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Overlay Positive Hedging EA

  • #301
  • May 17, 2012 11:08am May 17, 2012 11:08am
Hi Scooby thanks for your valuable input. I thnk it's important to make a distinction here. Pairs trading does work, this implementation might be flawed for longer term trading. But I think now most of the close followers of the thread understand how it is trying to work, that is the most important part. The way I see it, just a matter of getting the EA coded properly, to "hedge the hedge" .. to limit drawdowns.

Other approaches could be temporary directional trading at certain times as I've shown.

Quoting scooby-doo
It doesnt work mid to long term. The reason it may work now is down to what is happening in the market and allot of luck.

Wait and see what happens when the carry trade unwinds. Your accounts will be empty in a short period of time.

You need to work out what is the carry trade in a given period. Yes, the big boys do it but they have the benefit in knowing what carry trade to use based on interest rate differentials between say USD, JPY etc etc.

A strategy in which an investor[i][b]...
Skype: heliosphan187
  • #302
  • May 17, 2012 12:33pm May 17, 2012 12:33pm
Quoting scooby-doo
It doesnt work mid to long term. The reason it may work now is down to what is happening in the market and allot of luck.

Wait and see what happens when the carry trade unwinds. Your accounts will be empty in a short period of time.

You need to work out what is the carry trade in a given period. Yes, the big boys do it but they have the benefit in knowing what carry trade to use based on interest rate differentials between say USD, JPY etc etc.

A strategy in which an investor[i][b]...
Thanks for your insight Scoobs (my nick name in High School). Where can you find out more about the carry trade.
  • #303
  • Edited 1:14pm May 17, 2012 1:10pm | Edited 1:14pm
hey i understand alot of the trading strategies that go into a forex system but im still having trouble with understand what i need to do to "properly" adjust my settings in the indicators parameters in my example i was looking for settings for a 5 minute chart because from my backtesting i looked at it has the capabilities to show a trend and still give fast results due to a 5 minute chart (please excuse my nieveness) lol but like if anyone could help me on setting parameters for a 5 minute indicators for the chart it would be much appreciated.
  • #304
  • May 17, 2012 4:34pm May 17, 2012 4:34pm
Hi Charvo...

1. Can you give a bit more detailed explaination here of this again please?

2. Am I correct in you saying that EU = 1 lot and GU = 0.8 lot (is this right for buy and sell, i.e if you buy or sell GU, it will always GU = 0.8 lot?



Quoting charvo
u missed the lotsize, probably.

it should be (1 eu + 0.8) gu vs 1 eg.

therefore, 51 - 111*0.8 = 37.8 pip (eu gu) vs 24 pip (eg)

now consider pip-value:

1 pip eu = 1 pip gu = 1$.

1 pip eg = 1$ * 1.27 (current eu price)/0.80xx (current eg price) = 1.58 $ (in fact, gbp's usd price)

now calculate:

37.8 * 1 (eu gu) = 37.8 $

24 * 1.58 (eg) = 37.9 $

what's the difference here??? just a few cents.......

funny thing is ppl wouldn't believe what i'm keep posting. most...
  • #305
  • May 17, 2012 4:50pm May 17, 2012 4:50pm
See results, DD has been very low since starting fresh EDIT: tuesday.

Something weird is happening recently though, it has started to open 3 trades at a time again. Look at the trades from the 17th and the opens. Doesn't make sense, maybe I somehow triggered a bug when I removed the extra EA I added by mistake. That shouldn't matter 4 days later though.. Can't argue with profit. Posted .set file from my local PC version to post #1.
Attached File(s)
File Type: pdf DetailedStatement99.pdf   861 KB | 848 downloads
Skype: heliosphan187
  • #306
  • Edited 6:02pm May 17, 2012 5:20pm | Edited 6:02pm
Next week I will try 2 new things:


a) Equal lot sizes.
b) Timing the start of the EA AND close of all trades according to mean reversion of 3 pairs: EU / GU / UC using R.

Why UC? Cause I've found for the majors, these 3 are generally the most correlated across most TF's. so..


I will start the EA when a new trading week has started AND:

The blue line from R has moved at least 1 standard deviation from its previous point. By the time either the next standard deviation starts getting hit or you are in sufficient profit to close all trades and make good profit, close all trades. Stop the EA. Then wait for the next standard deviation to get hit, turn it on again... etc.

