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Overlay Positive Hedging EA

  • #261
  • May 16, 2012 7:01am May 16, 2012 7:01am
Dear Mahanxiong, maybe I should explain better...I told you already that you are right...but the system works exactly buying and selling in the meantime the same pair EG, perfectly hedged, but not directly, beside the correlated pairs EU and GU. And this is not exactly the same.
"If you want something go down, let it go up first" Lao-Tzu
  • #262
  • May 16, 2012 7:32am May 16, 2012 7:32am
Quoting iwjw
for (int l_pos_16 = 0; l_pos_16 < OrdersTotal(); l_pos_16++) doesn't work correctly...the loop has to be the other way round:
for (int l_pos_16 = OrdersTotal()-1; l_pos_16>=0; l_pos_16--)

Imagine you have two open orders that are to be closed
These orders carry the index 0 and 1
If you close the first order (index=0) the remaining order would automatically be assigned index=0...so your loop with l_pos_16=1 wouldn't get that order and it would stay open
yes...u right..i show sample only..

Can u make modify this EA for check orphans orders...?
  • #263
  • May 16, 2012 8:53am May 16, 2012 8:53am
simi, if it is same, it is same in every aspects.

very simple way to find out:

put up a demo account, buy 0.1 lot eu, sell 0.08 lot gu; then sell 0.1 lot eg.

this is a perfect hedge (with a few cents unmatched).

if they are different, you'll see a loss or profit. but you won't be able to see it!

i really wish you can show me a proof that "they are different".

Quoting Simihouse
Dear Mahanxiong, maybe I should explain better...I told you already that you are right...but the system works exactly buying and selling in the meantime the same pair EG, perfectly hedged, but not directly, beside the correlated pairs EU and GU. And this is not exactly the same.
  • #264
  • May 16, 2012 8:53am May 16, 2012 8:53am
Quoting paulss
Reason of Big DD
If you run this EA for a time period, say few days later. You will found a lot of Big DD in the open trade. One of the reason I know is we use the wrong ADR Ratio in the second couple pair. but this will ONLY apply to the 2 pair currency are highly correlated condition.
Hello everyone,

I am watching this thread siliently from couple of days.

Already doing demo trading of this.

And above statement made is absolutely correct in my opinion.
  • #265
  • May 16, 2012 8:55am May 16, 2012 8:55am
That ADR is also confusing to many.

The real reason of 0.8 is simply because eurgbp = 0.80xx.

Quoting Simihouse
Sorry Paulss, but in this way the trades are unmbalanced. The ADR value should be the same for each pair of the couple. in the original settings the EU has an ADR slightly higher than GU so the lots are calculated in a 0.8 ratio:

Buy 1 lot EU
Sell 0.8 lots GU
Sell 1 lot EU
Buy 0.8 lots GU

in this way the hedge is balanced.
  • #266
  • May 16, 2012 9:08am May 16, 2012 9:08am
Quoting vastavista
And code close All....

[code]void CloseAll() {
double l_ask_0;
double l_bid_8;
for (int l_pos_16 = 0; l_pos_16 < OrdersTotal(); l_pos_16++) {
if (OrderSelect(l_pos_16, SELECT_BY_POS, MODE_TRADES) == TRUE) {
if (OrderSymbol() == Pair1 || OrderSymbol() == Pair2 && (OrderMagicNumber() >= Magic && OrderMagicNumber() <= Magic + 500) && OrderCloseTime() == 0) {
l_ask_0 = MarketInfo(OrderSymbol(), MODE_ASK);
l_bid_8 = MarketInfo(OrderSymbol(), MODE_BID);
if (OrderType() == OP_BUY) {...
Based on what parameter do you want to CloseAll orders?
  • #267
  • May 16, 2012 9:19am May 16, 2012 9:19am
Just so you all know, for my manual strategy, I use equal lots of EU and GU, so 1.0 buy on one 1.0 sell on the other, because a pip is $1 on each.
Too close for pips, switching to points.
  • #268
  • Edited 10:31am May 16, 2012 10:03am | Edited 10:31am
Quoting vastavista
yes...u right..i show sample only..

