Hedge and Correlation Strategy | Page 199 | Forex Factory

Options

Go to
Permalinks
Print Thread

Similar Threads

Correlation + Momentum Strategy? 6 replies

MT4 MTF Correlation table and Correlation oscillator indicators 155 replies

InsomiaFX Correlation Double Hedge EA 66 replies

Looking for EA for Correlation Strategy 6 replies

Hedge strategy (not a hedge fund) 13 replies

Attachments: Hedge and Correlation Strategy
Exit Attachments

Hedge and Correlation Strategy

  • #3,961
  • Dec 25, 2014 6:03am Dec 25, 2014 6:03am
Quoting SwingMan
{quote} 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...
I tried period 20 50 100 much much trades and large DD. I tried 500 few trades and MT4 consuming
For me 200 is the best but you can try other periods

Useful will be uniform the lots adding code in the EA and give a try
  • #3,962
  • Dec 25, 2014 10:47am Dec 25, 2014 10:47am
Quoting SwingMan
{quote} I guess this is what you need... I have made some changes in the existing indicator. {file}
Thank you SwingMan for this visual indicator, so that we can see what the EA is looking at as it takes the trades. It is very very helpful! Much appreciated!

A little request. 1. Would it be possible to make both Second_Pair and First_Pair selectable in the external settings?
2. External settings for the levels so we can select them also?

Thanks.

Bruce
  • #3,963
  • Edited 4:55pm Dec 25, 2014 3:04pm | Edited 4:55pm
Quoting brucech
...A little request. 1. Would it be possible to make both Second_Pair and First_Pair selectable in the external settings? 2. External settings for the levels so we can select them also?
Maybe something like this...
If there is interest, I develop further the signal indicator.
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH1.png Size: 23 KB
Attached File(s)
File Type: tpl ZScore-1.tpl   2 KB | 852 downloads
File Type: mq4 smZScore SecondPair.mq4   3 KB | 1,125 downloads
File Type: mq4 smZScore Signals_v1.mq4   6 KB | 1,131 downloads
  • #3,964
  • Dec 26, 2014 5:50am Dec 26, 2014 5:50am
Quoting SwingMan
... If there is interest, I develop further the signal indicator.
As I can see, no one is interested...
Attached Image (click to enlarge)
Click to Enlarge Name: EURUSDH1.png Size: 48 KB
Attached File(s)
File Type: ex4 smZScore Signals_v2.ex4   40 KB | 865 downloads
  • #3,965
  • Dec 26, 2014 6:08am Dec 26, 2014 6:08am
Quoting SwingMan
{quote} As I can see, no one is interested... {image} {file}
No SM good work . But we cannot put the indi on 15 pairs. Mt4 freeze.

Your indi is very useful for trading some couple of pairs manually and entering the trade when couples of pairs are recoupling (following trend) while with the EA we enter the trade when couple of pairs are decoupling (countertrend)
  • #3,966
  • Dec 26, 2014 6:47am Dec 26, 2014 6:47am
Yes I confirm.
The indis are slackening MT4 but are helpful for a few trades.
  • #3,967
  • Dec 26, 2014 7:21am Dec 26, 2014 7:21am
Quoting SwingMan
{quote} As I can see, no one is interested... {image} {file}
I am really interested in Hedge and Correlation Strategies read this thread and a thread at aktienboard and have put a lot of time into analyzing correlation strategies. The problem I faced with them is that even though currencies are correlated they slowly drift apart and after some time you can end up with a huge huge drawdown.

I haven't looked into your latest invention but is there a way you addressed the issue like forcing the indicator to be above and below the 0 value roughly 50% of the time (e.g. calculating a dynamic 0 level and adjusting the values) ?
Of course this will mean that if the dynamic values changes to much even trades entered at the + 4 level and exited at 0 could be a looser but at least we would get out of them eventually.
  • #3,968
  • Dec 26, 2014 8:09am Dec 26, 2014 8:09am
Quoting SwingMan
{quote} As I can see, no one is interested... {image} {file}
SM
in EA code in line 58 I see a code for closing pair two but I don't see the same code for closing pair one.
//Close Pair 2
c2=iClose(Second_Pair,0,j);
if (Invert) c2=1/c2;

s+=MathPow(MA_2-c2,2);

Can you explain us why?

