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Three Pairs Hedging

  • #661
  • Mar 24, 2013 6:58pm Mar 24, 2013 6:58pm
Quoting brucech
Chuck,


Option request;
For direction testing purposes, could there be an option for forced trade entry of the three pairs in a determined direction?
With that option, we can view the charts and see possible direction or trend and then force entry.

Bruce

You already have that capability. Just turn off AutoDirection and enter the symbols you want and BBS or SSB for that set.

I'm pretty well satisfied that all of my changes since yesterday's release are working properly. I'll be posting an update within the hour. Just making cosmetic changes now.

Nice little profits so far. While the sample is entirely too small to call "statistically meaningful", the AutoDetection logic seems to be adding value.
  • #662
  • Mar 24, 2013 7:09pm Mar 24, 2013 7:09pm
Ok guys and gals.... an update for you. I'm including the indicator so people don't have to go hunting for it.

This update incorporates the following:

1. A display on the chart so you know if AutoDirection and/or SmartEntry are turned on.

2. Fixed a problem where AutoDirection wasn't working on Set #1.... don't ask!!

3. Fixed the OrderSend calls so that they now record the Set number and Magic number in the OrderComment() field.

4. General tidy-up of the screen display that I think you will appreciate.

If you use the default settings for AutoDirection, the EA is using 60 bars of M15 data to ascertain the trend of each currency (not pair). You can try different settings (CurrencyStrengthTimeframe and CurrencyStrengthPeriods), but these parameters can not be backtested. If you aren't aware, the MT4 strategy tester doesn't cater for multiple pairs.

Early days... but the instance running with AutoDirection turned on is outperforming the one where it is turned off on 12 live accounts and two demo accounts. Entirely too early... I shouldn't even mention it.... but it is good to see.

Enjoy!
Attached File(s)
File Type: ex4 CurrencyStrength_001.ex4   20 KB | 726 downloads
File Type: ex4 TriangularHedge_023.ex4   80 KB | 920 downloads
  • #663
  • Mar 24, 2013 8:14pm Mar 24, 2013 8:14pm
Quoting e-trader
Everyone here understands this. We get the mathematics. We understand it is basically trading 1 pair. What you and a couple of other people do not seem to get is this is an attempt to have a robot trade for people. One that has little draw down and will make money with little human intervention. That is the purpose of all Trading Robots. You can add logic, technical's and mathematics to a robot as has been done to all robots and I challenge you to show me one that will work year after year without blowing up an account. (BTW, i have seen a few that...
Actually I posted some advice in another thread about trading baskets of pairs that is probably relevant here too. You can have a basket with 3 currencies that isn't the same as a single pair. The idea is to get different sized exposures in each currency, for instance I can sell 1 GBPUSD and sell .5 USDCHF and end up with different exposures to each currency. The only reason I'm saying this is because it seems like the point of this thread and the aim of it's participants is to reduce risk, but the risk doesn't change when the exposures between the two currencies is equivalent.
  • #664
  • Mar 24, 2013 8:32pm Mar 24, 2013 8:32pm
The only weird thing i see so far is that set 5 is trading both instances. The true side is SSB and the False is BBS. They were placed at the same time.
And the auto direction false places more trades. But that makes sense and you probably already know.
Good work Chuck....
Think Outside the Box.....
  • #665
  • Edited 8:51pm Mar 24, 2013 8:37pm | Edited 8:51pm
Quoting saussiche
Actually I posted some advice in another thread about trading baskets of pairs that is probably relevant here too. You can have a basket with 3 currencies that isn't the same as a single pair. The idea is to get different sized exposures in each currency, for instance I can sell 1 GBPUSD and sell .5 USDCHF and end up with different exposures to each currency. The only reason I'm saying this is because it seems like the point of this thread and the aim of it's participants is to reduce risk, but the risk doesn't change when the exposures between...
Right, thanks saussiche. Criticism is always welcome when some constructive feedback follows.
Think Outside the Box.....
  • #666
  • Mar 24, 2013 8:49pm Mar 24, 2013 8:49pm
Chuck, on the true side as well, i have some sets that say N/A where BBS or SSB are supposed to be. Does that mean its undecided?
Think Outside the Box.....
  • #667
  • Mar 24, 2013 8:52pm Mar 24, 2013 8:52pm
Quoting e-trader
The only weird thing i see so far is that set 5 is trading both instances. The true side is SSB and the False is BBS. They were placed at the same time.
And the auto direction false places more trades. But that makes sense and you probably already know.
Good work Chuck....
Actuall, not weird. Set 5 in the two instances traded at the same time because the spread met the criteria at the same time. The "false" side for set 5 is hard coded as SSB and always trades that way. When AutoDirection is set to true, the EA decides whether to trade BBS or SSB. If it traded the same with AutoDirection set to true or false, I would have wasted over 30 hours of coding time.

I've now collected quite a few closed trades, mostly with brokers with zero or low spreads.
  • #668
  • Mar 24, 2013 8:58pm Mar 24, 2013 8:58pm
Quoting ChuckNZ
Actuall, not weird. Set 5 in the two instances traded at the same time because the spread met the criteria at the same time. The "false" side for set 5 is hard coded as SSB and always trades that way. When AutoDirection is set to true, the EA decides whether to trade BBS or SSB. If it traded the same with AutoDirection set to true or false, I would have wasted over 30 hours of coding time.

I've now collected quite a few closed trades, mostly with brokers with zero or low spreads.
OK, i get it. Thanks Chuck...
Think Outside the Box.....
  • #669
  • Mar 24, 2013 9:20pm Mar 24, 2013 9:20pm
Quoting e-trader
Chuck, on the true side as well, i have some sets that say N/A where BBS or SSB are supposed to be. Does that mean its undecided?
Yep.... undecided is the right word to describe the situation. I'll explain more later.
  • #670
  • Mar 25, 2013 3:10am Mar 25, 2013 3:10am
Somewhat urgent upgrade.....

