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  • #4,101
  • Jan 29, 2015 9:15am Jan 29, 2015 9:15am
No ... by 'spread' I mean the difference between the two currency pair prices, but adjusted for a pip value. Here is the calculation I used i R to do it:

I think for the first iteration of this ... the following below should be sufficient. We may have to modify it a bit later (adjust for pip value), but lets keep it simple.

Chart will run on the base pair, Pair 2 is the 2nd pair used for the spread calculation.

User input:
Coefficient CF
Pair2
Positive1Stdev
Negative1Stdev
MeanLine (to close positions)

Spread = Basepair - CF*Pair2

Closing prices will be used for Base pair & Pair 2, and spread will be printed in on the chart just for reference.

Now the EA calculates the spread, and if spread is < Neg1Stdev (user input), then EA buy's BasePair, and shorts CF units of Pair 2.

I would do all of the analysis occasionally (bi-weekly or so) to provide an excel sheet with:

Coefficient CF
Pair2
Positive1Stdev
Negative1Stdev
MeanLine

The user sets the EA on a base pair with the inputs selected from the spreadsheet, and waits for the trade to be opened. The trade closes when the MeanLine is hit.

Regards,
EZ
  • #4,102
  • Jan 29, 2015 11:58am Jan 29, 2015 11:58am
Quoting ezcurrency
No ... by 'spread' I mean the difference between the two currency pair prices, but adjusted for a pip value. Here is the calculation I used i R to do it: I think for the first iteration of this ... the following below should be sufficient. We may have to modify it a bit later (adjust for pip value), but lets keep it simple. Chart will run on the base pair, Pair 2 is the 2nd pair used for the spread calculation. User input: Coefficient CF Pair2 Positive1Stdev Negative1Stdev MeanLine (to close positions) Spread = Basepair - CF*Pair2 Closing prices...
Ok, I thought that's what you meant by "spread", but the term confused me. I can develop this EA, but is there not something like already floating around? It will take me a couple of days and I'm already stretched to my limit. We're building a new house and developing new farmland, which keeps me busy from 7:00 AM to 9:00 PM.

Will you post a bunch of input parameters for me to use for different sets?

I also need to make another fix to the ZScore EA. It got caught out with a FIFO problem last night. It needs to close orders in the right sequence. Of course, I can't fix the problem if there are two instances with the same pair. That situation, with some brokers, will cause hedging problems and FIFO problems.
  • #4,103
  • Jan 29, 2015 3:05pm Jan 29, 2015 3:05pm
I'll look for an EA that may do this already ... or at least close, then we can modify. I'll also download new data to update the analysis. The charts I posted were very hold hourly data.

Regards,
EZ
  • #4,104
  • Jan 29, 2015 8:37pm Jan 29, 2015 8:37pm
Quoting ezcurrency
I'll look for an EA that may do this already ... or at least close, then we can modify. I'll also download new data to update the analysis. The charts I posted were very hold hourly data. Regards, EZ
Hi EZ,

I'm working on the EA now. It won't be very difficult. Am I correct the the lot size for Pair2 is equal to the lot size of Pair1 times the coefficient?

I'll be ready to test soon, can you send me some parameters for (say) three or four sets?

Thanks
  • #4,105
  • Jan 29, 2015 8:53pm Jan 29, 2015 8:53pm
Quoting ChuckNZ
{quote} Am I correct the the lot size for Pair2 is equal to the lot size of Pair1 times the coefficient?
Yes, that is correct. Just remember when calculating the pair, the 2nd is subtracted. So pair1 - coef*pair2. We may have to adjust for pip value later, but that is easy. We'll see how it works first.

I will download the data and run the analysis and post it here by the Sunday night open. I started thinking a bit on this ... I'll download maybe 3 months of hourly data and run the analysis to come up with cointegrated pairs and coefficients using the past 3 or 6 months of data. This is what I did before (3 months).

I also started thinking of larger TF's. I may download daily data for a long time (7-10 yrs), and see if there are cointegrated pairs on larger TF's ... but also take it one step further and test for seasonality of the spread.

