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Zeusjoes Market-Neutral Hedge Strategy

  • #761
  • Feb 3, 2014 4:52pm Feb 3, 2014 4:52pm
Quoting scooby-doo
{quote} ... But not having some kind of stoploss across both pairs is a disaster waiting to happen when the carry trade starts to unwind. You will end up with both trades staying negative for days, ..... Scoobs.
Many thanks for the warning Scoobs. Can you share any guidelines of stoploss you may set if you traded this method?
FYI, my profit target is marginal like 1 to 2 dollars for 0.01 lot each traded with ibfx micro lot account (suffix m) managed by an EA, which is about 40 to 50 pips move, net of traded pairs. Thanks, Akira
  • #762
  • Feb 3, 2014 5:10pm Feb 3, 2014 5:10pm
Quoting RisingSun
{quote} Many thanks for the warning Scoobs. Can you share any guidelines of stoploss you may set if you traded this method? FYI, my profit target is marginal like 1 to 2 dollars for 0.01 lot each traded with ibfx micro lot account (suffix m) managed by an EA, which is about 40 to 50 pips move, net of traded pairs. Thanks, Akira
I would set each one based on its daily range over 5, 10 and 20 days. Now, yes, that's not a very good R:R ratio if your TP is < 50 pips etc but its better than not setting it to something.

Many in the past used this method to trade EURUSD and USDCHF. When it works then yes you will make lots of small profits relative to your account balance. But if the Swiss, Europe or USA decides to devalue or manipulate their currencies then you will get wiped out in a short period of time. Back in 2012 a large Swiss hedge fund sold its Swiss francs and bought USD which left allot of people trading this method with one big headache.

When the carry trade unwinds then the CHF will not be able to keep up with the USD moves. Basically your SELL trade goes negative and so does your BUY trade. If they were positively correlated, then they become un-correlated and vice versa. You can end up losing 700 pips in a few hours. That usually happens on a Friday afternoon a certain points in a trading year. Spotting it however is rather troublesome. For that reason, if you are going to use this method, then makesure you have some kind of stoploss and do not trade it on any Friday. If you have trades open going into a Friday then close them out and start again on Monday morning. Having said that, any kind of trading on a Friday when USA comes on-line is potentially dangerous depending on the economic calendar.

Have a look what happened today with trading this method using GBPUSD and EURUSD. The GBP nearly fell off a cliff and the EUR wouldn't have been able to keep up to negate your other losing trade.

Scoobs.
  • #763
  • Feb 3, 2014 5:37pm Feb 3, 2014 5:37pm
Quoting scooby-doo
{quote} ... based on its daily range over 5, 10 and 20 days. Now, yes, that's not a very good R:R ratio if your TP is < 50 pips etc but its better than not setting it to something....makesure you have some kind of stoploss and do not trade it on any Friday. If you have trades open going into a Friday then close them out and start again on Monday morning[highlight=rgb(244, 246, 249); color:rgb(0, 0, 0); font-family:verdana,helvetica,sans-serif].[/highlight] ...
Points well taken. Re. GBPUSD-EURUSD today, my chart didn't show a meaningful disparity (1st chart) during Asian market hours (my zone), hence didn't trade this paring. And as you say, after London - NY, the picture turned completely different. But it seems the huge disparity disappeared toward the NY close (2nd chart). This GBP fell off did affect my other method to a large extent. Thanks again Scoobs for your kind input. Akria
Attached Image(s) (click to enlarge)
Click to Enlarge Name: 2014-02-04 08_24_47-10373086_ IBFX Australia - Demo Account - GBPUSDm,H1.png Size: 25 KB
Click to Enlarge Name: 2014-02-04 08_25_54-10373086_ IBFX Australia - Demo Account - GBPUSDm,H1.png Size: 24 KB
  • #764
  • Feb 4, 2014 12:55am Feb 4, 2014 12:55am
Another fish today ...
AUDUSD-NZDUSD after Aussie interest rate news
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-02-04 15_50_55-196941_ OANDA - MetaTrader - AUDUSD,H1.png Size: 56 KB
  • #765
  • Feb 4, 2014 3:45am Feb 4, 2014 3:45am
[highlight=rgb(244, 246, 249); color:rgb(0, 0, 0); font-family:verdana,helvetica,sans-serif]AUDUSD-NZDUSD target hit ...[/highlight]
[highlight=rgb(244, 246, 249); color:rgb(0, 0, 0); font-family:verdana,helvetica,sans-serif]
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-02-04 18_41_25-196941_ OANDA - MetaTrader - AUDUSD,H1.png Size: 58 KB
[/highlight]
  • #766
  • Feb 4, 2014 10:02am Feb 4, 2014 10:02am
Quoting RisingSun
AUDUSD-NZDUSD target hit ... {image}

