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Three Pairs Hedging

  • #821
  • Nov 29, 2014 5:37am Nov 29, 2014 5:37am
Quoting Simihouse
Kjaved, I saw that the Hedging Strategy works fine with the magic, but once a magic reach the profit they close ALL the trades, also that of the hedged EA with different magic...should be a bug...
I checked but did not find any bug. check if any other EA making problem.
My Pips Stolen By The Broker
  • #822
  • Nov 29, 2014 6:32am Nov 29, 2014 6:32am
Quoting MathTrader7
{quote} Here is a new version of the EA which fixes the bug you mentioned, and opens a basket only if the spread of all three pairs become less than the specified values in the input settings of the EA. {file}

Good job Math
I think also the correct size in setting must be for, GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56 for a perfect hedge
  • #823
  • Nov 29, 2014 10:39am Nov 29, 2014 10:39am
Quoting MathTrader7
{quote} Here is a new version of the EA which fixes the bug you mentioned, and opens a basket only if the spread of all three pairs become less than the specified values in the input settings of the EA. {file}
Cheers MathTrader7.
  • #824
  • Nov 30, 2014 7:54am Nov 30, 2014 7:54am
Quoting Pierre
{quote} Good job Math I think also the correct size in setting must be for, GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56 for a perfect hedge
For the perfect hedge, as you mentioned, the lot sizes must be adjusted (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56). But the question is which combination of the lot sizes would be profitable, perfect or imperfect hedge?
Trading is the hardest way to make easy money...
  • #825
  • Nov 30, 2014 9:55am Nov 30, 2014 9:55am
Quoting MathTrader7
{quote} For the perfect hedge, as you mentioned, the lot sizes must be adjusted (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56). But the question is which combination of the lot sizes would be profitable, perfect or imperfect hedge?
Math with the perfect hedge the spread with retail broker eat eventual profit. you need trade with institutional broker with no spread (API FIX)
With imperfect hedge with rate GBPUSD 1.56 ( Buy GBPUSD Buy USDCHF Sell GBPCHF) at the end you are selling 0.56 lot USDCHF

I think the best is running SSB and BBS in the same time with the same ECN broker with low commissions ( perfect or imperfect hedge are the same as with imperfect hedge trading BBS and SSB in the same time you balance sell 0.56 with buy 0.56)

I think also the best is to choose pairs with lowest spread as EUR USD GBP

I will put your EA SSB and BBS on 2 charts. I will let you know the results
  • #826
  • Nov 30, 2014 1:45pm Nov 30, 2014 1:45pm
Quoting MathTrader7
{quote} For the perfect hedge, as you mentioned, the lot sizes must be adjusted (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56). But the question is which combination of the lot sizes would be profitable, perfect or imperfect hedge?
Hi Math,
Silly question:
The adjustments you referred need changes through time or are permanent values?
(Sorry for my english, is not my native language)
  • #827
  • Nov 30, 2014 1:51pm Nov 30, 2014 1:51pm
Quoting Arkhro
{quote} Hi Math, Silly question: The adjustments you referred need changes through time or are permanent values? (Sorry for my english, is not my native language)
Hi Arkhro, If you want to trade a perfect hedge, then you need to adjust the lot sizes in the input settings of the EA and start it.
Trading is the hardest way to make easy money...
  • #828
  • Nov 30, 2014 5:12pm Nov 30, 2014 5:12pm
Maybe I didn't make myself clear...
In this case (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56), do you input these settings permanently or do have to make adjustments every day?
  • #829
  • Nov 30, 2014 5:18pm Nov 30, 2014 5:18pm
Quoting Arkhro
Maybe I didn't make myself clear... In this case (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56), do you input these settings permanently or do have to make adjustments every day?
You apply these settings (GBPUSD 1 lot, GBPCHF 1 lot, USDCHF 1.56) permanently for perfect hedge.
Trading is the hardest way to make easy money...
  • #830
  • Nov 30, 2014 5:27pm Nov 30, 2014 5:27pm
Thank you Math!
  • #831
  • Nov 30, 2014 11:57pm Nov 30, 2014 11:57pm
Quoting kjaved
{quote} I checked but did not find any bug. check if any other EA making problem.
Ok Kjaved, I'll check again...