I did a similar analysis on all currency pairs, and averaged the % move over the past 3, 5, and 7 yrs such as this:

http://i.imgur.com/sQXDKWm.png

The graph above for AUDJPY shows historically it trend up from about Feb till mid April, and runs about 7%. Knowing this (seasonal tendencies), we then look for technical / fundamental reasons to long. I think it may be like this for cointegrated pairs (the spreads between them) as well.

Regards,
Don
  • #4,106
  • Jan 29, 2015 9:24pm Jan 29, 2015 9:24pm
Don, can you give me parameters for at least one set for testing. I have finished the Cointegration EA and ready to test.
  • #4,107
  • Jan 29, 2015 9:36pm Jan 29, 2015 9:36pm
Hi Chuck. I need to download the data and run the analysis ... with < 24 hrs left in the week for trading, its not worth it. Its more of a longer term strategy anyway. I doubt it would open a trade tomorrow.

Regards,
EZ
  • #4,108
  • Jan 30, 2015 12:43am Jan 30, 2015 12:43am
Don, just letting you know that the Cointegration EA is working fine. I had to make up some values, but it's done quite a few trades and looks pretty sound.

Looking forward to getting some real values from you.

In the mean time, I have found some MT4 indicators that do the "R" work for us. I have no idea how good they are, but will give it a go.
  • #4,109
  • Jan 30, 2015 5:47am Jan 30, 2015 5:47am
Quoting MultiLion
My version EA ... only for education and tests {image} {file}
Nice to meet you.
Please add the item of Pair Suffix in Expert.
Also, do not be so that it can be freely set the interval.
Thank you additional Pips.
  • #4,110
  • Jan 30, 2015 5:29pm Jan 30, 2015 5:29pm
ZScore 3-pair results and updated version:

Over the last 24 hours (before the markets closed), I was running six instances of ZScore 3-pair EA. Only one instance (EURJPY, NZDJPY, EURNZDinverted) did any trades. Four trades, net profit just over $400 trading 1.0 lots.

I have attached the latest version and here is the change log.

// Version 007
// Change TP to be dollars (or pounds or euros) rather than pips
// Change TP to be double
// Modify MagicNumber to reflect number of bars (Period_) and timeframe (Period()) can now run EA on two timeframes
// Display MagicNumber
// Don't start trading until ZScore is below RestartLevel (default = 2.0)
// After hitting basket TP, don't take new trades until ZScore is below RestartLevel
// Display number of bars (Period_) and timeframe (Period())
// Can still run five levels, but change default to only trade three levels
// Make sure we have sufficient bars for all three pairs (was only doing this for two pairs before)
// Version 008
// Show "(i)" if pair is inverted
// If Pair2 or Pair3 are not valid symbols, tell user
// Version 009
// Interface to OrderReliable library to prevent failed orders
// Version 010
// Fixed serious bug in line 128 that was using the wrong price for Pair3
// Version 011
// Display high and low water mark for ZScore
// Display high and low water mark for Profit
// Display TP
// Version 012
// Modify CloseAll function to close orders in proper seuence (FIFO)
// Fixed missing display of Bars, Timeframe and Magic Number in some instances
Attached File(s)
File Type: ex4 ZScore Diff 3 pairs EA_012.ex4   90 KB | 2,925 downloads
  • #4,111
  • Jan 31, 2015 12:41am Jan 31, 2015 12:41am
Hello ChuckNZ,

Thanks for your great work, can you add on the next version the possibility of changing the magic # , so we can run more that one pairs on the same account, comments also help to identify the trades when you have more that one EA running.

Thanks,

Mario
  • #4,112
  • Jan 31, 2015 5:37am Jan 31, 2015 5:37am
Quoting MultiLion
My version EA ... only for education and tests {image} {file}
Please to be able to display the Pips between Zs_now and P / L.
  • #4,113
  • Jan 31, 2015 7:09am Jan 31, 2015 7:09am
[quote=ChuckNZ;8036537]ZScore 3-pair results and updated version: /quote]

Hi Chuck,
Is it possible for you to make this also into an Indicator, so that we can observe the interaction of the pairs?

