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Hedge and Correlation Strategy

  • #4,041
  • Jan 13, 2015 8:04pm Jan 13, 2015 8:04pm
Quoting ronaldoaf
{quote} EURUSD - GBPUSD - EURGBP EURUSD - AUDUSD - invert EURAUD AUDUSD - invert USDCAD - AUDCAD USDJPY - DKKJPY - USDDKK I tested these as they have low spread on EXNESS
You mention EXNESS in your post above. If it's indeed "low spread", it must be an ECN account? It appears that the commission is about $6 per round turn on EURUSD. Is that correct? They also talk about spreads "as low as zero". What is the typical spread? While I'm very happy with PFD and Tickmill, I'm looking for another broker. While awaiting your reply, I'll have a look at the reviews for EXNESS.

Thanks
  • #4,042
  • Jan 14, 2015 3:22am Jan 14, 2015 3:22am
Quoting ronaldoaf
I'm using Zscore Diff 3 pairs EA in M15 Timeframe with default settings. It's works well
Ronald , the first OLD EA ZSCORE work well
The EA ZSCORE TP BY LEVEL open different trades

I attach your 2 EA
Attached File(s)
File Type: mq4 Zscore Diff.mq4   6 KB | 889 downloads
Attached File(s)
File Type: mq4 ZScore TP By level.mq4   11 KB | 844 downloads
  • #4,043
  • Jan 14, 2015 5:55am Jan 14, 2015 5:55am
Hello Pierre, the pairs that you use, are always the same or you are upgrading according the correlation ?
  • #4,044
  • Jan 14, 2015 6:08am Jan 14, 2015 6:08am
Quoting arkan1976
Hello Pierre, the pairs that you use, are always the same or you are upgrading according the correlation ?
I have upgraded at the following couple of pairs so I have the same lot size (THE BASE CURRENCY IS THE SAME IN THE 2 PAIRS)
GBPJPY GBPUSD
EURUSD EURAUD
GBPUSD GBPAUD
AUDUSD AUDNZD
NZDUSD NZDJPY
USDJPY USDCAD
EURGBP EURJPY
GBPJPY GBPCAD
EURGBP EURUSD
EURGBP EURCAD
GBPAUDGBPNZD

AND I WILL ADD THE FOLLOWING
GBPUSD GBPCAD
GBPUSD GBPNZD
EURUSD EURJPY
EURUSD EURCAD
  • #4,045
  • Jan 14, 2015 6:18am Jan 14, 2015 6:18am
Quoting Pierre
{quote} I have upgraded at the following couple of pairs so I have the same lot size (THE BASE CURRENCY IS THE SAME IN THE 2 PAIRS) GBPJPY GBPUSD EURUSD EURAUD GBPUSD GBPAUD AUDUSD AUDNZD NZDUSD NZDJPY USDJPY USDCAD EURGBP EURJPY GBPJPY GBPCAD EURGBP EURUSD EURGBP EURCAD GBPAUDGBPNZD AND I WILL ADD THE FOLLOWING GBPUSD GBPCAD GBPUSD GBPNZD EURUSD EURJPY EURUSD EURCAD
Thanks Pierre.
  • #4,046
  • Jan 14, 2015 8:05am Jan 14, 2015 8:05am
Quoting Pierre
{quote} Ronald , the first OLD EA ZSCORE work well The EA ZSCORE TP BY LEVEL open different trades I attach your 2 EA{file}{file}

Weird, I think I didn't change the signal. I have to test. Thanks for your report.
  • #4,047
  • Jan 14, 2015 8:22am Jan 14, 2015 8:22am
Quoting ChuckNZ
{quote} You mention EXNESS in your post above. If it's indeed "low spread", it must be an ECN account? It appears that the commission is about $6 per round turn on EURUSD. Is that correct? They also talk about spreads "as low as zero". What is the typical spread? While I'm very happy with PFD and Tickmill, I'm looking for another broker. While awaiting your reply, I'll have a look at the reviews for EXNESS. Thanks

I use the mini account, this already has great spreads.
The classic and the ecn have better spreads.
Create a demo account for you to check.
About the typical spread, I am creating an indicator for to store spreads every minute and then I make the average.
  • #4,048
  • Edited 11:49am Jan 14, 2015 9:05am | Edited 11:49am
ZScoreTP by level works well. But we need reopen Metatrader after each TP?

When I restart terminal, EA opens new orders. But duplicate. http://gyazo.com/e94ce8d96fb0b982bdb4bf92dcd263ef
  • #4,049
  • Jan 14, 2015 12:57pm Jan 14, 2015 12:57pm
I thought of two improvements for the EAs:

1) to use two Zscore Diff Periods, a slow of 200 and a fast 100. So, we would open a "Buy-Sell Order" when Slow >=2.5 and Fast < Slow and would open a "Sell-Buy Order" when Slow=<-2.5 and Fast > Slow

2) to calculate the lot size for second pair would use the formula:
lotSize2 = lotSize1 * (standardDesviation1 * tickValue1) / (standardDesviation2 * tickValue2)
  • #4,050
  • Jan 15, 2015 12:29am Jan 15, 2015 12:29am
Quoting MultiLion
{quote} Thank you for tests! New version EA: - without errors, - with added parameter CloseBasketMinTP for closing all basket/pairs. {file}
Thank you again for your efforts. I have been running your EA on three accounts. Tickmill (live), PFD (live) and FXCM (demo).

