry, i should have made it more clear -- its not a correlation of prices/expected prices -- it's a correllation of expected movements in currencies based. Lot sizing is a whole nother story
  • #13
  • May 11, 2012 10:27am May 11, 2012 10:27am
Gotcha. Thanks for noticing that -- I'll look into the coding and see why it did that.
  • #14
  • May 11, 2012 10:42am May 11, 2012 10:42am
Try if you can corelation on Heating Oil with Gasoline or Indices.
You have EA for this corelation ?
Quoting fortiron
Gotcha. Thanks for noticing that -- I'll look into the coding and see why it did that.
  • #15
  • May 11, 2012 10:44am May 11, 2012 10:44am
Quoting lucatony29
Try if you can corelation on Heating Oil with Gasoline or Indices.
You have EA for this corelation ?

Unfortuatenly, i dont have a dynamic way to do this. At the beginning of the week, i input certain correlations manually into the code. Very crude to be honest.
  • #16
  • May 11, 2012 11:39am May 11, 2012 11:39am
Interesting. Thank you for sharing. So to confirm --

You have a basket of three correlated pairs?

You have a fast and slow MA on each [what period setting do you use?]

You wait till both MAs on each chart is moving in the same direction.

Then take a S/S/B or B/B/S trade (with the 2 in the direction of the trend, 1 against) -- to get in/out fast I guess.


Do I have that right? What TF are you using? I've looked at currency rings quite a bit on and off over the months.
  • #17
  • May 11, 2012 12:05pm May 11, 2012 12:05pm
Confirmed - yes

I'm currently using a 27 per and 20 per MA for this. This was chosen by doing various optimizations to the EA.

I am currently testing it on a 5 min time frame. I've had good results on the 15 min as well, but it doesn't generate enough trades to get a real feel for it... this time frame keeps it pretty active all day.
  • #18
  • May 11, 2012 2:02pm May 11, 2012 2:02pm
Excellent. Thank you for sharing this.

My first piece of advice is to avoid JPY pairs as the BOJ interventions can cause problems with these types of methods and/or delay closing the basket in my experience.

As others have mentioned are you trying to balance your basket by setting different lot sizes? It looks from your statement as if you are?

It would be wonderful if you could post some charts sometime to visually confirm your entries.

May the pips be with you.
  • #19
  • May 11, 2012 2:12pm May 11, 2012 2:12pm
Quoting r2997790
Excellent. Thank you for sharing this.

My first piece of advice is to avoid JPY pairs as the BOJ interventions can cause problems with these types of methods and/or delay closing the basket in my experience.

As others have mentioned are you trying to balance your basket by setting different lot sizes? It looks from your statement as if you are?

It would be wonderful if you could post some charts sometime to visually confirm your entries.

May the pips be with you.
Thanks for the advice. I'm avoiding all JPY pairs at the moment.

Currently only doing the two baskets.. Here's a shot of my Euro Trading..
Attached Image (click to enlarge)
Click to Enlarge Name: euro.JPG Size: 34 KB
  • #20
  • May 11, 2012 2:14pm May 11, 2012 2:14pm
Fortiron, what do you do about lot sizing with your pairs?

I assume you uses a basket like

EURUSD
GBPUSD
EURGBP
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