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Hedge and Correlation Strategy

  • #3,921
  • Nov 3, 2014 3:46am Nov 3, 2014 3:46am
Quoting MaxDoom
{quote} If you are short UJ then you are -USD +JPY if you are long EJ then you are +EUR -JPY so in total you are -USD + EUR so you could just trade the EU is what is inferred.
Hehe thats great sum up
  • #3,922
  • Nov 17, 2014 5:41pm Nov 17, 2014 5:41pm
Quoting ronald_fsm
{quote} Thanks for the summary . How about the result using this strategy josch? thanks for your help
Strategy work on 1 H chart, Zscore ea with setting period 200, pairs higtly positive correlated

Put on another windows an EA which close all trades when profit is 100 ( I use 100 with eight pairs at 0.1 lot)
When EA close the trades you have to close and reopen metatrader and Zscore will reopen the trade if dev is > 2

EURUSD GBPUSD.
AUDUSD NZDUSD
GBPUSD AUDUSD
EURJPY USDJPY
EURUSD NZDUSD
EURUSD AUDUSD
EURJPY CHFJPY
EURJPY GBPJPY

For all pairs I keep the same magic number
  • #3,923
  • Dec 9, 2014 9:12am Dec 9, 2014 9:12am
Quoting Pierre
{quote} Strategy work on 1 H chart, Zscore ea with setting period 200, pairs higtly positive correlated Put on another windows an EA which close all trades when profit is 100 ( I use 100 with eight pairs at 0.1 lot) When EA close the trades you have to close and reopen metatrader and Zscore will reopen the trade if dev is > 2 EURUSD GBPUSD. AUDUSD NZDUSD GBPUSD AUDUSD EURJPY USDJPY EURUSD NZDUSD EURUSD AUDUSD EURJPY CHFJPY EURJPY GBPJPY For all pairs I keep the same magic number
When did you start testing this and what is the result till now? What max DD you have seen?
My Pips Stolen By The Broker
  • #3,924
  • Dec 16, 2014 5:53am Dec 16, 2014 5:53am
Quoting kjaved
{quote} When did you start testing this and what is the result till now? What max DD you have seen?
Attached File(s)
File Type: pdf Statement.htm.pdf   47 KB | 760 downloads
I use 16 pairs. max dd 150 lot 0.1
I use a second EA for close profit of the basket at 50 USD
I have modified the levels of zscore at 2.5 minimum instead 2.
If you give me an email I will send you pairs EA, modified and EA for take profit
I attach statement from 24 november ( the first trade is another strategy)
  • #3,925
  • Dec 16, 2014 5:41pm Dec 16, 2014 5:41pm
Quoting Pierre
{quote} {image}I use 16 pairs. max dd 150 lot 0.1 I use a second EA for close profit of the basket at 50 USD I have modified the levels of zscore at 2.5 minimum instead 2. If you give me an email I will send you pairs EA, modified and EA for take profit I attach statement from 24 november ( the first trade is another strategy)
Hello Pierre,
Please, Could you send me the Ea modified to [email protected] ?
Thank you very much in advance
  • #3,926
  • Dec 17, 2014 1:55pm Dec 17, 2014 1:55pm
Quoting arkan1976
{quote} Hello Pierre, Please, Could you send me the Ea modified to [email protected] ? Thank you very much in advance
This is how I use ZSCORE EA with profits
This system give me 700/800 profit every month with one broker deposit 5000 lot 0.1

I use 2 brokers with tight spread
1 Open Metatrader and disable autotrading
2 put the charts and order.wnd in a directory of profile (you can call it ZSCORE)
3 put the 2 ea in the experts
3 and reopen Metatrader
4 Open the profile ZSCORE. Check the EA "close at profit" is setted at 50 profit if your account is in USD or 33 if in GBP. No stoploss
5 Enable autotrading
thats all

I attach zscore ea with modified levels; 2.5 is the minimum divergence for opening trades( it open less trade) and period is 200 on 1 h chart

When a couple of pairs is in profit 10/15 I close manually and don't wait for the basket close. You need babysit the ea

Every couple of pair has a its own magic number so it is easiest to close the couple of pair in profit

