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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

  • #621
  • Jun 14, 2012 2:07pm Jun 14, 2012 2:07pm
Quoting Dirtybrown
Additionally, the hedge ratios barely budge using 1 hr data on the Arbomat version with default settings.
Same on the 1M
  • #622
  • Jun 14, 2012 2:44pm Jun 14, 2012 2:44pm
Spread that good word!


Attached Image


Quoting TheMaxx
Same on the 1M
Skype: heliosphan187
  • #623
  • Jun 14, 2012 4:39pm Jun 14, 2012 4:39pm
Attached Image (click to enlarge)
Click to Enlarge Name: arbomax.png Size: 34 KB


I threw your EA on the chart with defaults on usdcad nzdusd, not bad!!

Are these the kinds of results you are getting on 1 min??


Quoting TheMaxx
Same on the 1M
Skype: heliosphan187
  • #624
  • Jun 14, 2012 5:36pm Jun 14, 2012 5:36pm
Hi Ditrybrown

Just want to ask NZDUSD v USDCAD are inversely correlated rite?
So if we try on EURUSD v USDCHF (also inversely correlated) would it produce similar results to the pair you trading? (NZDUSD v USDCAD)

Another question let say we enter below mean, so we Buy NZDUSD and Sell USDCAD, but somehow it did not go up to mean but instead go further below the mean, so we will have drawdowns - in this case any idea how we manage the trade to turn around it into profit?
  • #625
  • Jun 14, 2012 5:54pm Jun 14, 2012 5:54pm
Quoting TheMaxx
When I say buy or sell I mean the EA buys or sells the hedge ratios shown. So in the picture it would sell 1.00 NZDUSD and sell -0.77 USDCAD (which means buy 0.77 USDCAD)
ah i think i understand
+ ratio
- ratio
if below mean, for positive correlated pair we would buy + ratio and sell - ratio (eg EURUSD v GBPUSD)
if below mean, for negative correlated pair we would buy + ratio and buy - ratio as well (eg EURUSD v USDCHF)

am i rite?
  • #626
  • Edited 6:12pm Jun 14, 2012 6:01pm | Edited 6:12pm
Actually, there is "no correlation" not, inverse correlation..since that is actually correlation. eurusd and usdchf are inversely correlated also, so would not be ideal for pairs/baskets using this method.

During the times I've been looking at the 1 hr R charts generated from Feb. to present have led me to profitable hedges on usdcad nzdusd. Just note that for these pairs, the 1 hr correlation is dramatically lower than for lower and higher TF. You can refer to my previous post for a chart on this.

Yes, the levels can change. This is why you cannot just randomly form baskets and always expect to be profitable, such as if the hedge ratio changes dramatically. This is why I look for low delta coefficient baskets, in the hopes they won't need to be rebalanced.

My suggestion would simply be to establish a max. stop loss for the basket. Again, if you find the right pairs don't expect that to happen much.

Quoting hewtwok
Hi Ditrybrown

Just want to ask NZDUSD v USDCAD are inversely correlated rite?
So if we try on EURUSD v USDCHF (also inversely correlated) would it produce similar results to the pair you trading? (NZDUSD v USDCAD)

Another question let say we enter below mean, so we Buy NZDUSD and Sell USDCAD, but somehow it did not go up to mean but instead go further below the mean, so we will have drawdowns - in this case any idea how we manage the trade to turn around it into profit?
Skype: heliosphan187
  • #627
  • Jun 15, 2012 12:56am Jun 15, 2012 12:56am
Quoting Dirtybrown
I threw your EA on the chart with defaults on usdcad nzdusd, not bad!!

Are these the kinds of results you are getting on 1 min??
Not quite that good but close. I've had one loss when the spread returned to zero after 18 hours - could be a bug.

My results are here:
http://www.myfxbook.com/members/them...ch-test/327752

Ignore the 60% drawdown and focus on the last 8 trades. When I started the demo there was a bug in my code and it would open a basket and close it a few seconds later for a loss - hence the 60% loss. The last 8 trades are with the current posted code - I think the code is right but that 18 hour trade concerns me. To tell you the truth I might have messed up on that one as well.
  • #628
  • Edited 9:12am Jun 15, 2012 6:25am | Edited 9:12am
Hi there, can somebody tell me
- whether the calculated lot basket is profitable when started on a + or - stdev level and spread curve is mean reverting to 0 ?
e.g. xlitang's EA is setting:
if pred curve > 0 && coef[i] <0 then OP_BUY
or && coef[i] > 0 then OP_SELL
if pred curve < 0 && coef[i] <0 then OP_SELL
or && coef[i] > 0 then OP_BUY
Is ths correct ?