Only the FXCMdemo account has taken trades in 36 hours. Any ideas?

The demo FXCM account has very low spreads (plus commission). Since the EA doesn't know about commission, is it the very low spreads that is allowing the demo account to trade.

I am running default parameters (with MaxSpread = 30). If I increased MaxSpread to 40 on the other account, I think I will get more trades... but less profitable.

Thoughts?
  • #4,051
  • Jan 15, 2015 1:16am Jan 15, 2015 1:16am
Quoting ChuckNZ
{quote} Thank you again for your efforts. I have been running your EA on three accounts. Tickmill (live), PFD (live) and FXCM (demo). Only the FXCMdemo account has taken trades in 36 hours. Any ideas? The demo FXCM account has very low spreads (plus commission). Since the EA doesn't know about commission, is it the very low spreads that is allowing the demo account to trade. I am running default parameters (with MaxSpread = 30). If I increased MaxSpread to 40 on the other account, I think I will get more trades... but less profitable. Thoughts?
I also hadn't had any trades so about 4 hours ago I changed the ZscoreTF to 30 and since then I've had 4 successful take profit trades.
  • #4,052
  • Jan 15, 2015 3:09am Jan 15, 2015 3:09am
Quoting ronaldoaf
I thought of two improvements for the EAs: 1) to use two Zscore Diff Periods, a slow of 200 and a fast 100. So, we would open a "Buy-Sell Order" when Slow >=2.5 and Fast < Slow and would open a "Sell-Buy Order" when Slow=<-2.5 and Fast > Slow 2) to calculate the lot size for second pair would use the formula: lotSize2 = lotSize1 * (standardDesviation1 * tickValue1) / (standardDesviation2 * tickValue2)
Hi Ronald,

I'm running "ZScoreDiff 3 Pairs" with default parameters. Assuming that TP=20 with TP_Mode=1 means close all trades if the net profit >= 20 points (2 pips), then it isn't working. At one point, I had a net profit of 28 points (2.8 pips) and the the EA didn't close the positions.

Perhaps the "20" is actually 20 pips?
  • #4,053
  • Jan 15, 2015 5:15am Jan 15, 2015 5:15am
Quoting ChuckNZ
{quote} Hi Ronald, I'm running "ZScoreDiff 3 Pairs" with default parameters. Assuming that TP=20 with TP_Mode=1 means close all trades if the net profit >= 20 points (2 pips), then it isn't working. At one point, I had a net profit of 28 points (2.8 pips) and the the EA didn't close the positions. Perhaps the "20" is actually 20 pips?
]]


Yes, 20 pips
  • #4,054
  • Jan 15, 2015 6:27am Jan 15, 2015 6:27am
A question for the "ZScoreDiff 3 Pairs":

Can someone change the lotsize inside the EA for each pair.
Example: Pair = Price
GBPUSD = 1.51665
EURUSD = 1.17290
EURGBP = 0.77332
We use lots=0.01 from the EA settings

Now the EA should do the following, when opening orders:
the lowest lotsize (0.01) for the pair with the highest price
the double lotsize (0.02) for the pair with the second high price
the triple lotsize (0.03) for the pair with the lowest price

And as the basket we should be able to change from pips to value, like 10$ or 20$
  • #4,055
  • Jan 16, 2015 2:27am Jan 16, 2015 2:27am
Quoting ChuckNZ
{quote} Thank you again for your efforts. I have been running your EA on three accounts. Tickmill (live), PFD (live) and FXCM (demo). Only the FXCMdemo account has taken trades in 36 hours. Any ideas? The demo FXCM account has very low spreads (plus commission). Since the EA doesn't know about commission, is it the very low spreads that is allowing the demo account to trade. I am running default parameters (with MaxSpread = 30). If I increased MaxSpread to 40 on the other account, I think I will get more trades... but less profitable. Thoughts?
It is not our goal to have more trades. We need more profit and less loss.
When Zscore level is under 2.5 (default) then EA will not make any trade. Look in the table. You can do experiments with this level.
You can change pairs with too low correlation for pairs with higher.
Of course, you can reduce allowed correlation, increasse the sum spreads or increase tolerance TVkoef.
Test, test, test ...
Stick to your plan and you will be successful !!!
  • #4,056
  • Jan 16, 2015 4:34am Jan 16, 2015 4:34am
Quoting ChuckNZ
{quote} Thank you again for your efforts. I have been running your EA on three accounts. Tickmill (live), PFD (live) and FXCM (demo). Only the FXCMdemo account has taken trades in 36 hours. Any ideas? The demo FXCM account has very low spreads (plus commission). Since the EA doesn't know about commission, is it the very low spreads that is allowing the demo account to trade. I am running default parameters (with MaxSpread = 30). If I increased MaxSpread to 40 on the other account, I think I will get more trades... but less profitable. Thoughts?
with MaxSpread = 30?? Jeez, allowing automatic software to give away to market freely 30 pips from standard lot (in average for EUR/USD)? The upper verge I would set is 5 pips, but maybe because scalping takes place more frequently in my trading and transaction costs is strictly monitored to avoid substantial divergence. I didn't try your brokers but I am planning to test this stuff on Hotforex and I am wondering if there is a parameter to control slippage as well as liquidity available at the market (trading volume)?