Actually we DON'T need a "perfect hedge"...a true perfect hedge non give losses...so no give gains...(that's why we talk about "inefficiency"); the problem, as I stated before, is just "realize" the gains and "stand" the losses. The hedge trading give us only the possibility to stand the losses as long as we must. This is very hard to do with single trades...if you no have almost unlimited accounts.
But how the drawdawn works? I attach an old indicator of Swingman that can be used only for EURUSD, USDCHF and EURCHF ring and I'm not able to open in order to chek if the calculation of FPI (actually the Spearman's divergence) is calculate following the Capella formulae or not. But anyway the value ranging between +1 and -1, so if we check the behaviours of the rings using the MathTrader7 v.2 EA we can verify the plus or minus referring the divergence values (see picture 1). If we can use a spread-free account our "margin" can be highest. Otherwise we should gain as the divergence exceed the 2.5/3% level. But also our drawdown should have a RANGE, as our gains. My 10 rings (sse post) played since 24/11 actually get a 36% drawdown, following the umbalance between the pair and umpair EAs (see pic 2) as the EURUSD go from the initial value of 12382 (opening 24/11) till the 12531 max of 26/11. As the EURUSD reverse to 12425 the umpair EAs start to gain and rebalance the DD (?). So keep observing.
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Hedge Ring EU UC EC 01.12.2014.png Size: 173 KB
Click to Enlarge Name: Hedge Rings 01.12.2014.png Size: 134 KB
Attached File(s)
File Type: ex4 SpielersHedge Divergence_v5.1.ex4   14 KB | 1,148 downloads
"If you want something go down, let it go up first" Lao-Tzu
  • #832
  • Dec 1, 2014 10:57am Dec 1, 2014 10:57am
Quoting Simihouse
{quote} But how the drawdawn works? I attach an old indicator of Swingman that can be used only for EURUSD, USDCHF and EURCHF ring and I'm not able to open in order to chek if the calculation of FPI (actually the Spearman's divergence) is calculate following the Capella formulae or not.}

Similhouse , Spieler system is based on price (divergence) of EURCHF and if levels 0.25, 0.50, 0.75 are triggered negatively you BUY EURUSD and USDCHF or if triggered positively you SELL EURUSD and USDCHF; these 2 pairs are negatively correlated . http://www.forexfactory.com/showthread.php?t=95721

Our system is arbitrage system but dont survive with brokers spread

If you wish trade correlations the better is Dreamliner system. http://www.forexfactory.com/showthread.php?t=160912 .The system work replacing stochastic with MA
  • #833
  • Dec 1, 2014 9:06pm Dec 1, 2014 9:06pm
Yes Pierre, I know the Spieler strategy (and also the Spieler's system EAs that no works and must be revisited), my suggestion, in order to limit the DD (this is our goal) is open a BBS ring as the Spieler divergence reach a value of -0,25 and continuing open the same basket untill the -1 value. Viceversa we can open SSB rings starting from the +0,25 value. This can be done with a good EA and applied to a broker with very low spreads. In this case the DD should be limited. Of course each ring must be closed at the smallest profit possible (I think around 30 for a 1 lot setting). In the picture below you can see as the basket BBS that I opened yesterday close at 30 dollar profit as soon the value of Spieler's divergence reached the 0,50% (we opened the hedged rings at a zero level). In order to do this with the rings different than EURUSD USDCHF EURCHF we should modify the settings of the Spieler's Hedge Divergence Indi above. This is the way to mix divergence and arbitrage....also because they are the two faces of the same medal...
Attached Image (click to enlarge)
Click to Enlarge Name: Hedge 1.12.2014.png Size: 39 KB
"If you want something go down, let it go up first" Lao-Tzu
  • #834
  • Dec 9, 2014 9:00am Dec 9, 2014 9:00am
Quoting Simihouse
Yes Pierre, I know the Spieler strategy (and also the Spieler's system EAs that no works and must be revisited), my suggestion, in order to limit the DD (this is our goal) is open a BBS ring as the Spieler divergence reach a value of -0,25 and continuing open the same basket untill the -1 value. Viceversa we can open SSB rings starting from the +0,25 value. This can be done with a good EA and applied to a broker with very low spreads. In this case the DD should be limited. Of course each ring must be closed at the smallest profit possible (I think...
Still you are using the hedge rings? what are the results so far? Gain, Loss, floating etc?

