System to hedge every major dollar pair for profit / low DD | Page 34 | Forex Factory

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

  • #661
  • Jun 24, 2012 2:41am Jun 24, 2012 2:41am
Quoting Graff
Have you tryed Dynamic time warping with R? Please report results.

Links:
http://en.wikipedia.org/wiki/Dynamic_time_warping
http://dtw.r-forge.r-project.org/
If you could code & test this I'm sure everyone would be interested. I've never seen this mentioned before in this thread
  • #662
  • Jun 24, 2012 2:48am Jun 24, 2012 2:48am
Quoting Profitiser
Hi TheMaxx,
here are some changes for lot calculation: please use
coefn[i] = coef[i] / PointValuePerLot with
PointValuePerLot= MarketInfo(Symbol(),MODE_TICKVALUE) / MarketInfo(Symbol(),MODE_TICKSIZE)
for normalizing the coef's to get the basis for lot multiples. TickValue alone is not sufficient . It shall replace the division by close quotes.
Thanks - I don't know how to add this to the current code. Could you please help?
  • #663
  • Jun 24, 2012 2:51am Jun 24, 2012 2:51am
Quoting niepce
Do you know why and which value should I take into account for the ratio (the one in parenthesis or not).
I dont use arbomat_demo.mq4 but I think you should be using the values not in parenthesis
  • #664
  • Jun 24, 2012 2:53am Jun 24, 2012 2:53am
Quoting 236dave
Hi,
I have set up usdcad with nzdusd on H1 t/f, same as Dirtybrown is trading, I think. I realise that the Arbomat is a shifting window and it is difficult to do a visual look back. But it appears that if we are trading from the 2nd deviation line back towards the mean, then there would only be around 3 trades per 2000 bars (around 4 months for H1).
Is this correct?
Yes, that is correct.

Also, if you set intercept to false you'll get horizontal lines rather than the angled lines on your R chart picture
  • #665
  • Jun 24, 2012 2:58am Jun 24, 2012 2:58am
Quoting Sunnybeach
Would you please jus post your mq4 files?
Click on the paper clip icon at the top right of the page and you'll see all the posted files.
  • #666
  • Jun 26, 2012 4:18pm Jun 26, 2012 4:18pm
i refer to the R chart like u guys do.

just curious what is the yellow line (spread) plotted on the price? r we suppose to refer to it too?
  • #667
  • Jun 26, 2012 11:21pm Jun 26, 2012 11:21pm
sapiemas - I tried to import your code but I couldn't work out where to assign the initial value to lastpred.

I've attempted to fix the pred[0] bug in my own weird way - new EA is attached.

Quoting sapiemas
hmm .. thats explain why sometimes trade get triggered eventhough no condition has been met

my suggestion is :

if (pred[0] != lastpred)
{
diff = MathAbs ( pred[0] - lastpred );
if ( diff > (stddev*0.75) ) timepause = TimeCurrent();
lastpred = pred[0];
}

// put the following code when we are about to open new position
if ( (TimeCurrent()-timepause) < (2*60) ) return;

so, if we detect differences in pred[0] is more than 75% of standard deviation, then it will not check to open new position for 2 minutes.

dont know if it will solve the problem...
Attached File(s)
File Type: mq4 ArbomatEA_maxx_v0.3.mq4   30 KB | 943 downloads
  • #668
  • Jun 27, 2012 10:36pm Jun 27, 2012 10:36pm
i think, just need to put :

double lastpred = 0;

at the top

Quoting TheMaxx
sapiemas - I tried to import your code but I couldn't work out where to assign the initial value to lastpred.

I've attempted to fix the pred[0] bug in my own weird way - new EA is attached.
  • #669
  • Jun 27, 2012 11:10pm Jun 27, 2012 11:10pm
Quoting TheMaxx
sapiemas - I tried to import your code but I couldn't work out where to assign the initial value to lastpred.

