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Hedge and Correlation Strategy

  • #3,981
  • Jan 3, 2015 12:23pm Jan 3, 2015 12:23pm
hello Pierre, one question.
the EA open 5 trades when reach 2.5 level, another 5 positions when reachs 3.1 level, etc...
is correct ?
in that case, it would be better to change Ea to open only one trade per level to avoid a high DD?
  • #3,982
  • Jan 4, 2015 10:45am Jan 4, 2015 10:45am
Quoting ForexSamsam
{quote} To minimize loss, i thing you need to adapt Zscore to a 3 pairs Hedges system.
But how? It's easy to understand with 2 pair zscore system.
Waiting zscore different then buy lower and sell higher. But what's is 3 paris or more? Can you explain a little plz?
  • #3,983
  • Jan 5, 2015 7:44pm Jan 5, 2015 7:44pm
2 years ago you continue to argue about the Zscore EA. I have many posts to read
  • #3,984
  • Jan 5, 2015 8:52pm Jan 5, 2015 8:52pm
Quoting MrGray
{quote} But how? It's easy to understand with 2 pair zscore system. Waiting zscore different then buy lower and sell higher. But what's is 3 paris or more? Can you explain a little plz?
3 pairs here : http://www.forexfactory.com/showthread.php?t=279648

3 pairs is more stable than 2 pairs, is like a triangle, they always close together
  • #3,985
  • Jan 5, 2015 9:22pm Jan 5, 2015 9:22pm
I did a lot of work in this area and posted EA's and other tools to this thread as well as a couple of other related threads about a year ago. Just curious how traders are getting on with this correlation "stuff", especially the "three-way hedging" EA that I uploaded?

After investing hundreds of hours in this area, I was never really satisfied with the tools that I developed. I another poster to this thread created an interesting indicator. I'll have a play with it to see how it works.

Looking forward to chatting on this subject again.
  • #3,986
  • Jan 6, 2015 5:06am Jan 6, 2015 5:06am
Quoting ForexSamsam
{quote} 3 pairs here : http://www.forexfactory.com/showthread.php?t=279648 3 pairs is more stable than 2 pairs, is like a triangle, they always close together

Great idea,
I'll think of changing the EA
  • #3,987
  • Jan 6, 2015 5:47am Jan 6, 2015 5:47am
Quoting ronaldoaf
{quote} Great idea, I'll think of changing the EA
The 3 pairs hedge is another system.
What we need is the ZSCORE EA has to close "couple of pairs" when reach profit we have setted
  • #3,988
  • Jan 6, 2015 6:37am Jan 6, 2015 6:37am
Quoting Vv1810
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.
Take a look at post 3926 but we wait from RONALD some modifications at EA for closing couple of pairs when reach profit
  • #3,989
  • Jan 6, 2015 7:08am Jan 6, 2015 7:08am
Pierre , in this case, Should i close those couple of pairs with profit and wait the ea closes the reamining copule pairs ?
Attached Image (click to enlarge)
Click to Enlarge Name: OPOP.png Size: 16 KB
  • #3,990
  • Jan 6, 2015 7:22am Jan 6, 2015 7:22am
Quoting arkan1976
Pierre , in this case, Should i close those couple of pairs with profit and wait the ea closes the reamining copule pairs ? {image}
yes and we wait RONALD modify EA putting a take profit for every couple of pair
  • #3,991
  • Jan 6, 2015 7:33am Jan 6, 2015 7:33am
Thanks Pierre.
  • #3,992
  • Jan 6, 2015 8:18am Jan 6, 2015 8:18am
Quoting Kasia
{quote} 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. {image} хостинг изображений
Results after few days
http://www.myfxbook.com/members/Trej...ia-651/1116823

In my opinion, this strategy will sooner or later lead to bankruptcy.
DD now reached the level of> 30%
  • #3,993
  • Jan 6, 2015 8:35am Jan 6, 2015 8:35am
Quoting Kasia
{quote} Results after few days http://www.myfxbook.com/members/Trej...ia-651/1116823 In my opinion, this strategy will sooner or later lead to bankruptcy. DD now reached the level of> 30%
Why copule of pairs have different lotsize ?
  • #3,994
  • Jan 6, 2015 8:59am Jan 6, 2015 8:59am
Quoting arkan1976
{quote} Why copule of pairs have different lotsize ?
Should be maintained "symmetry" between pairs in set . The same percentage change of each pair should result in an equal (in absolute value) change in deposit currency. Then the correlation is likely to succeed.

http://s30.postimg.org/76f0kh2c1/2015_01_06_160331.png
загрузить картинку
  • #3,995
  • Jan 6, 2015 10:01am Jan 6, 2015 10:01am
Quoting Kasia
{quote} Should be maintained "symmetry" between pairs in set . The same percentage change of each pair should result in an equal (in absolute value) change in deposit currency. Then the correlation is likely to succeed. {image} загрузить картинку
thanks for response. And how the Zscore open gbpusd with 0.11 lots and audusd with 0.21 lots ? or you make it manually?
  • #3,996
  • Jan 6, 2015 12:20pm Jan 6, 2015 12:20pm
Quoting arkan1976
{quote} thanks for response. And how the Zscore open gbpusd with 0.11 lots and audusd with 0.21 lots ? or you make it manually?
This is my EA, which has many other useful features (such as position sizing calculation). Everything is made by EA.
  • #3,997
  • Jan 6, 2015 12:47pm Jan 6, 2015 12:47pm
Quoting Kasia
{quote} Results after few days http://www.myfxbook.com/members/Trej...ia-651/1116823 In my opinion, this strategy will sooner or later lead to bankruptcy. DD now reached the level of> 30%

very good results.
  • #3,998
  • Jan 6, 2015 12:51pm Jan 6, 2015 12:51pm
This indicator NOT is the Zscore Diff 3 pairs. It simulates the performance of a portfolio with 3 correlated pairs.
I = variation pair1 x variation pair2 x variation pair3

Attaching the EURUSD chart for example:
with GBPUSD inverted and EURGBP inverted

if Indicator is Low then
buy EURUSD
sell GBPUSD
sell EURGBP

if Indicator is High then
sell EURUSD
buy GBPUSD
buy EURGBP
Attached File(s)
File Type: mq4 3pair.mq4   3 KB | 972 downloads
  • #3,999
  • Jan 7, 2015 5:51am Jan 7, 2015 5:51am
Quoting ronaldoaf
This indicator NOT is the Zscore Diff 3 pairs. It simulates the performance of a portfolio with 3 correlated pairs. I = variation pair1 x variation pair2 x variation pair3 Attaching the EURUSD chart for example: with GBPUSD inverted and EURGBP inverted if Indicator is Low then buy EURUSD sell GBPUSD sell EURGBP if Indicator is High then sell EURUSD buy GBPUSD buy EURGBP {file}
Ronald , can you modify your EA and put in the setting a take profit when couple of pairs reach it ?

I attach the last version of your EA
Attached File(s)
File Type: mq4 Zscore Diff.mq4   6 KB | 667 downloads
  • #4,000
  • Jan 7, 2015 6:58am Jan 7, 2015 6:58am
Quoting Pierre
{quote} Ronald , can you modify your EA and put in the setting a take profit when couple of pairs reach it ? I attach the last version of your EA{file}
Hello Pierre, how many $ do you think is Best to tp With each couple of pairs?
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