In long run what the system will do?
My Pips Stolen By The Broker
  • #835
  • Dec 16, 2014 2:54am Dec 16, 2014 2:54am
Hi Kjaved,

the hedges are still running, the drawdawn is stabilized at 61% but also the gains, the rings close much slowly and the gaps between pairs and umpairs rings is still on place. The strategy of random entries NO WORK IN THE LONG RUN. We must find an indicator in order to open ONLY ONE RING AT TIME in order to avoid the DD. I modified the Excell of Capella adding a FIP calculator, following the formulae, but tha values are not usefull to be used as indications for trade. As well the Spieler divergence indicator of Swingman that reset every day......maybe we can try with the Propmovement Indy, it seems follow very well the cycles of rings, so we can enter a directional ring EU EG GU SBB (yellow line) when reach the value of -500 and close as soon reach the 0 level and do the same with the EU EG GU BSS (red line). The problem is that I'm unable to change the rings settings of the indicator, so I can test only the EURUSD/EURGBP/GBPUSD ring...I'll do this week....

Keep working.....
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Hedge Trades 16 12 14.png Size: 152 KB
Click to Enlarge Name: Trading Propmovement EU EG GU.png Size: 117 KB
Attached File(s)
File Type: xls Triangular-Hedge FIP Calculator.xls   41 KB | 1,486 downloads
"If you want something go down, let it go up first" Lao-Tzu
  • #836
  • Dec 17, 2014 4:05am Dec 17, 2014 4:05am
Anybody tried to used it on binary option?
I wonder what will be the result.
Discussion is an exchange of knowledge;argument is an exchange of ignorance
  • #837
  • Dec 17, 2014 4:36am Dec 17, 2014 4:36am
Quoting PipPirates
Anybody tried to used it on binary option? I wonder what will be the result.
The problem is that Binary Options brokers usually offer sparse currency pairs such that you cannot find all the three pairs to close a ring.
Trading is the hardest way to make easy money...
  • #838
  • Dec 17, 2014 6:58am Dec 17, 2014 6:58am
Quoting MathTrader7
{quote} The problem is that Binary Options brokers usually offer sparse currency pairs such that you cannot find all the three pairs to close a ring.
You are right about it, my broker doesn't support GBPCHF, USDCHF.
But can put trade on , USDJPY, EURJPY, EURUSD.

Here is my last day result on USDJPY, EURJPY & EURUSD on binary option.
Attached Image (click to enlarge)
Click to Enlarge Name: pair hedging.png Size: 44 KB

Here i won on 2 bet that's why i was profitable, but if won only on EURUSD & lost on rest of the two. Then i will get a total loss.
Perhaps, a smart combination could help in here. Anybody any idea?

Regards.
Discussion is an exchange of knowledge;argument is an exchange of ignorance
  • #839
  • Dec 18, 2014 8:32pm Dec 18, 2014 8:32pm
I just want try to answer to the first and foremost question about hedge tradings...why is better trade hedges instead of trading simple pairs? So I made some historical calculation on a selected numbers of hedge rings:
AUDJPY/NZDJPY/AUDNZD
AUDJPY/CADJPY/AUDCAD
NZDJPY/CADJPY/NZDCAD
EURJPY/GBPJPY/EURGBP
EURJPY/CHFJPY/EURCHF
I tested double hedges (a.e. Buy AUDJPY and sell NZDJPY that is equivalent to Buy AUDNZD) and triangular hedges (a.e. Buy AUDJPY, Buy NZDJPY and Sell AUDNZD that is equivalent to Sell half lot of AUDNZD). I was surprised to see that we no have any real benefit to trade hedges for the EUR crosses, instead we have great benefits in trading hedges for the AUD, NZD and CAD crosses...the benefits are nothing magic, we just reduce the DD (and in the same time the gains) for a value ranging between the 15% (Double Hedge AUDJPY CADJPY) and a maximum reduction of 84% obtained by trading the triangular hedge AUDJPY/CADJPY/AUDCAD. So that's only mean that we can stand a negative trade MUCH LONGER than trading the single pair...that's all. Trading hedges simply reduce DD and gains.
"If you want something go down, let it go up first" Lao-Tzu
  • #840
  • Dec 18, 2014 9:05pm Dec 18, 2014 9:05pm
Just wondering new currency for hedging.

AUDCHF -BUY or SELL
EURAUD -BUY or SELL
EURCHF - SELL or BUY.

Have any one tried this combination??
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