Ca you explain also in the EA the standard deviation between the 2 pairs how is calculated ? Moving average with which period?
  • #3,969
  • Dec 26, 2014 8:21am Dec 26, 2014 8:21am
Quoting Kilian19
{quote} I am really interested in Hedge and Correlation Strategies read this thread and a thread at aktienboard and have put a lot of time into analyzing correlation strategies. The problem I faced with them is that even though currencies are correlated they slowly drift apart and after some time you can end up with a huge huge drawdown. I haven't looked into your latest invention but is there a way you addressed the issue like forcing the indicator to be above and below the 0 value roughly 50% of the time (e.g. calculating a dynamic 0 level and...
The dynamic level at 0 Value is the mean deviation in pips for i.e. 200 period on 1 h chart between 2 pairs
When the 2 pairs after decoupling come back to this deviation you take profit but almost the time we take profit before the return at the 0 level or closing the basket in profit or closing manually couple of pairs in profit

Yes you are right 2 pairs correlated can continue to decoupling for long time and this can become a huge DD; then we use a basket of 15 coupled pairs
  • #3,970
  • Dec 26, 2014 10:38am Dec 26, 2014 10:38am
Quoting Pierre
{quote} SM in EA code in line 58 I see a code for closing pair two but I don't see the same code for closing pair one. //Close Pair 2 c2=iClose(Second_Pair,0,j); if (Invert) c2=1/c2; s+=MathPow(MA_2-c2,2); Can you explain us why? Ca you explain also in the EA the standard deviation between the 2 pairs how is calculated ? Moving average with which period?
Pierre,

From what I understand the iClose(Second_Pair,0,j) is to get the close price of the candle. It is not for closing the position. This what SM has given us is an indicator not an EA, so it does not opening or closing of positions.

Bruce
  • #3,971
  • Dec 26, 2014 10:39am Dec 26, 2014 10:39am
Quoting SwingMan
{quote} As I can see, no one is interested...
SM,

I am very interested in this. Please continue to share, it is very beneficial for us.

Bruce
  • #3,972
  • Dec 26, 2014 2:41pm Dec 26, 2014 2:41pm
Version 3 with a few more statistics.

Hi guys, I'm sorry if I post without many explanations.
I assume that the members already know everything, and I just need to program...

The signal indicator is only a primitive simulation for the EA because it can be taken only the signals for level 1. For tests you can change the period and the level values.
Because the indicator need computing time, you should only use it in a "single" test chart.

I have, for example, checked that actually the results for the pair EURUSD-GBPUSD for the period 200 and level1 = 2.5 are very good, as Pierre has been tested.

For other pairs and maybe for other parameter setings the indicator can be used as follows:
- In the EURUSD chart you put the second pair on GBPUSD. You record the statistical results of the simulation for some parameter settings
- Then drag a different pair in the chart, for example EURJPY. Here you can see that although the hit rate is 73%, due to huge losses the end result is negative.
Attached Image (click to enlarge)
Click to Enlarge Name: EURJPYH1.png Size: 44 KB
Attached File(s)
File Type: ex4 smZScore Signals_v3.ex4   42 KB | 1,126 downloads
  • #3,973
  • Dec 26, 2014 3:09pm Dec 26, 2014 3:09pm
Quoting SwingMan
Version 3 with a few more statistics. Hi guys, I'm sorry if I post without many explanations. I assume that the members already know everything, and I just need to program... The signal indicator is only a primitive simulation for the EA because it can be taken only the signals for level 1. For tests you can change the period and the level values. Because the indicator need computing time, you should only use it in a "single" test chart. I have, for example, checked that actually the results for the pair EURUSD-GBPUSD for the period 200 and level1...
great robot SwingMan.
Now it's even better seen how important is the proper selection of the size of positions in each set of pairs.
Can you write the next result expressed in points, the result expressed as a percentage?
  • #3,974
  • Dec 26, 2014 3:32pm Dec 26, 2014 3:32pm
when does alpari or the market in general for most brokers reopen? most likely on monday? i can't find any information for the current holiday period.