You need broker ecn with tight spread

Green pips for all

Pierre
Attached File(s)
File Type: zip ZSCORE.zip   18 KB | 903 downloads
File Type: ex4 Zscore Diff.ex4   14 KB | 642 downloads
File Type: mq4 Zscore Diff.mq4   6 KB | 865 downloads
File Type: ex4 -CloseAtProfit.ex4   27 KB | 684 downloads
  • #3,927
  • Dec 17, 2014 8:34pm Dec 17, 2014 8:34pm
Quoting Pierre
{quote} This is how I use ZSCORE EA with profits This system give me 700/800 profit every month with one broker deposit 5000 lot 0.1 I use 2 brokers with tight spread 1 Open Metatrader and disable autotrading 2 put the charts and order.wnd in a directory of profile (you can call it ZSCORE) 3 put the 2 ea in the experts 3 and reopen Metatrader 4 Open the profile ZSCORE. Check the EA "close at profit" is setted at 50 profit if your account is in USD or 33 if in GBP. No stoploss 5 Enable autotrading thats all I attach zscore ea with modified levels;...
Thanks a lot Pierre .
Best regards
  • #3,928
  • Dec 18, 2014 2:19am Dec 18, 2014 2:19am
Quoting arkan1976
{quote} Thanks a lot Pierre . Best regards

my last statement with 0.05 lot from 30 november to 8 december and after with 0.1 lot
Attached File(s)
File Type: pdf Statement.pdf   7.3 MB | 1,143 downloads
  • #3,929
  • Dec 18, 2014 5:57am Dec 18, 2014 5:57am
Quoting Pierre
{quote} my last statement with 0.05 lot from 30 november to 8 december and after with 0.1 lot {image}
Thanks for your all info given. Can I ask how you manage if markets move a lot of pips like 200/300 or even 1200 pips in a month? Still the basket is manageable?
My Pips Stolen By The Broker
  • #3,930
  • Dec 18, 2014 6:07am Dec 18, 2014 6:07am
Quoting kjaved
{quote} Thanks for your all info given. Can I ask how you manage if markets move a lot of pips like 200/300 or even 1200 pips in a month? Still the basket is manageable?
If market move and I go in DD, I babysit the EA and begin close the double pair in profit, but after 2 month of test with the 16 pairs (I tested as to 32 pairs)the max DD was 250 GBP with 32 trades opened. after 1 day closing pairsin profit, 6 pairs remained opened in DD and after 24 h were closed by the EA Close at profit.

when you go in big dd you have to babysit the ea

This is my experience
  • #3,931
  • Edited 11:47am Dec 18, 2014 11:30am | Edited 11:47am
Quoting Pierre
{quote} If market move and I go in DD, I babysit the EA and begin close the double pair in profit, but after 2 month of test with the 16 pairs (I tested as to 32 pairs)the max DD was 250 GBP with 32 trades opened. after 1 day closing pairsin profit, 6 pairs remained opened in DD and after 24 h were closed by the EA Close at profit. when you go in big dd you have to babysit the ea This is my experience
Hi: Thanks for sharing.
May I ask couple of questions?
When I see your statement, there's positions closed when it is in negative. Did you close it manually? If so, how do you determined which positions to close at what SL?
You have 32 pairs opened and you closed all in profit and left with 6 pairs in DD. So, I don't know what is the criteria for closing positions in negative.

Also, this strategy that you are sharing really has nothing to do with Hedge and correlation, correct? The reason I asked is, Zscore opens order in Grid fashion. So, I don't know if using zscore to open positions has anything to do with hedging/correlation.
  • #3,932
  • Dec 18, 2014 11:39am Dec 18, 2014 11:39am
Quoting fx4_ever
{quote} Hi: Thanks for sharing. May I ask couple of questions? When I see your statement, there's positions closed when it is in negative. Did you close it manually? If so, how do you determined which positions to close at what SL? You have 32 pairs opened and you closed all in profit and left with 6 pairs in DD. So, I don't know what is the criteria for closing positions in negative.
Sometime I manually close a couple of pair always in positive ( one positive for 20 and the other one negative for 10 for example)

couple of pairs are hedged then risky close only one

no stoploss.

I take a look to my vps every 3 hours and if I see a couple of pair with profit (ie nzdusd and nzdjpy) I close the couple of pair but never I close only one.

Couple of pairs have the same magic number. putting the mouse on the trade you can check the 2 pairs with the same magic number and if in profit you close the 2 pairs
  • #3,933
  • Dec 18, 2014 11:52am Dec 18, 2014 11:52am
Quoting Pierre
{quote} Sometime I manually close a couple of pair always in positive ( one positive for 20 and the other one negative for 10 for example) couple of pairs are hedged then risky close only one no stoploss. I take a look to my vps every 3 hours and if I see a couple of pair with profit (ie nzdusd and nzdjpy) I close the couple of pair but never I close only one. Couple of pairs have the same magic number. putting the mouse on the trade you can check the 2 pairs with the same magic number and if in profit you close the 2 pairs
wow. you are using 2EAs and also intervene manually. That's a lots of work. lol But, it works for you, so great!
  • #3,934
  • Dec 18, 2014 12:06pm Dec 18, 2014 12:06pm
Quoting fx4_ever
{quote} wow. you are using 2EAs and also intervene manually. That's a lots of work. lol But, it works for you, so great!
yes because I m not a programmer and I dont know how zscore ea close the trades then I use also close at profit for close the basket at profit when target reached
. i open my vps 2/3 times a day , no more and I close manually couple of pairs in profit
  • #3,935
  • Dec 18, 2014 12:38pm Dec 18, 2014 12:38pm
Thanks for sharing...But,why is it 5 EU,3 EJ and 2 GU under the profile?
  • #3,936
  • Dec 18, 2014 7:40pm Dec 18, 2014 7:40pm
Quoting bazze
Thanks for sharing...But,why is it 5 EU,3 EJ and 2 GU under the profile?
bazze.

