Quoting dofDislikedWhy not buy only gbp/jpy, you will have the best interest
If you are going for the long run, it can go much highier, it's a double winnerIgnored
Why do indicators not work/work? Why is Forex not truly random? 129 replies
Adding to profit, would this work? 0 replies
would this silly system work 6 replies
What broker would work well in this situation? 7 replies
would this strategy work? 1 reply
Quoting dofDislikedWhy not buy only gbp/jpy, you will have the best interest
If you are going for the long run, it can go much highier, it's a double winnerIgnored
Quoting mrmikalDislikedI didn't read that part of the post...however equaling the pip value doesn't actually get you the correct hedge, does it? If that's the case, we're assuming that the pip movement is in synch, which I don't think is accurate. I think the value change is what is correlated.
I'm going to create a little indicator in wealth lab to see what the actual daily correlation is to see if I can't better understand how to do this.Ignored
Quoting mrmikalDislikedOK...I back tested this thing and got some disturbing results.
The correlation of up days and down days may be correct, but the actual pip-movement varies quite wildly.
To do my testing:
- I bought 100 micro-lots of the GBPUSD
- I determined the number of micro lots of the USDCHF to buy by taking the daily opening price of USDCHF and multiplying it times 100 micro lots. So if the opening price was 1.3000, I would buy 130 micro lots. This gives you the roughly the same per-pip profit of $10.
- I then calculated the daily profit change.
Based on my back tests:
2002 - Max Drawdown of about $26,000, minimal updraw...ended the year near the low
2003 - Max Drawdown of about $12,000, minimal updraw...ended year down $9,078
2004 - Minimal Drawdown, Max updraw of $19,000...ended year up $4,286
2005 - Max Drawdown of $4,000, Max updraw of $6,600...ended year up $3,609
Not sure about you, but although the last couple of years results were pretty good, the first 2 years are absolutely frightening.
I'm beginning to wonder how correlations are calculated...I suppose there has to be something I'm missing...but I did take the rate info I had and compared them against both years, so unless the data synch was wrong, but I doubt it...
Anyone want to suggest something? or has anyone run a back-test with contrary results?Ignored
Quoting SisterCurareDislikedI'm not sure if backtesting this system would ever work. Negative float is to be expected, with this system you never have to take a loss. I'm not sure why you would take a loss. The only time you close a position is when you make a profit, even if it is small, and then you re-open the positions right away, the rate does not matter. The best part of this system is the acumulation of interest, were you able to add the payment of interest in your backtests?
How about this...can you backtest tick by tick, taking profit at a positive differential of 20 pips, never take a loss, and add the interest from rollover to your balance?Ignored
Quoting SisterCurareDislikedIt's not really a buy and hold, and did you take into account the interest compunds as you add more lots as account equity increases? It's simple, you earn interest each day no matter what, and you hold positions through periods of negative float, until the hedge becomes profitable, which it is bound to. Unless your account is overleveraged, you will not get a margin call. I've been holding a hedged position with Oanda using $4600 out of $5000 in margin all day (at 50:1) and have not gotten a margin call, and cable has clearly outperformed swissy today. I have also hedged the pairs with fxcm by buying 2 lots swissy to 1 lot cable (using $3000 out of $5000 at 100:1) and have not gotten a margin call. FXCM is scheduled to pay interest, per lot, of $10.45 on swissy and charge $4.40, per lot, on cable. As I mentioned, I have two lots on swissy, I will do this each day, and earn interest each day and on Wednesday, rollover is triple, you do the math. In addition, I will close the position if and when P/L equals $300, if it ever does, but I have to at least cover the total spread which is about $100 bucks at 100:1. You cannot backtest this system. Is it becoming clear?Ignored
Quoting twinchellDislikedI dont think Mrmikal is joking...Ignored
Quoting mrmikalDislikedTwin-baby,
You know me :-) All about kidding around and sh-t.Ignored
Quoting isufreak24Disliked
The way I've been calculating my positions to maximize this strategy on
with 50:1 leverage. I divide whatever amount I have on my account by 0.0588.
That gives me the lot number to buy on EUR/USD pair with still enough margin to
allow for deviation. So for $5,000, it's $85,034. Then I multiply 85,034 by
the
current USD/CHF rate, so in this case 85,034*1.2899, that equals to 109,685.
That way a pip on each pair equals to the same amount of money. And I open my
orders. "
sounds interesting.Ignored
Quoting twinchellDisliked
In all seriousness, the best way to go about determining if a strategy new to yourself is worth spending time on is to try to prove it wrong. Mrmikal has both spent time on it and proved it wrong. Im not saying it isnt profitable, it might be; however, Mrmikal is an extremely smart person whos test I would back anytime. If he is wrong, Id like to see it as much as he would. It would be great if he was wrong, because the strategy sounds good in theory.Ignored
Quoting mrmikalDislikedGuys thanks for the vote of confidence...but honestly...I WANT to be proven wrong here!! You're not helping :Ignored
Quoting happy camperDislikedHi isufreak,
Can you elaborate on this last part,I don't unerstand where did you get the number 0.0588 and what does the number 109,685 means and how do i use it when i open oreders.
It realy does sound interesting,i saw some of those strategies before but i did't realy look into them.
ThanksIgnored
Quoting smjonesDislikedWell, now you are just going to have to look closer aren't you?
(evil laugh inserted here)
ScottIgnored
Quoting mrmikalDislikedGuys thanks for the vote of confidence...but honestly...I WANT to be proven wrong here!! You're not helping :Ignored
Quoting mrmikalDislikedHappy,
What he means is he is normalizing the pip value. Thus for every pip movement in the USDCHF, it will move gain/lose the same value as the EURUSD.
Of course, he's buying $5000 worth of the euro which is different than saying he's buying 5000 euros.
To simplify it...when you open a hedge, buy x # of lots of the EUR/USD, then, to determine the # of lots you need to buy of the USD/CHF, simply multiply the current rate of the USD/CHF by the number of lots in the EUR/USD you bought. That "should" give you about the same pip value.
Here's a little math for you:
BUY 100K EUR/USD @ 1.2500 = 125,000 USD
SELL 100K EUR/USD @ 1.2501 = 125,010 USD
PROFIT on sale = $10 USD
LOTS of USD/CHF to buy @ 1.2200 = 100K * 1.2200 = 122K
BUY 122K USD/CHF @ 1.2200 = 148,840 CHF
SELL 122K USD/CHF @ 1.2201 = 148,852.2 CHF
PROFT on sale = 12.2 CHF / 1.2201 (rate) = $9.999180395 ~ $10 USD
get it?Ignored
Quoting JosTheelenDislikedI think your interest-story is correct. But a high correlation between EURUSD and USDCHF doesn't mean that deviations will go back, like you wrote in the first post. That just depends how the EURCHF changes. Or did you mean something else?Ignored