I've attempted to fix the pred[0] bug in my own weird way - new EA is attached.
the problem about wrong values exist because not every candle of different pairs opens at the same time.

if for example you put the EA on an EUR/USD chart and take GBP/USD as the basket pair. if a new candle opens in EUR/USD does not mean that at the same time the GBP/USD candle also open. this results in false data especially if you have multiple pairs in a basket.
before the EA opens a trade you have to check if at every pair the new candle exist and then take the closeprice of the finished candle.

it is also better to use pred[1] as value because then you are safe with a finished value. pred[0] is the actual value and could change during candle development
  • #670
  • Jun 28, 2012 1:36am Jun 28, 2012 1:36am
Quoting sapiemas
i think, just need to put :

double lastpred = 0;

at the top
Ah I see - thanks.
  • #671
  • Jun 28, 2012 1:37am Jun 28, 2012 1:37am
Quoting Mediator
it is also better to use pred[1] as value because then you are safe with a finished value. pred[0] is the actual value and could change during candle development
Seems simple, thanks!
  • #672
  • Jun 29, 2012 12:04am Jun 29, 2012 12:04am
maybe you can use a relative strength ma like in ccfp indicator and code it in such a way to give weights to the wining losing basket, im giving you 2 examples with the normal ccpf and im also including the one with the relative strenth of gold, i hope this helps great idea btw
Attached Image(s) (click to enlarge)
Click to Enlarge Name: example 1.jpg forex fac.jpg Size: 143 KB
Click to Enlarge Name: EXAMPLE 2 FOREX FACTORY.jpg Size: 142 KB
Attached File(s)
File Type: ex4 CCFpwithgold.ex4   21 KB | 527 downloads
  • #673
  • Jun 29, 2012 12:43am Jun 29, 2012 12:43am
maybe what is really missing is what BETWEEN the numbers , no i just had to quote that order of chaos film , i mean maybe by using the arbomat to include usoil and ukoil as values from the loonie, using gold prices as weight of newzealand dollar and australian dollar , and as a risk/aversion ratio , i think thats all thats missing altho if you really want to get technical you can use the stock market buisness cycle, at least it would give an idea of some economies more affected by x economic factor and it can give greater weights to some
Attached Image (click to enlarge)
Click to Enlarge Name: business_cycle_stock_market_sectors_29_1_08.jpg Size: 84 KB
  • #674
  • Jun 29, 2012 12:57am Jun 29, 2012 12:57am
I'm interested in this system.
There is somobody that is using it ? Any Demo or Real account statement di follow ?
Tanks
  • #675
  • Jul 10, 2012 4:16am Jul 10, 2012 4:16am
Here are links to good economectric software which can be usefull for
e.g. cointegration tests of data.

http://www.eviews.com/

good forum on their site also

http://jmulti.de/

If somebody is interested in cooperation on analysis FOREX data using this software as a start and MATLAB let me know.

Krzysztof
  • #676
  • Jul 10, 2012 11:40pm Jul 10, 2012 11:40pm
Quoting fajst_k
Here are links to good economectric software which can be usefull for
e.g. cointegration tests of data.

http://www.eviews.com/

good forum on their site also

http://jmulti.de/

If somebody is interested in cooperation on analysis FOREX data using this software as a start and MATLAB let me know.

Krzysztof
I'd be interested in collaborating on some research ... but I'm a R user (not Matlab). Any R users out there???

EZ
  • #677
  • Jul 11, 2012 5:59am Jul 11, 2012 5:59am
Quoting ezcurrency
I'd be interested in collaborating on some research ... but I'm a R user (not Matlab). Any R users out there???

EZ
perhaps using of JMULTI or Eview can be good starting point, than no need to programming at all. Afterwards model parameter can be just implemented in
MT4 or another trading platform.

Krzysztof
  • #678
  • Jul 11, 2012 7:24am Jul 11, 2012 7:24am
Quoting fajst_k
perhaps using of JMULTI or Eview can be good starting point, than no need to programming at all. Afterwards model parameter can be just implemented in
MT4 or another trading platform.

Krzysztof
Other than no need for programming, is there any analytical benefit of using JMULTI or Eviews over R? It took some time but I'm now quite comfortable using the packages in R. Are there methods in Jmulti / Eviews not available in R?
  • #679
  • Jul 11, 2012 7:42am Jul 11, 2012 7:42am
Quoting FXEZ
Other than no need for programming, is there any analytical benefit of using JMULTI or Eviews over R? It took some time but I'm now quite comfortable using the packages in R. Are there methods in Jmulti / Eviews not available in R?
For sure it will save a time and decrease a risk of making programming errors, the people not familiar with Matlab or R can easily play to start with it.

There is also a lot of literature which helps to understand certain econometrics concepts using eview

http://avaxsearch.com/avaxhome_search?q=eview&commit=Go

Krzysztof
  • #680
  • Jul 27, 2012 10:34pm Jul 27, 2012 10:34pm
read this page and download these files, i think it will help you...

http://papers.ssrn.com/sol3/results....meout=50000000
Attached File(s)
File Type: pdf arb review.pdf   281 KB | 1,483 downloads
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