Can u make modify this EA for check orphans orders...?
sorry, but I'm not going to make any changes in the code
- it's only a decompiled version and so it's hard to read
- it's not BTable and so it could take a lot of time to see whether a "bug" was fixed or not, or whether a bugfixing resulted in producing a new bug

as I posted earlier I made several tests with MT5 and wasn't satisfied with the results. Currently we are in a trend and if you're on the right side, this concept will make money. But there will come some extreme unfavorable market conditions where DD becomes a big big issue and then you have to decide
But I like this concept in general and that's why I'm here. Looking for inspiration and maybe a single post will shed some light upon the missing piece of the puzzle
  • #269
  • May 16, 2012 10:35am May 16, 2012 10:35am
my local PC version statement, pls refer to my earlier posts regarding directional trades that were taken that have contributed to the profit. Standard Paulss settings now being used again after those trades were closed out.
Attached File(s)
File Type: pdf DetailedStatement11.pdf   784 KB | 792 downloads
Skype: heliosphan187
  • #270
  • May 16, 2012 10:51am May 16, 2012 10:51am
Good point, can anyone starting out new demo's try it on equal lot sizes as mentioned by thepipster? I'll set some on my vps as well, getting all of my test accounts on mt4i so I don't have to keep posting statements manually.

Quoting Thepipster
Just so you all know, for my manual strategy, I use equal lots of EU and GU, so 1.0 buy on one 1.0 sell on the other, because a pip is $1 on each.
Skype: heliosphan187
  • #271
  • May 16, 2012 11:31am May 16, 2012 11:31am
Quoting skipperxit
Yes, the v2 on first post still lack return(Ticket); on SendSell() routine
Fixed by myself

skipper
DB - here is a correction to the code fixing SendSell(...) regarding return(Ticket). Sorry for the oversight.

KingHigh
Attached File(s)
File Type: mq4 KH Overlay Positive Hedging v3.mq4   27 KB | 1,189 downloads
  • #272
  • May 16, 2012 4:24pm May 16, 2012 4:24pm
Quoting charvo
simi, if it is same, it is same in every aspects.

very simple way to find out:

put up a demo account, buy 0.1 lot eu, sell 0.08 lot gu; then sell 0.1 lot eg.

this is a perfect hedge (with a few cents unmatched).

if they are different, you'll see a loss or profit. but you won't be able to see it!

i really wish you can show me a proof that "they are different".
I've done exactly this. See the screenshot. The red lines are the ask line, so one can see the spreads in the pairs (it's around 3 pips for EU and around 4 pips for GU and EG). So combined when I opened the trades there was a starting 11 USD loss due to the spreads, now it's in -21 USD. So something is not working, only 45 mins elapsed since I opened the trades and there is a loss already (it's keep growing as I'm typing this).

On another chart (and another broker) I keep tracking the gap between EU/GU with indicators and the simple overlay with vitrite. At the time when I opened the trades there was around a 16 pip gap between the 2 pairs (measured on the EU chart), and now it's around 13 pips. So on the EU/GU sell/buy there would be a 3 pip gain in this 45 mins and on the EG there would be a 0.2 pip loss (not counting the spreads).
Attached Image (click to enlarge)
Click to Enlarge Name: Képerny?fotó 2012-05-16 - 23.11.57.png Size: 55 KB
  • #273
  • May 16, 2012 4:52pm May 16, 2012 4:52pm
from -11 to -21 that's a huge gap.

that kind of market inefficiency is unbelievable. is ur demo account's capital based in USD or EUR? when we say 0.1 vs 0.08, it has to be USD-based accounts.

if trading 0.1 lot, i do see a few dollars inefficiency now and then, but not enough to make profit of it. but ur -11 to -21, that's a huge advantage that we can use if that's often seen.

Quoting Zool
I've done exactly this. See the screenshot. The red lines are the ask line, so one can see the spreads in the pairs (it's around 3 pips for EU and around 4 pips for GU and EG). So combined when I opened the trades there was a starting 11 USD loss due to the spreads, now it's in -21 USD. So something is not working, only 45 mins elapsed since I opened the trades and there is a loss already (it's keep growing as I'm typing this)..
  • #274
  • Edited 6:20pm May 16, 2012 5:31pm | Edited 6:20pm
I think an example from statistics can put to rest concerns related to eur/gbp trading and the broader hedge system. Even if you don't care about this program, spss, watch these videos to get a better idea of the principles behind what we are discussing

Pearson correlation: From my understanding, this is the basic visual 1 to 1 correlation (or inverse correlation) principle we use on chart overlays. It is the basic method:

http://how2stats.blogspot.com/2011/1...tion-spss.html

Partial correlation: Correlating 2 sets of time series while controlling for the effects of a third:

http://how2stats.blogspot.com/2011/1...tion-spss.html

We are talking about 2 different kinds of correlation when we talk of correlation between EU /GU and correlation between EU /GU while controlling for the effects eurgbp may have. 2 different kinds of statistical comparisons. One method is not necessarily any better than the other, it is just a different type of study using more data.

