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Three Pairs Hedging

  • #561
  • Mar 18, 2013 7:01am Mar 18, 2013 7:01am
Sorry... the EA had a problem with symbol suffixes. It should be fixed now. I've also added the display of some useful information on the chart.

Best to attach the EA to EURUSD (or other active chart). Timeframe doesn't matter.

Good luck.
Attached File(s)
File Type: ex4 TriangularHedge_005.ex4   47 KB | 865 downloads
  • #562
  • Mar 18, 2013 4:22pm Mar 18, 2013 4:22pm
Another udate for you. FWIW (and I know there are those that think this whole thread is rubbish), the EA closed 23 trades in the last 24 hours. Each trade, of course, is really three trades. So, that's 69 trades. MaxDD for any single trade has been around 20 pips. It (almost) always has 21 trades on at one time (7 sets of three trades). The default TP (for the set of three trades) is $100 per 1.0 lots. You can set this to whatever you like. So, 23 closed trades at $100 each.... you can do the math.

This new version lets YOU set the symbols for the pairs you wish to trade. Do not add the suffix. The EA will take care of that for you.

You can trade between one and seven sets of three pairs. You need to choose your pairs carefully to maintain the (almost) hedge.

For each set (of three pairs), you can set the trading mode to BBS or SSB.

If you leave the trading mode blank, that set won't be traded.

So, if you only want to trade one set (of three pairs), you will set the trading mode for the others to blank.

"BBS" and/or "SSB" need to be upper case.

Of course, I could modify the EA to cater for more than seven sets. But, it's easy to run multiple copies of the EA. I'm now running the EA on 11 live accounts for clients plus four of my own.

It's important that you set MaxSpread fairly tight for each set. The screen display will guide you for setting MaxSpread in the future. The tighter you set MaxSpread, the quicker the trade will reach the TP, but the fewer trades. Don't be greedy.

Enjoy!
Attached File(s)
File Type: mq4 TriangularHedge_006.mq4   14 KB | 1,031 downloads
  • #563
  • Mar 18, 2013 4:34pm Mar 18, 2013 4:34pm
Since I have uploaded the source, you will neet my version of the OrderReliableLibrary (attached). Just put the library in your "include" folder.

Sorry I didn't include the library with my earlier post.
Attached File(s)
File Type: mqh OrderReliable_120204.mqh   63 KB | 821 downloads
  • #564
  • Mar 18, 2013 6:21pm Mar 18, 2013 6:21pm
Another update for you.... EA and OrderReliable library this time.

I have added the ability to pause trading in any set after closing with profit. I just felt that it was silly to close three pairs that were (net) in profit and then turn right around and re-enter those positions. Why not let the market settle into the current ratios for a while?

In any event, you can turn this feature on or off to suit yourself.

To enable this feature, set PauseAfterClose to true. To turn it off, set it to false.

If you want to suspend trading with that set for (say) 15 minutes, set PauseMinutes = 15.

The EA has been fairly quiet in the last three hours or so.

Good trading!
Attached File(s)
File Type: mqh OrderReliable_120204.mqh   63 KB | 767 downloads
File Type: mq4 TriangularHedge_007.mq4   15 KB | 932 downloads
  • #565
  • Mar 18, 2013 7:49pm Mar 18, 2013 7:49pm
Quoting ChuckNZ
Another update for you.... EA and OrderReliable library this time.

I have added the ability to pause trading in any set after closing with profit. I just felt that it was silly to close three pairs that were (net) in profit and then turn right around and re-enter those positions. Why not let the market settle into the current ratios for a while?

In any event, you can turn this feature on or off to suit yourself.

To enable this feature, set PauseAfterClose to true. To turn it off, set it to false.

