Inserted Code
extern int nstddev=2;// Open Trades
But "nstddev" is only mentioned once in the code and it's commented out. Am I missing something?
- Pete
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extern int nstddev=2;// Open Trades
DislikedI'll post a link to the post on the synth hedge thread from 2010 from those trading this exact hedge.. so maybe this gives you an idea..
Not sure yet on the cointegration engine, have not had the time to play with it yet. It was not working on the broker I tried it on.
While this hedge does not qualify for granger cointegration, it passes ADF. And yes, I've read Granger is better for pairs trading. But the relationship between nzdusd usdcad cannot be denied, so I will keep trading it..
Also, a friend of mine I keep in contact with on skype...Ignored
DislikedCool thanks. I just thought that it might degrade over time (ie right before I place a live trade). I found some software which can search for cointegrated forex pairs but it's not cheap:
http://arb-maker.com/archives/881Ignored
DislikedIs this trading EA working for anyone? When I look at the code, the trigger to open trades is:
Inserted Codeextern int nstddev=2;// Open Trades
But "nstddev" is only mentioned once in the code and it's commented out. Am I missing something?
- PeteIgnored
DislikedDear all,
I am trying to understand the explaination of size from different post in this thread but still I have a hard time.
Let say GBPCHF USDCHF in 5 minutes his 90% corrolated.
How would you do to calculate the exact hedge for those two pair?
And of course if we have to stay in for few hours do you correct the size
to stay as close as possible hedged?
Thanks a lot for all the info in this threadIgnored
DislikedHow long do you think the cointegration on this pair will last?
I tried to run the cointegration search engine script but I kept getting a divide by zero error no matter what I tried.Ignored
Dislikedright click in your market watch window and select "show all", then let it populate for a while before adding the ea. if you still get a zero divide error, take the ea off, then open every single pair on a 5 minute chart and let all the charts update for an hour or so, then add the ea. sure would be nice if someone would volunteer to take the ea to the next level...Ignored
Dislikedright click in your market watch window and select "show all", then let it populate for a while before adding the ea. if you still get a zero divide error, take the ea off, then open every single pair on a 5 minute chart and let all the charts update for an hour or so, then add the ea. sure would be nice if someone would volunteer to take the ea to the next level...Ignored
DislikedAttachment
Here's my closed trade, real money.
Like magic, price has starting to bounce from the first deviation at this time.
Again also note the hedge ratio BARELY changed from nzdusd, exactly same for usdcad. Therefore, this is a very passive strategy. I can set my trades, go to work and live my life, just checking in at key times. This leaves more time for important stuff like the new really hot chick i started dating so less posting but I'm still here.Ignored
DislikedThanks - it's now "working" - firing off trades left right and center? I thought from reading the stevehopwood thread that it would give me a list of cointegrated pairs?Ignored
DislikedVery interesting to see the difference in correlation between timeframe. This explains why 1 hr works so well, its one of the least correlated TF's. This is very important to know.
Also notice the volitility spikes are nearly identical and occur at the same times GMT. This shows market awareness of the relationship, and I will now compare any key level in arbomat to the highest volatility times. I bet you could even more confidently trade off 2nd deviation/horizontal when you see movements during these times.
[b]Best Day of Week Entry:...Ignored
DislikedThanks for this - very illuminating. True what you say about trading/lifestyle balance.
How do you deal with the fact that the hedge ratios change as the EA receives more bars? Do your trades close within your 60 minute time frame? Do you adjust open positions in line with the changing hedge ratios? Or is there a way to fix the lot sizes so the generated standard deviations are correct for your original hedge ratio?
(I might be missing something conceptually here.)Ignored
DislikedHi
I just entered this trade because PAIRS are (now) at a good cointegrated level.
Few minutes and +10 pips.
Let see.Ignored