- why the original coef should be multiplied with their related pair quotes to obtain lots ? In my opinion the original coef multiplied with a common factor is correct to obtain the lots. Am I wrong ?
  • #629
  • Jun 15, 2012 7:42am Jun 15, 2012 7:42am
Quoting Profitiser
Hi there, can somebody tell me
- whether the calculated lot basket is profitable when started on a + or - stdev level and spread curve is mean reverting to 0 ?
Most times but not always.
Quoting Profitiser
- why the original coef should be multiplied with their related pair quotes to obtain lots ? In my opinion the original coef multiplied with a common factor is correct to obtain the lots. Am I wrong ?
Sorry I don't know.
  • #630
  • Edited 9:32am Jun 17, 2012 9:19am | Edited 9:32am
I'm going to start 5 new demos this week. Pairs are NZDUSD (EA attached) and USDCAD, and time frames will be M1, M5, H1, H4 and D1.

The triggers and stoplosses are listed below. I've just taken a rough guess at what I think good values might be - there's nothing scientific in my methodolgy.

I've updated my EA slightly (attached). The only difference is that it hopefully logs the current standard deviation to a file once per minute. Yes, you can get that from the R chart but the M1 timeframe only contains a couple of rolling days.

Demos
M1 - Trigger 0.005 SL 0.007

M5 - Trigger 0.015 SL 0.020

H1 - Trigger 0.06 SL 0.08

H4 - Trigger 0.07 SL 0.10

D1 - Trigger 0.175 SL 0.200

I've been thinking about the trigger logic and ideally I think I'd want to enter after the standard deviation reaches a peak, then falls.

Example:
- once standard deviation rises above a level, trigger entry = max standard deviation minus a buffer
- stoploss would be max standard deviation
- stoploss would trail
- if stoploss is hit, no trading until standard deviation returns to zero

There's still a chance of being whipsawed and having the stoploss hit, but I think this has a greater profit potential. Thoughts?
Attached File(s)
File Type: mq4 ArbomatEA_maxx_v0.2.mq4   30 KB | 699 downloads
  • #631
  • Jun 17, 2012 12:49pm Jun 17, 2012 12:49pm
Quoting TheMaxx
I'm going to start 5 new demos this week. Pairs are NZDUSD (EA attached) and USDCAD, and time frames will be M1, M5, H1, H4 and D1.

The triggers and stoplosses are listed below. I've just taken a rough guess at what I think good values might be - there's nothing scientific in my methodolgy.

I've updated my EA slightly (attached). The only difference is that it hopefully logs the current standard deviation to a file once per minute. Yes, you can get that from the R chart but the M1 timeframe only contains a couple of rolling days.

Demos
[url="http://www.myfxbook.com/members/themaxx77/m1-trigger-0005-sl-0007/329133"]M1...
If that second level that is on arbomat represents the maximum standard deviation (which it won't since it fits the extremes) then isn't it a bad idea to close a position here? surely it should be somewhere in between the two?

I think that when the std deviation levels are recalculated the ratios between the new and the old should be taken into account.
  • #632
  • Jun 18, 2012 3:26am Jun 18, 2012 3:26am
Quoting saussiche
If that second level that is on arbomat represents the maximum standard deviation (which it won't since it fits the extremes) then isn't it a bad idea to close a position here? surely it should be somewhere in between the two?

I think that when the std deviation levels are recalculated the ratios between the new and the old should be taken into account.
It's hard to judge where a basket should be closed which is why I think this system is more suited to manual trading rather than an EA.
  • #633
  • Jun 18, 2012 4:11am Jun 18, 2012 4:11am
Quoting TheMaxx
I'm going to start 5 new demos this week. Pairs are NZDUSD (EA attached) and USDCAD, and time frames will be M1, M5, H1, H4 and D1.

The triggers and stoplosses are listed below. I've just taken a rough guess at what I think good values might be - there's nothing scientific in my methodolgy.

I've updated my EA slightly (attached). The only difference is that it hopefully logs the current standard deviation to a file once per minute. Yes, you can get that from the R chart but the M1 timeframe only contains a couple of rolling days.

Demos
[url="http://www.myfxbook.com/members/themaxx77/m1-trigger-0005-sl-0007/329133"]M1...
Hello, TheMaxx:

I have attached you EA both on NZDUSD and USDCAD 5m chart with your default setting from market open this mornning. Nothing happen and no error message.
Is that correct?
Thanks!
  • #634
  • Jun 18, 2012 5:03am Jun 18, 2012 5:03am
Quoting Sunnybeach
Hello, TheMaxx:

I have attached you EA both on NZDUSD and USDCAD 5m chart with your default setting from market open this mornning. Nothing happen and no error message.
Is that correct?
Thanks!
Attach to one chart, and make sure that all variables are correct for your broker.