Click on each chart.
Open the Expert Advisors Properties.
You will notice Second_Pair and MAGICNUMBER are different for each EU and EJ.
Also one of the EU charts has the CloseAProfit EA.

Bruce
  • #3,937
  • Dec 19, 2014 2:44am Dec 19, 2014 2:44am
Quoting fx4_ever
{quote} .................... So, I don't know what is the criteria for closing positions in negative. Also, this strategy that you are sharing really has nothing to do with Hedge and correlation, correct? The reason I asked is, Zscore opens order in Grid fashion. So, I don't know if using zscore to open positions has anything to do with hedging/correlation.
fx4_ever, all the pairs are more or less positively correlated (the pair you see on the metatrader window and the correspondent pair you see opening the EA)
I tested as to 32x2= 64 pairs . these 16 pairs have the smallest DD . I attach the last DEMO forward test with thinkforex

The EA calculate the mean correlation for 200 period x 1 h between 2 pairs and if the divergence is bigger then 2.5 open countertrend 1 trade with the 2 pairs , and continue opening trade every time following levels are triggered

The modified levels are 2.5, 3.1, 3.5, 4.1, 4.5

CLOSE AT PROFIT EA close the basket. we need maybe one EA closing the pair with the same magic number in profit so we bypass the manual closing

In these days market is flat then we will see few trades
Attached File(s)
File Type: pdf 11394038 - Pietro Binelli.pdf   7.9 MB | 1,048 downloads
  • #3,938
  • Dec 19, 2014 5:24am Dec 19, 2014 5:24am
Quoting Pierre
{quote} fx4_ever, all the pairs are more or less positively correlated (the pair you see on the metatrader window and the correspondent pair you see opening the EA) I tested as to 32x2= 64 pairs . these 16 pairs have the smallest DD . I attach the last DEMO forward test with thinkforex The EA calculate the mean correlation for 200 period x 1 h between 2 pairs and if the divergence is bigger then 2.5 open countertrend 1 trade with the 2 pairs , and continue opening trade every time following levels are triggered The modified levels are 2.5, 3.1,...
Thanks for the info. Make sense now.
I don't know how you do this the way you do. I can't even imagine monitoring 64 pairs. I guess if you do this everyday, you can get used to doing it.
I noticed from your attached statement, opened positions have multiple orders open exactly same time, same price. Is that normal?
You said you are using VPS, so I am wondering if your session to VPS creates multiple orders.
  • #3,939
  • Dec 19, 2014 5:56am Dec 19, 2014 5:56am
Quoting fx4_ever
{quote} Thanks for the info. Make sense now. I don't know how you do this the way you do. I can't even imagine monitoring 64 pairs. I guess if you do this everyday, you can get used to doing it. I noticed from your attached statement, opened positions have multiple orders open exactly same time, same price. Is that normal? You said you are using VPS, so I am wondering if your session to VPS creates multiple orders.
the pair are 16 coupled (inside the EA) with others 16 pairs

When there is a news (NFP for example) and there is a BIG SPIKE the 5 levels sometimes are triggered at the same time and 5 couples of trades are opened at the same time (= 10 trades)

I take a look 3/4 times (ten minutes) a day and when I see a couple of pairs with same magic number in profit I close the couple of pairs

The EA close also the couple of pairs with same magic number when the level come back to 0

And the close profit EA close the basket at 50 USD profit

Very simple and for me profitable and I give credit to RONALD and ALBERT for this great EA . The original method using stochastic difference don't work

I asked at RONALD to put a take profit inside the EA for every coupled pair so manual intervention will no more needed and it will be all automatic with 3 system of closing (close by EA ZSCORE at 0 LEVEL + CLOSE by BASKET PROFIT + CLOSE COUPLED PAIRS BY EA )
  • #3,940
  • Dec 19, 2014 7:08am Dec 19, 2014 7:08am
Quoting Pierre
{quote} the pair are 16 coupled (inside the EA) with others 16 pairs When there is a news (NFP for example) and there is a BIG SPIKE the 5 levels sometimes are triggered at the same time and 5 couples of trades are opened at the same time (= 10 trades) I take a look 3/4 times (ten minutes) a day and when I see a couple of pairs with same magic number in profit I close the couple of pairs The EA close also the couple of pairs with same magic number when the level come back to 0 And the close profit EA close the basket at 50 USD profit Very simple...
Thanks again for the information and further explain the strategy.
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