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Hedge and Correlation Strategy

  • #3,941
  • Dec 19, 2014 7:12am Dec 19, 2014 7:12am
Hi Pierre,

many, many years ago I programmed somethings for the Spielers-Hedge System.
I have in remembrance that for each pair the EA have taken a different lot size to have something more uniform changes in the equity.
You're using the same lot size for all pairs, there is an explanation for this?
  • #3,942
  • Dec 19, 2014 7:23am Dec 19, 2014 7:23am
Quoting SwingMan
Hi Pierre, many, many years ago I programmed somethings for the Spielers-Hedge System. I have in remembrance that for each pair the EA have taken a different lot size to have something more uniform changes in the equity. You're using the same lot size for all pairs, there is an explanation for this?
yes the same size and it work. maybe with uniform equity lot size it will be better but I m not a programmer.......
If I remember spieler system worked on negatively correlated pairs
  • #3,943
  • Dec 19, 2014 7:33am Dec 19, 2014 7:33am
Quoting Pierre
... 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
Just an other question: in such cases, it is not perhaps economical to take only a trade-couple and not all 5?
  • #3,944
  • Dec 19, 2014 8:40am Dec 19, 2014 8:40am
Yesterday install your Ea, as you explained.
Tonight has done a couple of operations that still remain open.
You have it the same?
Greetings and thanks for your share.


Attached Image (click to enlarge)
Click to Enlarge Name: Image1.png Size: 7 KB
  • #3,945
  • Edited 3:26pm Dec 19, 2014 3:13pm | Edited 3:26pm
Quoting Pierre
{quote} yes the same size and it work. maybe with uniform equity lot size it will be better but I m not a programmer....... If I remember spieler system worked on negatively correlated pairs
Swingman in my opinion is right. I made a version of the robot, which calculates the size of the position. I also added the "Close" button, which is used to close the manual each of pair pairs. There is also a mechanism "Trailng Stop Equity", which is used to control the gain. I'm beginning to test next week.

http://s22.postimg.org/ruh2d9epd/2014_12_19_220037.png
хостинг изображений
  • #3,946
  • Dec 20, 2014 4:36am Dec 20, 2014 4:36am
Quoting jms
Yesterday install your Ea, as you explained. Tonight has done a couple of operations that still remain open. You have it the same? Greetings and thanks for your share. {image}
Yes
I have a couple of trades open. I think as to 7 january market will be flat. In november and december I has as 24 trades opened in the same time.

Swingman , I tried also the ea with one level only (2.5) and it was less profitable. may be you can code and put in the EA a TP for pairs with same magic number

The last ZSCORE ea modified is in post 3926 (modified levels, 0 divide error fixed, and PRICE_CLOSE fixed by Ronald)
  • #3,947
  • Dec 24, 2014 6:55am Dec 24, 2014 6:55am
Quoting Pierre
{quote} Yes I have a couple of trades open. I think as to 7 january market will be flat. In november and december I has as 24 trades opened in the same time. Swingman , I tried also the ea with one level only (2.5) and it was less profitable. may be you can code and put in the EA a TP for pairs with same magic number The last ZSCORE ea modified is in post 3926 (modified levels, 0 divide error fixed, and PRICE_CLOSE fixed by Ronald)
Pierre,

I have installed what you posted.... and since Dec 18 have made $267 trading .1 lots .... doing like you sometimes closing pairs and other times letting the EA close them. Thanks for bring this to our attention again..... It is working.
  • #3,948
  • Dec 24, 2014 7:10am Dec 24, 2014 7:10am
Quoting brucech
{quote} Pierre, I have installed what you posted.... and since Dec 18 have made $267 trading .1 lots .... doing like you sometimes closing pairs and other times letting the EA close them. Thanks for bring this to our attention again..... It is working.
thanks

Many members wrote me for some problems and I have noted the important is verify:
1 - the 15 pairs in the charts + 15 pairs in the EA setting ( total 30 pairs) must be all in the market watch otherwise EA open orfan pair
2 - brokers with low spread

And all problems will disappear

I'm GMT +1 and during the day I take a look 2/3 times and I close pairs in profit( 10 usd or more) and by night I leave the " close at profit " run