Also - I didn't write the EA - I only updated it slightly. I'm not sure that it works correctly.
  • #635
  • Jun 18, 2012 7:24am Jun 18, 2012 7:24am
Hi,
I am interested in what is going on here, but need help in setting it up.
Can somone help?

Re: 1st page instructions
1. install R-2.15.0-win
- DONE OK
Download/install R -> http://www.r-project.org/ then,
2. copy common_functions.mqh & mt4R.mqh into mt4/experts/include
- Copied all files from R include and mt4R.mqh into Broker include folder. Is this correct?
3. copy mt4R.dll into mt4/experts/libraries
- Where can I find mt4R.dll?
4. copy arbomat.mq4 into mt4/experts
- DONE OK
5. open arbomat.mq4 with metaeditor,
- DONE OK
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")
- DONE OK, but with forward slashes
7. restart your mt4
- DONE OK
8. attach arbomat.mq4 to chart ....
- Can't attach?
(thanks to Begamer for writing down instructions)

Thanks!
  • #636
  • Jun 18, 2012 7:34am Jun 18, 2012 7:34am
Quoting TheMaxx
Attach to one chart, and make sure that all variables are correct for your broker.

Also - I didn't write the EA - I only updated it slightly. I'm not sure that it works correctly.
Hello, TheMax:

Thank you for your answer. You have written:

M1 - Trigger 0.005 SL 0.007

M5 - Trigger 0.015 SL 0.020

H1 - Trigger 0.06 SL 0.08

H4 - Trigger 0.07 SL 0.10

D1 - Trigger 0.175 SL 0.200

The Trigger are:
extern double openposstart= 0.0015;// Open Trades positive range start
extern double openposend= 0.00151;// Open Trades positive range end
extern double opennegstart= -0.0015;// Open Trades negative range start
extern double opennegend= -0.00151;// Open Trades negative range end

The SL:
extern double slposstd= 0.002;// stop loss positive - close postive Trades above this level
extern double slnegstd= -0.002; // stop loss negative - close negative Trades above this level

Right?

The only setting regarding broker is:
extern bool CriminalIsECN=true;

Am I correct?
  • #637
  • Jun 18, 2012 7:38am Jun 18, 2012 7:38am
Quoting 236dave
Hi,
I am interested in what is going on here, but need help in setting it up.
Can somone help?

Re: 1st page instructions
1. install R-2.15.0-win
- DONE OK
Download/install R -> http://www.r-project.org/ then,
2. copy common_functions.mqh & mt4R.mqh into mt4/experts/include
- Copied all files from R include and mt4R.mqh into Broker include folder. Is this correct?
3. copy mt4R.dll into mt4/experts/libraries
- Where can I find mt4R.dll?
4. copy arbomat.mq4 into mt4/experts
- DONE OK
[b]5. open arbomat.mq4...
download, common_functions.mqh, mt4R.mqh and mt4R.dll
from https://sites.google.com/site/prof7b...on-integration which is listed in post#1.
  • #638
  • Jun 18, 2012 8:02am Jun 18, 2012 8:02am
Quoting Sunnybeach
Right?
Yes. I suggest choosing figures based on what you feel comfortable looking at the R chart, but bear in mind that the R chart is based on limited data (only a few days for the M1 timeframe) and the standard deviation may go much, much higher than the R chart would suggest.
Quoting Sunnybeach
The only setting regarding broker is:
extern bool CriminalIsECN=true;

Am I correct?
Correct. But please bear in mind that I'm not a programmer, and I just hacked away at the code to make it work how I think the strategy would work.

Problems I see with my code:
1) if the standard deviation jumps (I don't know if it could???) past my take profit triggers the basket will not close, potentially leading to losses
2) the trade trigger and stoploss trigger might hit multiple times without hitting take profit, blowing out your account
  • #639
  • Jun 18, 2012 8:20am Jun 18, 2012 8:20am
Quoting TheMaxx

Problems I see with my code:
1) if the standard deviation jumps (I don't know if it could???) past my take profit triggers the basket will not close, potentially leading to losses
2) the trade trigger and stoploss trigger might hit multiple times without hitting take profit, blowing out your account
Your ArbomatEA_maxx_v0.2 does not open any order while ArbomatEA take orders immediately when EA start.
  • #640
  • Jun 18, 2012 8:31am Jun 18, 2012 8:31am
Quoting Sunnybeach
Your ArbomatEA_maxx_v0.2 does not open any order while ArbomatEA take orders immediately when EA start.
I don't know - it's working fine for me. You're welcome to modify the code and repost here.
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