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Attachments: System to hedge every major dollar pair for profit / low DD
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System to hedge every major dollar pair for profit / low DD

  • #201
  • May 23, 2012 1:55am May 23, 2012 1:55am
Quoting Blahn
Instead of trying to reinvent the wheel so to speak, why not just fork mediators ea code to do the co-integrated trades for you? his ea actually worked quite well except for the problem of trying to do too much (ie, hundreds of trades at once) and exiting bad pairings too late which would bring the baskets into deep DD. His ea constantly created new, dynamic pairings based on available currencies from the broker. It should be quite possible to limit the ea to small amounts of static pairings like you're trying to do, which would make it much...
I took a look through Mediator's code a while back. I'm trying to be diplomatic... I wasn't impressed. Essentially the code turned a perfectly decent idea into a martingale grid strategy that sort of missed the boat on the underlying theory. A perfectly decent stat arb concept became Hopwooded.
  • #202
  • May 23, 2012 2:09am May 23, 2012 2:09am
Quoting FXEZ
A perfectly decent stat arb concept became Hopwooded.
  • #203
  • May 23, 2012 2:36am May 23, 2012 2:36am
Here step by step i've done :
1. install R-2.15.0-win
2. copy common_functions.mqh & mt4R.mqh into mt4/experts/scripts
3. copy mt4R.dll into mt4/experts/libraries
4. copy arbomat.mq4 into mt4/experts
5. open arbomat.mq4 with metaeditor,
6. edit #define RPATH "C:/Programme/R/R-2.11.1/bin/Rterm.exe --no-save" to appropriate directory in your pc (example of mine ... #define RPATH "C:\Program Files\RR-2.15.0\bin\i386\Rterm.exe --no-save")
7. restart your mt4
8. run Rterm program (windows program --- i'm not sure it is mandatory or not)
9. attach arbomat.mq4 to chart ....

hope it help

cheers



Quoting fxstaton
I am newbie and after read all posts, and downloaded R, arbomat_demo.ex4, mt4R-1.3.0.27.zip, I didn't know how to use it.

Opened Rgui and I do not know how to use it.

Any guides or anyone can help?
Attached File(s)
File Type: pdf arbomat.pdf   64 KB | 774 downloads
  • #204
  • May 23, 2012 2:44am May 23, 2012 2:44am
  •  sym
  • Joined Apr 2011 | Status: Working... (too much) :) | 356 Posts
I'm posting the last version of basket arb-o-mat. I tried it with different brokers and it works (micro lots must be allowed by the broker).

Just as remind: insert the number you read in arbomat into the input window. Also you can add the spread arbomat value in START, it's just a remind of the value if you manage many baskets.
The EA shows the max loss/gain reached by the basket and can close it when a target in $ is reached.
It's isn't a "state of the art" of coding, but it works. :-)

I'm also uploading 2 arbomat screenshot taken at the same time. The difference is: one had the intercept value = true the other had intercept value = false.
As you can see the lots size are very different between the 2 (base was 50, not 100).
Does anybody has any explanation about this discrepance in arbomat?

Thanks
Attached Image(s) (click to enlarge)
Click to Enlarge Name: false.jpeg Size: 38 KB
Click to Enlarge Name: true.jpeg Size: 44 KB
Attached File(s)
File Type: mq4 Basket arb-o-mat_v3.mq4   8 KB | 391 downloads
--- nothing to say ---
  • #205
  • May 23, 2012 3:26am May 23, 2012 3:26am
Quoting sym
I'm posting the last version of basket arb-o-mat. I tried it with different brokers and it works (micro lots must be allowed by the broker).