Thanks.

Bruce
  • #4,114
  • Feb 2, 2015 5:05pm Feb 2, 2015 5:05pm
Quoting MultiLion
My version EA ... only for education and tests {image} {file}
EA change request
EXIT TRADE / TRADING can not be changed in Pips
Please consider
  • #4,115
  • Feb 2, 2015 7:06pm Feb 2, 2015 7:06pm
Quoting ezcurrency
I'll look for an EA that may do this already ... or at least close, then we can modify. I'll also download new data to update the analysis. The charts I posted were very hold hourly data. Regards, EZ



You might find this interesting reading, rather than reinventing the wheel...


http://www.stevehopwoodforex.com/php....php?f=5&t=113
  • #4,116
  • Feb 11, 2015 11:20am Feb 11, 2015 11:20am
Hello everybody,and thanks for your work.

It will be possible trade this system manually?

If yes somebody can point me to the page where i can download and study the manual system?

Thanks in advance
  • #4,117
  • Feb 22, 2015 9:04pm Feb 22, 2015 9:04pm
Quoting ChuckNZ
ZScore 3-pair results and updated version: Over the last 24 hours (before the markets closed), I was running six instances of ZScore 3-pair EA. Only one instance (EURJPY, NZDJPY, EURNZDinverted) did any trades. Four trades, net profit just over $400 trading 1.0 lots
Hi ChuckNZ,

I tried the ZScore 3-pair with the EURJPY, NZDJPY, EURNZDinverted last week. It went over 950 pips in drawdown and never came back. So I closed it. I am not sure if you are having success or not, but I haven't so far.

Can you share an update of the findings that you have found so far and the results?

Bruce
  • #4,118
  • Feb 23, 2015 10:06am Feb 23, 2015 10:06am
Quoting brucech
{quote} Hi ChuckNZ, I tried the ZScore 3-pair with the EURJPY, NZDJPY, EURNZDinverted last week. It went over 950 pips in drawdown and never came back. So I closed it. I am not sure if you are having success or not, but I haven't so far. Can you share an update of the findings that you have found so far and the results? Bruce

Hi Chuck,

I just got through testing again this time with B-AUDUSD S-AUDCAD S-USDCAD and it turned out good... So I guess my problem is deciding on the three pairs and which one to invert.

Please let me know if you have come up with any others that have been giving you success.

Thanks.

Bruce
  • #4,119
  • Feb 24, 2015 10:52am Feb 24, 2015 10:52am
Quoting ChuckNZ
ZScore 3-pair results and updated version: ........
ChuckNZ,

I am getting more familiar with ZScore 3-pair......v12 is working fine so far except for a problem when opening a second 3-pair... It will check first to see if position already exists, if it does it will skip opening. But the problem comes when the second 3-pair has a pair that is in the first 3-pair group... if so it will only open the other two, because to the EA the pair already exists. So I am running into problem when trying to run two 3-pairs... AUDUSD EURUSD EURAUD AND AUDUSD GBPUSD GBPAUD..... AUDUSD for the second 3-pair is not opened while the other two are.

Please let me know if you have a fix for this.

Kind regards,

Bruce
  • #4,120
  • Mar 3, 2015 2:23pm Mar 3, 2015 2:23pm
Quoting ChuckNZ
ZScore 3-pair results and updated version: Over the last 24 hours (before the markets closed), I was running six instances of ZScore 3-pair EA. Only one instance (EURJPY, NZDJPY, EURNZDinverted) did any trades. Four trades, net profit just over $400 trading 1.0 lots. I have attached the latest version and here is the change log. // Version 007 // Change TP to be dollars (or pounds or euros) rather than pips // Change TP to be double // Modify MagicNumber to reflect number of bars (Period_) and timeframe (Period()) can now run EA on two timeframes...
Hey ChuckNZ,

Just found you all here, and download ZScore 3-pair EA version 12 on this post.
Can you show me the setting of this EA by post link or else?

And, not sure how to do with OrderReliable_120205.mqh on MT4?

Thanks ahead.
Simple is powerful all the time.
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