sory if this is extremly off-topic.
  • #3,975
  • Edited 8:27am Dec 27, 2014 3:52am | Edited 8:27am
Quoting SwingMan
Version 3 with a few more statistics. Hi guys, I'm sorry if I post without many explanations. I assume that the members already know everything, and I just need to program... The signal indicator is only a primitive simulation for the EA because it can be taken only the signals for level 1. For tests you can change the period and the level values. Because the indicator need computing time, you should only use it in a "single" test chart. I have, for example, checked that actually the results for the pair EURUSD-GBPUSD for the period 200 and level1...
Great indi SM
for EURUSD-GBPUSD I see a ratio W/L 85 %
that's how long ?
  • #3,976
  • Edited 3:48am Dec 29, 2014 3:24am | Edited 3:48am
Sorry I'm not good at speaking english. First time post here !! Thanks for sharing this great system. Specially thanks to SwingMan for sharing his souce code.. So I can deep analyzing this. Also thanks Pierre and others to share their trade idea.


like picture below .. I think we shouldnt trade when stoch is overheat. Yes it might be a chance to win but it mean one pairs crash or climb too deep. Price different will make you hard to recover.

And I think z-score system is good. But we should trade it like ...hmm "deviate" or "wave" . Most time 5 level will be hit at same or next 5 bars. We should get more lot when next high point of wave to get highst diffent price between 2 paris.

We might not to get profit on this trade. But we can decrease huge DD and recover from other trades.

mid indi is sw's zscore indi
bottom indi is stoch 2pairs different indi



Attached Image (click to enlarge)
Click to Enlarge Name: overheat.jpg Size: 162 KB
  • #3,977
  • Dec 29, 2014 11:12pm Dec 29, 2014 11:12pm
Hi Pierre,

I am new here. Thanks for sharing your knowledge.

I am interested in testing your system and will share my results in time.

Can you tell me what is the EA Zscore Diff used for ? When I open the CloseAtProfit EA MT4 asked to close Zscore Diff...

I am using Diff ZScore 2 pairs Indi, open trades when above 2.5 or below -2.5. Then use CloseAtProfit EA to close trades when profit target is reached. I could not figure how to use Zscore Diff EA and where does it fit in.

Thanks for your time.
  • #3,978
  • Dec 30, 2014 11:56am Dec 30, 2014 11:56am
You will lose all the money you have in your account with One or Two bad entries if you use this strategy. Correlation between fx pairs can break down completely anytime and this will lead to huge DD. You can try to optimize and find the best SL/TP values for each pair but this will be curve-fitted and will not work for the future.
  • #3,979
  • Dec 31, 2014 7:11am Dec 31, 2014 7:11am
Quoting Diilz
You will lose all the money you have in your account with One or Two bad entries if you use this strategy. Correlation between fx pairs can break down completely anytime and this will lead to huge DD. You can try to optimize and find the best SL/TP values for each pair but this will be curve-fitted and will not work for the future.
Another heart breaker here
My Pips Stolen By The Broker
  • #3,980
  • Jan 2, 2015 5:53pm Jan 2, 2015 5:53pm
Quoting Diilz
You will lose all the money you have in your account with One or Two bad entries if you use this strategy. Correlation between fx pairs can break down completely anytime and this will lead to huge DD. You can try to optimize and find the best SL/TP values for each pair but this will be curve-fitted and will not work for the future.
To minimize loss, i thing you need to adapt Zscore to a 3 pairs Hedges system.
6 traders viewing now