Just as remind: insert the number you read in arbomat into the input window. Also you can add the spread arbomat value in START, it's just a remind of the value if you manage many baskets.
The EA shows the max loss/gain reached by the basket and can close it when a target in $ is reached.
It's isn't a "state of the art" of coding, but it works. :-)

I'm also uploading 2 arbomat screenshot taken at...
This basically comes down to what it means to run a regression with an intercept and without one. What are the assumptions of the model? Try reading the text on this page: (many others on the web, do a search on regression with / without intercept)

http://www.ats.ucla.edu/stat/mult_pk...noconstant.htm

Quote
When you run the regression without a constant in the model, you are declaring that the expected value of Y when x is equal to 0 is 0. That is, E(Y|x=0)=0. If this is not the case, the values of Yˆ will be different yielding different

Many times no intercept forces unreasonable assumptions on the model which make for an inaccurate regression. You could check the R^2 values by creating both models, doing summary(model) in the code and reading the log and comparing them.
  • #206
  • May 23, 2012 3:36am May 23, 2012 3:36am
I entered these trades yesterday. Profits reach 1000$ now
Attached Image (click to enlarge)
Click to Enlarge Name: Screen shot 2012-05-23 at 11.36.29 AM.png Size: 27 KB
  • #207
  • May 23, 2012 4:13am May 23, 2012 4:13am
Hello all,

this is quoted from 7bit at his website about the diff and intercept:

Quote
use_diff will do the regression on diff(price) and not on absolute price. allow_intercept (useful only when not in diff mode) will fit an additional constant term. use_diff=false and allow_intercept=true is the mode where it will fit almost anything (dangerous!) use_diff=true and allow_intercept=false is more secure, it won't find very much on lower timeframes (this is good because this far more realistic).



Quoting sym
I'm posting the last version of basket arb-o-mat. I tried it with different brokers and it works (micro lots must be allowed by the broker).

Just as remind: insert the number you read in arbomat into the input window. Also you can add the spread arbomat value in START, it's just a remind of the value if you manage many baskets.
The EA shows the max loss/gain reached by the basket and can close it when a target in $ is reached.
It's isn't a "state of the art" of coding, but it works. :-)

I'm also uploading 2 arbomat screenshot taken at the...
  • #208
  • May 23, 2012 4:26am May 23, 2012 4:26am
  •  sym
  • Joined Apr 2011 | Status: Working... (too much) :) | 356 Posts
Quoting FXEZ
This basically comes down to what it means to run a regression with an intercept and without one. What are the assumptions of the model? Try reading the text on this page: (many others on the web, do a search on regression with / without intercept)
Many thanks...
@ guandi as well
--- nothing to say ---
  • #209
  • May 23, 2012 6:19am May 23, 2012 6:19am
So, do we have definite rules?

Time frame: 1 min.

Enter: at any value that arbomat gives us (when negative value: sell negative pair, buy positive pair. when positive value: buy negative pair, sell positive pair)

Exit: when arbomat hits 0.

Am I right?
  • #210
  • May 23, 2012 6:37am May 23, 2012 6:37am
Quoting marijan993
So, do we have definite rules?

Time frame: 1 min.

Enter: at any value that arbomat gives us (when negative value: sell negative pair, buy positive pair. when positive value: buy negative pair, sell positive pair)

Exit: when arbomat hits 0.

Am I right?
Yes. I gained over $600 using 1 standard lot on demo today.
  • #211
  • May 23, 2012 6:50am May 23, 2012 6:50am
Quoting marijan993
So, do we have definite rules?

Time frame: 1 min.

Enter: at any value that arbomat gives us (when negative value: sell negative pair, buy positive pair. when positive value: buy negative pair, sell positive pair)

Exit: when arbomat hits 0.

Am I right?
I'd set some threshold for entry, not just any value above/below 0. Just look at the chart and you can eyeball a reasonable entry threshold.

If you're too close to 0 then you'd be potentially entering trades where you're aiming to make 5 pips. That's too small a target when spreads are taken into account.
You are in a maze of twisty little passages, all alike.
  • #212
  • May 23, 2012 7:16am May 23, 2012 7:16am
Quoting stevegee58
I'd set some threshold for entry, not just any value above/below 0. Just look at the chart and you can eyeball a reasonable entry threshold.