If you want to suspend trading with...
nice work there.
it seems like there could possibly be an advantage in having both BBS and SSB running simultaneously because one will go into profit while the other would be at the other end of the bell curve in loss territory, then the two ebb opposite directions and the other would drift into profit. right? wouldnt it double your profit to have BBS and SSB running simultaneously?

would it be worthwhile to add the option to open an opposite BBS or SSB order upon take profit to take advantage of the ebb and flow being the natural trigger for the opposite direction BBS/SSB? while still allowing the current direction to keep going forward with its BBS direction?
  • #566
  • Mar 18, 2013 7:58pm Mar 18, 2013 7:58pm
Another upgrade.... as a result of a lot of private emails.

This version (008) lets you control how many sets you want to trade.

Let's say you only have enough money (or courage) to trade two sets (six positions). Up until this version, you had to select two sets (three pairs each) that you wanted to trade and then wait until the spread on each of those sets was narrow enough to trade.

NOW... you can set up all seven sets ready to go with seven times three pairs. Then, set MaxSets=2 (or whatever) and it will only trade two sets.

Which two sets, you might ask?

The first two sets where the spread on all three pairs is less than MaxSpread for those pairs.

Now... we are beginning to get some power in this EA.

Still not many trades in the last four hours or so. But "few trades" is better than "some losses".

I also have had a few private emails asking me why I'm sharing all of this with the forum. The answer.... "because I can".

All the best!
Attached File(s)
File Type: mq4 TriangularHedge_008.mq4   16 KB | 1,218 downloads
File Type: mqh OrderReliable_120204.mqh   63 KB | 909 downloads
  • #567
  • Mar 18, 2013 8:05pm Mar 18, 2013 8:05pm
Hi Chuck,

Great work! I'll try the last version right away, but still would like to know how the EA is dealing with 5 decimals. Does it automatically detect if there's 5 decimals or do I have to account for it myself in the settings.

Thanks!
K.
  • #568
  • Mar 18, 2013 8:55pm Mar 18, 2013 8:55pm
Quoting c3p0
nice work there.
it seems like there could possibly be an advantage in having both BBS and SSB running simultaneously because one will go into profit while the other would be at the other end of the bell curve in loss territory, then the two ebb opposite directions and the other would drift into profit. right? wouldnt it double your profit to have BBS and SSB running simultaneously?

would it be worthwhile to add the option to open an opposite BBS or SSB order upon take profit to take advantage of the ebb and flow being the natural trigger for...
I agree with this Chuck. What do think about this?
  • #569
  • Mar 18, 2013 9:36pm Mar 18, 2013 9:36pm
You an do this (same pairs, BBS and SSB) without me....

In fact, there is already an example set up in the default parameters.

See the first and last set.... they are the same pairs.... but one is BBS and the other is SSB.

With the latest version.... you can just about do whatever you like.

The EA is generating a few more trades now.... must be the Asians moving things around a bit.
  • #570
  • Mar 18, 2013 9:41pm Mar 18, 2013 9:41pm
Quoting Koen
Hi Chuck,

Great work! I'll try the last version right away, but still would like to know how the EA is dealing with 5 decimals. Does it automatically detect if there's 5 decimals or do I have to account for it myself in the settings.

Thanks!
K.

Well.... any EA should take care of 3, 4 and 5-digit pairs automatically. I would hate to think that this one doesn't. It takes care of JPY (3-digit) mixed in with 4 and 5-digit pairs.

But.... let me know if I have failed to do the job properly and I'll fix it.
  • #571
  • Mar 18, 2013 9:59pm Mar 18, 2013 9:59pm
Quoting ChuckNZ
You an do this (same pairs, BBS and SSB) without me....

In fact, there is already an example set up in the default parameters.

See the first and last set.... they are the same pairs.... but one is BBS and the other is SSB.

With the latest version.... you can just about do whatever you like.

The EA is generating a few more trades now.... must be the Asians moving things around a bit.

what about this, if you only used each pair twice (one buy and one sell) in the trade window and if any combination of 3 specified pairs (could be all the hedge pairs you can add up for your broker) came to profit, then you cash those 3 in and then re open them to keep the ring intact. what do you think?
  • #572
  • Mar 18, 2013 10:23pm Mar 18, 2013 10:23pm
Quoting ChuckNZ
You an do this (same pairs, BBS and SSB) without me....