With AutoDirection set to true, you will have seen cases where some of the sets aren't being traded. This happens when no discernable trend is in place (according to the indicator).

A problem arises when a set is already being traded when the trend switches to no trend. This leaves that set such that it is no longer being monitored. The EA may miss the opportunity to grab profits.

This is the first real bug and I apologise. Hopefully, I'm the only one trading live accounts. Of course, these trades don't really go very far one way or the other, so the bug may not have affected you.

I have attached the indicator again, even though it hasn't changed.
Attached File(s)
File Type: ex4 TriangularHedge_024.ex4   82 KB | 1,663 downloads
File Type: ex4 CurrencyStrength_001.ex4   20 KB | 1,150 downloads
  • #671
  • Mar 25, 2013 3:26am Mar 25, 2013 3:26am
Me again,

In case you guys are wondering about trading n currencies to reduce risk by novel exposure (relative to XXX/YYY pairs) I've quickly implemented such a system on a new account and have a trade explorer linked for it. It is based on all major currencies.

http://www.forexfactory.com/saussiche#06
  • #672
  • Mar 25, 2013 3:45am Mar 25, 2013 3:45am
Quoting saussiche
Me again,

In case you guys are wondering about trading n currencies to reduce risk by novel exposure (relative to XXX/YYY pairs) I've quickly implemented such a system on a new account and have a trade explorer linked for it. It is based on all major currencies.

http://www.forexfactory.com/saussiche#06
Can you tell us more about this? Is it something you are going to share with us? Perhaps another thread?
  • #673
  • Mar 25, 2013 4:38am Mar 25, 2013 4:38am
Quoting ChuckNZ
Can you tell us more about this? Is it something you are going to share with us? Perhaps another thread?
It's not really worth another thread. The example that I'm showing is a simple linear model that fits the currencies over the sample period, providing a spread with properties that make it desirable for trading. There are plenty of tools in the public domain for this type of thing, even some that are directly compatible with mt4 (I've seen one on the Russian mt4 site). It's a slightly different paradigm for trading than people are typically familiar with, but it's probably the most accessible and common type of quantitative strategy out there.
  • #674
  • Mar 25, 2013 2:25pm Mar 25, 2013 2:25pm
Disappointing rusults for me. How about you?

After 24 hours and lots of trades, using AutoDirection has underperformed running without it. Fewer profitable trades and higher drawdown with AutoDirection = true. Perhaps I should consider using it in reverse?

Waiting to hear from others.
  • #675
  • Mar 25, 2013 3:32pm Mar 25, 2013 3:32pm
Quoting ChuckNZ
Disappointing rusults for me. How about you?

After 24 hours and lots of trades, using AutoDirection has underperformed running without it. Fewer profitable trades and higher drawdown with AutoDirection = true. Perhaps I should consider using it in reverse?

Waiting to hear from others.
On my live account I am only running true. Have had a couple sets close but not many. I will switch it to false and see how it does.
On my demo both true and false, only false has closed trades and taken new ones. True has taken two on version 23 and both are still open.
Think Outside the Box.....
  • #676
  • Mar 25, 2013 3:42pm Mar 25, 2013 3:42pm
I've closed 7 sets with auto set to true but i'm only shooting for 8 points instead of 10.
I have a $5000 account with 100 to 1 leverage and trading .12 lots. I've made $55.20 and have a $247 float with 9 sets active. Paris
  • #677
  • Mar 25, 2013 5:51pm Mar 25, 2013 5:51pm
I have this running on 2 accounts.
Account 1 - auto direction = true, opened 2 sets, no TP, DD = 18 pips. Auto direction = false, 7 trades open. These trades were all open prior to the auto direction option being added, DD = 110 pips. 1 TP since market open this week.
Account 2 - Demo account running for 12 hours. no trades with auto direction = false ? And with auto direction = true, there is one pair ( not the whole set ) open, in profit 20 pips.
  • #678
  • Mar 25, 2013 6:49pm Mar 25, 2013 6:49pm
Because why would you enter a BBS or SSB when, say, the 3 pairs are going BSB or BSF (F for flat)? That makes no sense to me as to why you would open a trade w/out at least having the direction of 2 of the 3 pairs. Without having some sort of idea, this thing won't ever be profitable in the long wrong. Trend in the wrong direction on any of the 3 pairs and you can kiss your account good bye.

And what happens after you take the profit? Do you get back in again in the same exact direction? If so, see my comment on kissing your account good bye.

This strategy needs more direction.

Quoting ChuckNZ
How can the EA consider "current direction"? Current direction of what? Each set has three pairs. We are either buying, buying, selling or selling, selling, buying. If you can pick the direction of three pairs, you'll make a fortune.

No, the EA doesn't do any correlation. Basically, it opens three trades per set. End of story. The pairs, of course, are selected such that you are "almost" hedged. Choose the pairs wrong or have the BBS/SSB wrong way around and you can lose money quickly. I already found that out before I got...
  • #679
  • Mar 25, 2013 7:35pm Mar 25, 2013 7:35pm
i have this on 4 accounts/ 2 brokers, similar results posted already. only a few trades closed, some closed negative, i guess from the lag.
ill try with the updated version
  • #680
  • Mar 25, 2013 9:52pm Mar 25, 2013 9:52pm
Hi nondisclosure00
I have read your comments many times on other threads on basket/Triangular/Ring/Arbitrage
for many a year now....I believe you do have answers.
What indicators Would you have or use to help find the direction.....?
and do you have any tools to help in Three Pairs...
Regards Davros
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