If you're too close to 0 then you'd be potentially entering trades where you're aiming to make 5 pips. That's too small a target when spreads are taken into account.
Agreed, some threshold should be set. Perhaps looking at historical arbomat readings ( if that's possible) and see at which value arbomat reverses most times. I.e. if arbomat would reverse at +/- 3 most of times, we would enter our trades there. Also, when choosing this value, we should take DD into account.
  • #213
  • May 23, 2012 7:35am May 23, 2012 7:35am
Quoting marijan993
Agreed, some threshold should be set. Perhaps looking at historical arbomat readings ( if that's possible) and see at which value arbomat reverses most times. I.e. if arbomat would reverse at +/- 3 most of times, we would enter our trades there. Also, when choosing this value, we should take DD into account.

Perhaps +/- one standard deviation (or two, perhaps?)? That's what those lines are on the Arb-o-Mat, right?
  • #214
  • May 23, 2012 7:49am May 23, 2012 7:49am
Quoting mwduke
Perhaps +/- one standard deviation (or two, perhaps?)? That's what those lines are on the Arb-o-Mat, right?
Yes, I think they are. But I'm no math guy.
  • #215
  • May 23, 2012 7:52am May 23, 2012 7:52am
Demo report :
1. 6 pair, 1H TF , 8 hours trading, TP $76, max DD 200
2. 2 pair, 1M TF, 3 hours trade (not monitor continously), TP $120, max DD 200
3. 2 pair, 1m TF, 2 hours trade (not monitor continously), TP $120, max DD 300

2nd & 3rd trade attached,

my conclusion, better trade in low TF, watch max spread at arbomat, OP, and TP when it get profit 15 pips --- because we played in 1M TF,
look at picture attached, after I TP 1st trade, spread getting bigger
Attached Image (click to enlarge)
Click to Enlarge Name: arbomat_20120523_eu-gu.jpeg Size: 77 KB
  • #216
  • May 23, 2012 8:04am May 23, 2012 8:04am
Does anybody know what the "Spread" in the Arb-o-Mat window actually represents?
  • #217
  • May 23, 2012 8:40am May 23, 2012 8:40am
Could someone write an EA which will "close all trades when arbomat=0"?
  • #218
  • May 23, 2012 8:45am May 23, 2012 8:45am
Quoting begamer
Here step by step i've done :
1. install R-2.15.0-win
2. copy common_functions.mqh & mt4R.mqh into mt4/experts/scripts
3. copy mt4R.dll into mt4/experts/libraries
4. copy arbomat.mq4 into mt4/experts
5. open arbomat.mq4 with metaeditor,
6. edit #define RPATH "C:/Programme/R/R-2.11.1/bin/Rterm.exe --no-save" to appropriate directory in your pc (example of mine ... #define RPATH "Crogram FilesRR-2.15.0bini386Rterm.exe --no-save")
7. restart your mt4
8. run Rterm program (windows program --- i'm not sure it is mandatory or not)
9. attach...

Wonder why my R graph has no diff: false, inter: false?
Attached Image (click to enlarge)
Click to Enlarge Name: Abo.png Size: 55 KB
  • #219
  • May 23, 2012 9:22am May 23, 2012 9:22am
Quoting mwduke
Does anybody know what the "Spread" in the Arb-o-Mat window actually represents?
I'm sorry but don't know what they exactly represent, I think that they are not absolute values, they are relative to the history bars in the chart. what now is the zero line cannot be touched again in the future.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: fail 2.JPG Size: 70 KB
Click to Enlarge Name: fail.JPG Size: 69 KB
  • #220
  • May 23, 2012 10:53am May 23, 2012 10:53am
Attached Image (click to enlarge)
Click to Enlarge Name: minucnzd2.jpg Size: 166 KB


Steve, I think you are right that positions need to be set at some deviation level not the mean. In this particular case it seems the trade directions were opposite than what I intended, when I looked about 4 hrs ago this basket was in some DD.

On the other hand, see how much this basket retraces around any given point. Almost enough to make you think a coin toss direction near the mean may be a good trade strategy. Just theories, I'm enthralled and glad to see all of the interest. Will post more later.
Skype: heliosphan187
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