In fact, there is already an example set up in the default parameters.

See the first and last set.... they are the same pairs.... but one is BBS and the other is SSB.

With the latest version.... you can just about do whatever you like.

The EA is generating a few more trades now.... must be the Asians moving things around a bit.

i meant the timing of opening the orders. the way it is now it re-opens the same direction but at a point of exhaustion or climax and seems like it promotes drawdown. it seems it would be the ideal time to open an order in the opposite direction right? rather than soaking in drawdown by reopening orders at the end of the phase. I think the paus/sleep helps but if you order opposite it could skip the whole phase of drawdown leading up to this point where the ebb will start to go back the opposite bbs/ssb direction right?

also what do you think about a profitlock trail stop to pull in more on top of the 1.00, such as at $1.00 lock .50, but let it go to $2.00 and lock $1.50; $3.00 locks $2.50 etc.

what do you think?
  • #573
  • Mar 18, 2013 11:11pm Mar 18, 2013 11:11pm
Quoting c3p0
i meant the timing of opening the orders. the way it is now it re-opens the same direction but at a point of exhaustion or climax and seems like it promotes drawdown. it seems it would be the ideal time to open an order in the opposite direction right? rather than soaking in drawdown by reopening orders at the end of the phase. I think the paus/sleep helps but if you order opposite it could skip the whole phase of drawdown leading up to this point where the ebb will start to go back the opposite bbs/ssb direction right?

also what do you think...
Sorry.... I don't know your name.

Using your words.... "the way it is now, it opens BBS and SSB for the same pairs at the same time". Well, not exactly the same time. That's not possible. But, assuming that the spreads are acceptable by the time the EA gets to the second set, both sets get done near enough to the same prices. I just watched the EA open BBS and SSB (almost) at the same time for the same three pairs. I assume that's what you are talking about? You can drive the EA any way you wish. Just make (as I have already done as default) a BBS and SSB entry for the same pairs. Both sets will get done! You can shut down the other five sets, if you wish.

Good idea on the trailing stop / profit lock idea. I'm a big fan of trailing stops and have about 32 ways of doing it. I'll put it on my TO DO list. You know by know that things don't hang around on that list for very long.

The most unfortunate thing with mutli-pair systems (like this) is that they can't be backtested.
  • #574
  • Edited 9:42pm Mar 19, 2013 5:11am | Edited 9:42pm
Quoting ChuckNZ
Sorry.... I don't know your name.

Using your words.... "the way it is now, it opens BBS and SSB for the same pairs at the same time". Well, not exactly the same time. That's not possible. But, assuming that the spreads are acceptable by the time the EA gets to the second set, both sets get done near enough to the same prices. I just watched the EA open BBS and SSB (almost) at the same time for the same three pairs. I assume that's what you are talking about? You can drive the EA any way you wish. Just make (as I have already done...
yes thats what im talking about.
so what youre saying is that it doesnt matter whether you wait to open an order in the opposite BBS direction because both a BBS and a SSB will arrive into profit at about the same time and theres not an "opposite schedule" that one arrives in profit and then hours later the other arrives in profit like the ebb and flow of high tide, although it does seem to me like it is the case that when a BBS takes profit that opening the opposite SSB would be the right timing
  • #575
  • Edited 9:42pm Mar 19, 2013 5:40am | Edited 9:42pm
Quoting ChuckNZ
Sorry.... I don't know your name.

Using your words.... "the way it is now, it opens BBS and SSB for the same pairs at the same time". Well, not exactly the same time. That's not possible. But, assuming that the spreads are acceptable by the time the EA gets to the second set, both sets get done near enough to the same prices. I just watched the EA open BBS and SSB (almost) at the same time for the same three pairs. I assume that's what you are talking about? You can drive the EA any way you wish. Just make (as I have already done...
Chuck hi its Brian again. i just tested my theory by opening a.1 lot for EJ CHJ ECH BSS and SBB on different accounts at about -$10.00 each.