Remember, correlation is just a statistical calculation. The DELTA of correlation is what makes us money. We don't want to be in the midst of a huge consolidation when turning on the EA, I think using mean reversion of the dollar may prevent this. For more information on using mean reversion in R, see this:
https://sites.google.com/site/prof7b...r-metatrader-4
http://www.forexfactory.com/showthread.php?t=262827

Will find out next week if this can make a difference. Not sure what TF to load R with yet still researching.

Observe that attached is an hourly chart (it's hard to make out the time scales compared to MT charts), suffice it to say since before Tuesday we just entered a new standard deviation level for these correlated pairs.. AND turning the EA on around this time has resulted in profit with extremely low DD.

On the attached, DD did spike some, but is now nearly flat. I could close out all trades and walk out with a tidy 2 day profit and wait till next week to turn it on again.
Attached Image (click to enlarge)
Click to Enlarge Name: arbo-EGU.png Size: 85 KB
Attached File(s)
File Type: pdf DetailedStatementll.pdf   317 KB | 585 downloads
Skype: heliosphan187
  • #307
  • May 17, 2012 9:19pm May 17, 2012 9:19pm
Attached Image (click to enlarge)
Click to Enlarge Name: EG1_arbo.jpg Size: 83 KB


See this, just eurusd and gbpusd, different chart when calculated but basically giving the same info just inverted from the above chart. Sine it looks to be bouncing off the 2nd lower standard deviation, may be an opportune time to start the EA fresh.
Skype: heliosphan187
  • #308
  • May 17, 2012 9:41pm May 17, 2012 9:41pm
Attached Image (click to enlarge)
Click to Enlarge Name: 1mins.jpg Size: 93 KB


With 1 min data. Probably best to use...See how wide the standard deviations go as much as 6. Wonder what would happen if you start the EA at those extended levels.. VS. right at the mean, this I'm not sure of will be sure to pay closer attention to drawdown at the different levels. Encourage everyone to setup this tool
Skype: heliosphan187
  • #309
  • May 17, 2012 10:05pm May 17, 2012 10:05pm
Anyone look at spread trading commodities? Attached is a spread chart for Wheat vs. KC Wheat. Seems like it would allow you to average in if your initial position moves against you.
Attached Image (click to enlarge)
Click to Enlarge Name: Wheat_KC_Wheat.png Size: 69 KB
  • #310
  • May 17, 2012 10:12pm May 17, 2012 10:12pm
Interesting, I don't trade futures but the opportunities are probably more obvious than FX. Unfortunately I can't change the default symbols in the Arbomat EA that sends data from metatrader to R (you are supposed to be able to do that if anyone can figure it out pls let me know).

Anyway, you could compare Gold and Silver and trade those on some fx brokers. Surely some opportunities there, but the spread costs and slippage may be a problem not seen in more liquid dollar pairs.

Quoting txfxtrader
Anyone look at spread trading commodities? Attached is a spread chart for Wheat vs. KC Wheat. Seems like it would allow you to average in if your initial position moves against you.
Skype: heliosphan187
  • #311
  • May 18, 2012 12:13am May 18, 2012 12:13am
Sorry Iwjw, but is possible for you backtest in MT5 THIS EA with the settings:

Trade couple 1=true
Trade couple 2=false
TP= 100 usd
Lots= 1
Layers=1

and in a different BT the same settings but

TradeCouple1=false
TradeCouple2=true

So we can understand something more about the real DD.
"If you want something go down, let it go up first" Lao-Tzu
  • #312
  • May 18, 2012 4:50am May 18, 2012 4:50am
sorry, as I said before:
the MT5 version of this EA doesn't work as it's supposed to do
The ordermanagement is totally different from MT4 so the MT5 version is of no use

Quoting Simihouse
Sorry Iwjw, but is possible for you backtest in MT5 THIS EA with the settings:

Trade couple 1=true
Trade couple 2=false
TP= 100 usd
Lots= 1
Layers=1

and in a different BT the same settings but

TradeCouple1=false
TradeCouple2=true

So we can understand something more about the real DD.
  • #313
  • May 18, 2012 6:47am May 18, 2012 6:47am
My conclusion is that... trading on both side ie.. (BuyEU/SellGU and SellEU/BuyGU) will not be profitable bcos it creates a band... a band of drawdown. Each take profit amount is get added to that band. As the profit increases so the drawdown.

Right now, I am trading in one direction only with layer gap of 1000 (instead of 100) and small take profit of 10 pips. Its looks fine till now. Ea is trading calmly and so me. I am in no hurry to bcome millionaire.
  • #314
  • May 18, 2012 7:27am May 18, 2012 7:27am
Quoting 24hrs
My conclusion is that... trading on both side ie.. (BuyEU/SellGU and SellEU/BuyGU) will not be profitable bcos it creates a band... a band of drawdown. Each take profit amount is get added to that band. As the profit increases so the drawdown.