Well, according to my average daily range calculation AUDUSD is 88pips and NZDUSD is 76pips. using 1,5,10,20 combined average range.

So use the higher one of the two and set both stoplosses to 88pips (4 digit broker).

Will be interesting to see how much profit you can make using this method before one or both hit their stoploss values.

Scoobs.
  • #767
  • Feb 4, 2014 2:21pm Feb 4, 2014 2:21pm
Quoting scooby-doo
{quote} Well, according to my average daily range calculation AUDUSD is 88pips and NZDUSD is 76pips. using 1,5,10,20 combined average range. So use the higher one of the two and set both stoplosses to 88pips (4 digit broker). Will be interesting to see how much profit you can make using this method before one or both hit their stoploss values. Scoobs.
Thank you Scoobs for your continued attention. I used the attached indicator that gives ATR and set it for 10 daily average. I was a bit scary to use the 1x value by the look on the chart, so have multiplied by 2. That is what is printed in Yellow on the chart. I am not familiar with the "combined" average range of 1, 5, 10 and 20 periods; would you mind elaborating a bit? Akira

Attached File(s)
File Type: mq4 ATR in Pips.mq4   3 KB | 721 downloads
  • #768
  • Feb 4, 2014 2:27pm Feb 4, 2014 2:27pm
Quoting RisingSun
{quote} Thank you Scoobs for your continued attention. I used the attached indicator that gives ATR and set it for 10 daily average. I was a bit scary to use the 1x value by the look on the chart, so have multiplied by 2. That is what is printed in Yellow on the chart. I am not familiar with the "combined" average range of 1, 5, 10 and 20 periods; would you mind elaborating a bit? Akira {file}
Hi,

ATR(PERIOD_D1,1,0) + ATR(PERIOD_D1,5,0) + ATR(PERIOD_D1,10,0) + ATR(PERIOD_D1,20,0) / 4

Scoobs
  • #769
  • Feb 4, 2014 3:31pm Feb 4, 2014 3:31pm
Quoting scooby-doo
{quote} Hi, ATR(PERIOD_D1,1,0) + ATR(PERIOD_D1,5,0) + ATR(PERIOD_D1,10,0) + ATR(PERIOD_D1,20,0) / 4 Scoobs
Oh, I see. Thanks, Akira
  • #770
  • Feb 4, 2014 4:34pm Feb 4, 2014 4:34pm
Last trade for the week ...
EURCHF-EURAUD
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-02-05 07_31_52-10373086_ IBFX Australia - Demo Account - EURAUDm,H1.png Size: 64 KB
  • #771
  • Feb 4, 2014 7:12pm Feb 4, 2014 7:12pm
It's a quick one ...
[highlight=rgb(244, 246, 249); color:rgb(0, 0, 0); font-family:verdana,helvetica,sans-serif]EURCHF-EURAUD[/highlight]
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-02-05 10_06_55-10373086_ IBFX Australia - Demo Account - EURCHFm,H1.png Size: 59 KB
  • #772
  • Feb 14, 2014 6:25pm Feb 14, 2014 6:25pm
So, here is the summary of trades for weeks 1 & 2 of February, 2014. Total profit in Pips: 405, Number of trade taken: 18, Average profit in Pips: 24. For details see trade explorer in my profile page.
Attached Image (click to enlarge)
Click to Enlarge Name: 2014-02-15 09_18_20-Microsoft Excel - Book1.png Size: 93 KB
  • #773
  • Mar 12, 2014 5:23am Mar 12, 2014 5:23am
Hi, RisingSun! Could you tell me how do you enter your trades. Do you enter trades after your indicator riches some level or when you see reversal signal on one of the pairs?