Therefore I think we can only stay concerned with the movements of EU / GU.

Quoting Zool
I've done exactly this. See the screenshot. The red lines are the ask line, so one can see the spreads in the pairs (it's around 3 pips for EU and around 4 pips for GU and EG). So combined when I opened the trades there was a starting 11 USD loss due to the spreads, now it's in -21 USD. So something is not working, only 45 mins elapsed since I opened the trades and there is a loss already (it's keep growing as I'm typing this).

On another chart (and another broker) I keep tracking the gap between EU/GU with indicators and the simple overlay with...
Skype: heliosphan187
  • #275
  • May 16, 2012 5:45pm May 16, 2012 5:45pm
No problem thanks for the update, it's now in post #1.

Quoting KingHigh
DB - here is a correction to the code fixing SendSell(...) regarding return(Ticket). Sorry for the oversight.

KingHigh
Skype: heliosphan187
  • #276
  • May 16, 2012 5:50pm May 16, 2012 5:50pm
The equity curves aren't looking that bad, if there weren't the ugly spikes
Depending on when you started, a downspike could lead to a 50+% DD of your starting balance.
The test was eurusd vs. gbpusd with a layer distance of 50pips (average down only) and a basket takeprofit of $100
Initial balance $10K and 0.1 lots for both pairs - year to date
The upper graph is showing long eurusd/short gbpusd and the lower the other way round
Attached Image(s) (click to enlarge)
Click to Enlarge Name: long_eu_short_gu_50pips.png Size: 19 KB
Click to Enlarge Name: long_gu_short_eu_50pips.png Size: 18 KB
  • #277
  • May 16, 2012 6:07pm May 16, 2012 6:07pm
not bad, but is this MT5 EA a direct conversion from the original EA? is this for 1H timeframe or 1Minute timeframe?

Quoting iwjw
The equity curves aren't looking that bad, if there weren't the ugly spikes
  • #278
  • May 16, 2012 6:12pm May 16, 2012 6:12pm
Yes, but looking good!!! Did you use any of the code from the converted version or did you write it from scratch?

Quoting iwjw
The equity curves aren't looking that bad, if there weren't the ugly spikes
Depending on when you started, a downspike could lead to a 50+% DD of your starting balance.
The test was eurusd vs. gbpusd with a layer distance of 50pips (average down only) and a basket takeprofit of $100
Initial balance $10K and 0.1 lots for both pairs - year to date
The upper graph is showing long eurusd/short gbpusd and the lower the other way round
Skype: heliosphan187
  • #279
  • May 16, 2012 6:24pm May 16, 2012 6:24pm
it's "my own" EA but based on the same grid principle
There's no entry criteria so the EA opens the hedge as soon as it's started
After TP for a basket is reached the next hedge is opened directly after closure...and here's the first point that doesn't make sense
why close the basket if you're afterwards going to trade the same direction anyway
missing the piece of the puzzle...
  • #280
  • May 16, 2012 6:33pm May 16, 2012 6:33pm
Well jus tbecause you enter on a grid doesn't mean you have to exit on a grid.. Dare I, for the first time on the thread bring up an indicator. But maybe you can use the EA to check the pair that is in profit. For the profitable pair, check it against a Laguerre indicator. For Laguerre, when price crosses above .15 buy, crosses below .75 sell. It can be very accurate for manual trading. So maybe an mt5 version of this could be used to stay profitable trade pairs??

Quoting iwjw
it's "my own" EA but based on the same grid principle
There's no entry criteria so the EA opens the hedge as soon as it's started
After TP for a basket is reached the next hedge is opened directly after closure...and here's the first point that doesn't make sense
why close the basket if you're afterwards going to trade the same direction anyway
missing the piece of the puzzle...
Attached File(s)
File Type: ex4 Laguerre.ex4   3 KB | 849 downloads
Skype: heliosphan187
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