Thanks in advance..
  • #4,057
  • Jan 16, 2015 4:48am Jan 16, 2015 4:48am
Quoting leebsurag
{quote} with MaxSpread = 30?? Jeez, allowing automatic software to give away to market freely 30 pips from standard lot (in average for EUR/USD)? The upper verge I would set is 5 pips, but maybe because scalping takes place more frequently in my trading and transaction costs is strictly monitored to avoid substantial divergence. I didn't try your brokers but I am planning to test this stuff on Hotforex and I am wondering if there is a parameter to control slippage as well as liquidity available at the market (trading volume)? Thanks in advance.....
Actually, "30" is 3 pips, even less than the "5" that you mention in your post.
  • #4,058
  • Jan 16, 2015 6:07am Jan 16, 2015 6:07am
Quoting ChuckNZ
{quote} You mention EXNESS in your post above. If it's indeed "low spread", it must be an ECN account? It appears that the commission is about $6 per round turn on EURUSD. Is that correct? They also talk about spreads "as low as zero". What is the typical spread? While I'm very happy with PFD and Tickmill, I'm looking for another broker. While awaiting your reply, I'll have a look at the reviews for EXNESS. Thanks

Top 50 pairs of Exness Mini

Typical spread * Tick Value


HUFJPYm 0.15
HKDJPYm 0.51
MBAUSDm 0.56
USDHKDm 0.89
MXNJPYm 1.28
CZKPLNm 1.32
USDJPYm 1.34
EURUSDm 1.42
EURHKDm 1.54
DKKJPYm 1.71
ZARJPYm 2.03
GBPUSDm 2.08
SEKJPYm 2.09
NOKJPYm 2.15
USDEEKm 2.15
AUDJPYm 2.29
DKKSGDm 2.60
USDCADm 2.61
SEKDKKm 2.64
EURJPYm 2.73
NZDUSDm 2.89
USDLTLm 2.96
EURCADm 3.02
NOKDKKm 3.11
SEKPLNm 3.16
DKKZARm 3.17
EURAUDm 3.20
AUDCADm 3.26
EURGBPm 3.42
NZDJPYm 3.44
SEKNOKm 3.45
DKKPLNm 3.52
NOKSEKm 3.54
AUDUSDm 3.62
CADJPYm 3.73
USDCHFm 3.76
AUDNZDm 3.92
GBPJPYm 4.04
EUREEKm 4.18
DKKCZKm 4.30
USDDKKm 4.49
USDMXNm 4.66
MAUUSDm 4.99
XAUUSDm 5.09
GBPCADm 5.15
CHFJPYm 5.21
EURNZDm 5.26
PLNJPYm 5.37
USDSGDm 5.55
SGDJPYm 5.57
  • #4,059
  • Jan 16, 2015 9:40am Jan 16, 2015 9:40am
Quoting ronaldoaf
Now the bugs are fixed. I added a few more features. Test them {file} {file}
Hi ronaldoaf,
I tried to use the ZScore Diff 3 pairs EA, but there must be something wrong inside the code.
MT4 crashes when adding this EA to the chart.
I tried MT4 from different brokers and they all do crash.

Now when using scite-mql to compile the mq4 file it shows some failure inside the code, just check the picture below,
Attached Image (click to enlarge)
Click to Enlarge Name: scite.jpg Size: 181 KB


scite-mql can be downloaded here https://drive.google.com/folderview?...U0&usp=sharing
  • #4,060
  • Jan 16, 2015 12:34pm Jan 16, 2015 12:34pm
Quoting cash4u2
{quote} Hi ronaldoaf, I tried to use the ZScore Diff 3 pairs EA, but there must be something wrong inside the code. MT4 crashes when adding this EA to the chart. I tried MT4 from different brokers and they all do crash. Now when using scite-mql to compile the mq4 file it shows some failure inside the code, just check the picture below, {image} scite-mql can be downloaded here https://drive.google.com/folderview?...U0&usp=sharing

Use the newest version (build) of metatrader 4.
Attached Image
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