It appears that they are opposite and as one fluctuates up the other profit fluctuates down.


right now one is at - $7.00 and the other is at -$11.00. i ll check back after work and see how my experiment went.
  • #576
  • Edited 9:43pm Mar 19, 2013 9:59am | Edited 9:43pm
quick update from my smartphone, the bss is at -$14 and the sbb is at -$3.
  • #577
  • Edited 2:03pm Mar 19, 2013 10:49am | Edited 2:03pm
Quoting ChuckNZ
Another udate for you. FWIW (and I know there are those that think this whole thread is rubbish)
I sure don't!

I don't use MT4 much, but I'll DL your EA and give it a try. Thanks for putting the time in for the EA. The key to this type of hedge is to unhedge it in the traders favor. I've been running one manually for the past several months with multiple triangles, but recently dropped down to one triangle so I could focus on how they cycle and how to correctly(most of the time, ha) speculate the combined direction for the triangle. It does work despite those who as you have put, think this thread rubbish.

Chuck, not sure if you know this but for those in the USA you will not be able to open BBS and SSB on the same pair simultaneously, thanks to the NFA, and agencies who are trying to protect us. There are Non-US brokers which do accept US clients that do allow that type of hedging.
  • #578
  • Edited 9:43pm Mar 19, 2013 10:52am | Edited 9:43pm
update, the sbb is at $1 profit and the bss is at -18.00
.
  • #579
  • Mar 19, 2013 2:14pm Mar 19, 2013 2:14pm
Hi Brian and others. A small request first. Thanks, Brian, for letting me know your name. I have a problem addressing someone as "xyztrader" or similar. As to my request, I think it would be a nice touch if people put their names (even a fake name, if necessary) at the end their posts. Mine should be obvous (it's not NZ) from my user name. Just a small request.... I won't waste your time mentioning it again.

I hope anyone trialing TriangularHedge is making money. I have a new version (that I'll post later) that has the ability to trade eight sets. But, I have set MaxSets to 5. That means that it will only have five sets on the go at once. The beauty of this approach is as follows. Trading of a particular set is paused for 10 minutes (or whatever you have set PauseMinutes to). While that set is paused, the EA will select another set to replace it, in order to keep the number of open sets at MaxSets.

The EA, with those settings, was like a cash register while I slept. Since it had some new "stuff" in it, I was only running it on six live accounts. But, they all went up by at least 3% overnight with a dozen closed sets.

Speaking of "sets"... I think I finally have my head around what to call sets and trades. Their are three trades (or positions) in each set. That helps me (at least) to differentiate between trades and sets when writing about this EA.

While sleeping... I noodled around a new idea for this EA in my head. When implemented, it will significantly reduce the time it takes to reach TP. I tested the idea when I got up using a simpler EA and it will really improve performance. Now, to implement it in TriangularHedge. Which my farming chores to get done as well, this change could take most of today to code and test.

Thanks to whoever it was that mentioned that you can't be long and short the same pair with U.S. brokers. I knew that, but had overlooked it with this EA. Some non-US broker also enfore FIFO rules, so you will need to be careful of that as well. I can add some code to enforce those rules. The EA can have up to eight sets to choose from, but not put trades that would violate NFA rules if "NoHedge" and/or "FIFOonly" are true.

Good trading.
  • #580
  • Mar 19, 2013 3:25pm Mar 19, 2013 3:25pm
Quoting ChuckNZ

The most unfortunate thing with mutli-pair systems (like this) is that they can't be backtested.
I have been backtesting this type of multi-pairs for a long time.
Sorry but I have to repeat that by trading a BSS , a SSB or both, it does not make money.

Using equal lots, the hedge is imperfect, therefore you are trading a small un-balance portion of the trio.
Profit or losses come from that.

If you trade both ways, your are fully hedge, pay a lot of spredas and makes/loss nothing after that.

If you trade both and close one leg once in profits and wait for the other to retrace, it would be
the same to do it with the small portion of ONE pair and save a lot of spread.

J.
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