Right now, I am trading in one direction only with layer gap of 1000 (instead of 100) and small take profit of 10 pips. Its looks fine till now. Ea is trading calmly and so me. I am in no hurry to bcome millionaire.

could you post an account summary, please? And when you say one direction, does that mean one direction at a time? in other words on trade sell GU, buy EU, until closed in profit, then the next trade set could be buy GU, sell EU? or is it only one of those no matter what?
Too close for pips, switching to points.
  • #315
  • May 18, 2012 7:58am May 18, 2012 7:58am
Everyone wants a set and forget EA that doesn't require any strategy, unfortunately an EA that will work blindly at all times is very rare so if that is what anyone is seeking no point reading this thread. You will need to first understand how the EA works and learn how to apply it at the right times is my interpretation to making it profitable .. look at my statements. I have closed the EA now and will restart next week, profit statement later.

Quoting 24hrs
My conclusion is that... trading on both side ie.. (BuyEU/SellGU and SellEU/BuyGU) will not be profitable bcos it creates a band... a band of drawdown. Each take profit amount is get added to that band. As the profit increases so the drawdown.

Right now, I am trading in one direction only with layer gap of 1000 (instead of 100) and small take profit of 10 pips. Its looks fine till now. Ea is trading calmly and so me. I am in no hurry to bcome millionaire.
Skype: heliosphan187
  • #316
  • May 18, 2012 8:14am May 18, 2012 8:14am
see below

Quoting guess121
Hi Charvo...

1. Can you give a bit more detailed explaination here of this again please?

fine, but which step do you have question on?

2. Am I correct in you saying that EU = 1 lot and GU = 0.8 lot (is this right for buy and sell, i.e if you buy or sell GU, it will always GU = 0.8 lot?

correct, the ratio of lotsize: EU vs GU = 1 : 0.8 is due to EG price is 0.80xx, regardless of trading directions of EU/GU.
  • #317
  • May 18, 2012 9:30am May 18, 2012 9:30am
Can you give a breakdown of pip size with EU against GU and how you have derived 1 and 0.8?

Quoting charvo
see below
  • #318
  • May 18, 2012 9:56am May 18, 2012 9:56am
ok, 1 lot eu = 100000 eur that you paid 127000 usd to buy (or sell).

1 lot eu = 100000 gbp that you paid 158000 usd to sell(or buy)

as you see, 158000 > 127000, this means if a trader buy 1 lot eu and sell 1 lot gu, the position is not really hedged (assuming correlation exits). it is in fact you are MORE on sell side of gu.

in order to be hedged (on position size), it should be:

127000 usd vs 127000 usd;

127000 usd can get you 100000 eur$, that's 1 lot;

how much lot 127000 usd can get you gbp$?

127000/1.58(gu price) = 0.803xxx (just approx.)

so a trader use 127000 usd to get 0.80 lot of gu.

Quoting guess121
Can you give a breakdown of pip size with EU against GU and how you have derived 1 and 0.8?
  • #319
  • May 18, 2012 3:14pm May 18, 2012 3:14pm
DB, i think that the direction you head into is promising.

this EA seems more like a semi-auto EA.

i imagine a scenario like this:

i get up in the morning, check the market, decide EG is more likely to go up, then i turn on the EA to do "buy eu sell gu" = true;

leave it alone, by maybe US market close, the EA stops trading and closes all positions.

next day, i do the same shit.

as i guess, this is not a time-consuming thing to spend a couple of minutes everyday to turn on the EA. as i put 'red font' above over "more likely" is because we don't need to be very accurate in our reading. as this EA shows, unless EG is in a fierce trend (losing correlation) like last week, the EA still can reap in profit, even we guess the daily move wrongly.

Quoting Dirtybrown
Everyone wants a set and forget EA that doesn't require any strategy, unfortunately an EA that will work blindly at all times is very rare so if that is what anyone is seeking no point reading this thread.
  • #320
  • May 18, 2012 3:33pm May 18, 2012 3:33pm
Closed these trades blindly this morning just before leaving for work. Could have been stopped Thursday afternoon for over $100 more profit. Post it to prove a point that the EA can be timed for better performance.
Attached File(s)
File Type: pdf DetailedStatement100.pdf   249 KB | 1,129 downloads
Skype: heliosphan187
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