Thank you!
  • #774
  • Apr 22, 2014 5:56pm Apr 22, 2014 5:56pm
Quoting bob348
Hi, RisingSun! Could you tell me how do you enter your trades. Do you enter trades after your indicator riches some level or when you see reversal signal on one of the pairs? Thank you!
Hi bob348,

My apologies for not replying earlier. Have totally missed your post somehow.

The ocs indi at the bottom of my screenshot draws pink lines and says Trading OK if the distance bar is above or below it. That is the 1st condition, then you will have to decide if it is the highest (lowest), but you will need some screen time to get the feel. You may at times need to make second or even third (very rarely) entries to average your entries (for both pairs, of course).

I can email you a zip file containing all components I use if you like. Pls PM me if you want.

Market has been inactive for this method to trade often but here is one just closed (very small gains though).

Attached Image (click to enlarge)
Click to Enlarge Name: 2014-04-22 20_48_30-444357_ OANDA - MetaTrader - NZDCHF,H4.png Size: 47 KB
  • #775
  • Jun 2, 2014 1:44am Jun 2, 2014 1:44am
This looks very interesting,is anyone still trading it?

Martin
  • #776
  • Jun 13, 2014 9:58pm Jun 13, 2014 9:58pm
I hope someone can help me. I have played with this strategy for 2 yrs and was about to give up as there will always be an extended period where correlated pairs deviate. What I have found is that there are some predictive qualities using the original indicator ...neutralpriceoscillator_V1....using certain parameters and certain pairs it will give you a short term prediction on the direction of these pairs.....the problem I have encountered is that the indicator wont work on newer versions of MT4......I get the following error when I attach the indicator....startingtime seems to be wrong...when I try to remove the staring time parameter from the code, it won't load at all. If someone can help me I will share the parameters I use to help predict short term direction. thx.
  • #777
  • Edited 7:52am Jun 25, 2014 3:03am | Edited 7:52am
Quoting tacirring
If someone can help me I will share the parameters I use to help predict short term direction. thx.
Hi @tacirring,

I recompiled the indicators and here you have the latest versions.
Please post what and how you trade...
Attached File(s)
File Type: rar NeutralHedge-Indicators.rar   113 KB | 1,798 downloads
  • #778
  • Jun 25, 2014 2:32pm Jun 25, 2014 2:32pm
tacirring,

I would greatly appreciate it, if you would share with us your discovery of the short term predictive qualities of the neutralpriceoscillator_V1 using certain parameters and certain pairs. It would be great to have help in knowing the short term direction.

Bruce

Quoting tacirring
I hope someone can help me. I have played with this strategy for 2 yrs and was about to give up as there will always be an extended period where correlated pairs deviate. What I have found is that there are some predictive qualities using the original indicator ...neutralpriceoscillator_V1....using certain parameters and certain pairs it will give you a short term prediction on the direction of these pairs.....the problem I have encountered is that the indicator wont work on newer versions of MT4......I get the following error when I attach the...
  • #779
  • Edited 10:19pm Aug 4, 2014 9:47pm | Edited 10:19pm
HI swingman:
ＹＯＵＲ　Ｉndicator is very good!
thank you!
  • #780
  • Aug 8, 2014 12:34pm Aug 8, 2014 12:34pm
Quoting RisingSun
So, here is the summary of trades for weeks 1 & 2 of February, 2014. Total profit in Pips: 405, Number of trade taken: 18, Average profit in Pips: 24. For details see trade explorer in my profile page. {image}
Hi Rising sun, are you still using this system?
Patience, let the market come to you!
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