I tested as to 60 pairs but the best were the 15 + 15 pairs we are using now

Green pips to all
  • #3,949
  • Dec 24, 2014 9:09am Dec 24, 2014 9:09am
Hi Pierre
I like really your system and I'm thinking the communauty is going to improve it and simplify the EA.
I'm not a coder but I have introduced in the code a line to close the trades when the equity is reaching a predetermined percentage.
For instance with a 5 000 $ balance if you choose 2 % profit all the trades will close with 5 100 $ equity.
I don't know if that is really useful for you because it's not a closing by pair but by basket (globally).
Could you post the indicator Zscore used in the EA ?
Regards.
  • #3,950
  • Edited 11:35am Dec 24, 2014 9:48am | Edited 11:35am
Quoting madscalp
...Could you post the indicator Zscore used in the EA ?
I guess this is what you need...
I have made some changes in the existing indicator.
Attached File(s)
File Type: mq4 Diff ZScore 2 pairs.mq4   4 KB | 1,921 downloads
  • #3,951
  • Dec 24, 2014 10:06am Dec 24, 2014 10:06am
Thx SwingMan
I'm thinking it's a good system but I'm not sure we need use as many pairs...
it's a "kolossal" work and many pairs have an important spread
  • #3,952
  • Dec 24, 2014 10:29am Dec 24, 2014 10:29am
Quoting madscalp
Thx SwingMan I'm thinking it's a good system but I'm not sure we need use as many pairs... it's a "kolossal" work and many pairs have an important spread
I dont know if you have read the ZeusJoes thread:
http://www.forexfactory.com/showthre...00#post2066300

Ehrmans ideas are very good, and Pierre use excellent a part of it

Many years ago I posted in thread some indicators, and everything was much more complicated. When I have time later, maybe I'll post some more.
  • #3,953
  • Dec 24, 2014 10:33am Dec 24, 2014 10:33am
Quoting SwingMan
{quote} I guess this is what you need... I have made some changes in the existing indicator. {file}
welcome back Swingman.

It is an indicator but the EA work without installing it
Can you lt us know the changes you have made at indicator ?
  • #3,954
  • Dec 24, 2014 10:35am Dec 24, 2014 10:35am
OK SwingMan
and yourself do you use this system with profit ?
  • #3,955
  • Dec 24, 2014 10:46am Dec 24, 2014 10:46am
Quoting madscalp
OK SwingMan and yourself do you use this system with profit ?
Not really. I say always that I'm not a trader
  • #3,956
  • Dec 24, 2014 10:54am Dec 24, 2014 10:54am
Quoting Pierre
It is an indicator but the EA work without installing it. Can you lt us know the changes you have made at indicator ?
Sure, I just wanted to know whether the EA uses the same formulas as the indicator.
I setted only the period on 200 and added for visualisation the levels 2, 2.5, 3.1, 3.5 (like the EA).

So you can check (historical) the EA-entrys. For me are some signals strange, and takes some time to check them.
  • #3,957
  • Edited 11:39am Dec 24, 2014 10:57am | Edited 11:39am
Quoting madscalp
Hi Pierre I like really your system and I'm thinking the communauty is going to improve it and simplify the EA. I'm not a coder but I have introduced in the code a line to close the trades when the equity is reaching a predetermined percentage. For instance with a 5 000 $ balance if you choose 2 % profit all the trades will close with 5 100 $ equity. I don't know if that is really useful for you because it's not a closing by pair but by basket (globally). Could you post the indicator Zscore used in the EA ? Regards.
You will find the indicator with bug fixed by Ronald in post 3534 but this indicator is very MT4 consuming. You dont need use it
In the EA I have modified the levels at which the trade is triggered..


If you use less pairs you must have a bigger lot size with more DD and risk if you want the same result

I tried for some months all the correlation systems (BBS, SSB, ZEUSjoes system, Spieler system, dreamliner using stochastics etc...) they dont work

If we wish improve ZSCORE EA we can add code for closing pair in profits but this will nullify the EA closing basket at profit and I think it will be not good because we will have the risk that couple of pairs in loss will never be closed.
Instead ad a code line for closing with a percentage % profit will be useful but will don't change the system, only we will don't need anymore the close at profit EA
  • #3,958
  • Dec 24, 2014 11:02am Dec 24, 2014 11:02am
Quoting SwingMan
{quote} Sure, I just wanted to know whether the EA uses the same formulas as the indicator. I setted only the period on 200 and added for visualisation the levels 2, 2.5, 3.1, 3.5 (like the EA). So you can check (historical) the EA-entrys. For me are some signals strange, and takes some time to check them.
The EA I posted 3926 has the following entries

double High_Level_Value[5]={2.5, 3.1, 3.5, 4.1, 4.5};
bool High_Level_Actived[5]={false,false,false,false,false};

double Low_Level_Value[5]={-2.5, -3.1, -3.5, -4.1, -4.5};
bool Level_Low_Value[5]={false,false,false,false,false};

I modified the old entries after many test
  • #3,959
  • Dec 24, 2014 11:39am Dec 24, 2014 11:39am
Quoting Pierre
The EA I posted 3926 has the following entries double High_Level_Value[5]={2.5, 3.1, 3.5, 4.1, 4.5};
I changed the Level values, you can reload the file:
http://www.forexfactory.com/showthre...95#post7961395

For me seems that the period 200 is to large...
  • #3,960
  • Dec 25, 2014 4:05am Dec 25, 2014 4:05am
Quoting Pierre
{quote} I tried for some months all the correlation systems (BBS, SSB, ZEUSjoes system, Spieler system, dreamliner using stochastics etc...) they dont work
Hi Pierre
Your experience about these systems is useful.
Let us wait for a coding of closing by pair...
Merry Christmas.
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