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dsugums 6 pip auto-trader by 'im again
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Author:  kwchau [ Wed Feb 01, 2012 2:25 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
Excuse for my silly question. Since F7 is not working, anyway I could adjust the parameters while there is still open positions ?
Author:  pipmenow [ Wed Feb 01, 2012 2:52 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
ironrick wrote:Thanks, Steve and dsugums! This looks very interesting!!

Question on the closing logic: is it a TP if any one of the 3 pairs gets to 6 pips or is it 6 pips based on the basket?

Looks to be the basket, including any added positions.

Also: Is it 6 pips profit (over and above spread costs) or just 6 pips?

Looks to be before spreads. My first basket closed at a 10 pip loss, and included the 3 pairs and one added position. So to break even on the basket I need to set TP=16. Looks like my spreads are a little high.

Thanks for the work and the clarification!

Rick
Author:  matrixebiz [ Wed Feb 01, 2012 3:22 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
I have a question for anyone most familiar with pair correlation and that is, does a pair in negative correlation with another at least -0.8 for a week, do they usually stay this way for at least another week or more? or can two pairs be in tight negative correlation for a few days then quickly turn around and be in tightly positive correlation the next?

Thanks
Author:  K-Lander [ Wed Feb 01, 2012 3:44 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
matrixebiz wrote:I have a question for anyone most familiar with pair correlation and that is, does a pair in negative correlation with another at least -0.8 for a week, do they usually stay this way for at least another week or more? or can two pairs be in tight negative correlation for a few days then quickly turn around and be in tightly positive correlation the next?

Thanks
In short, correlations are not to be trusted. They work for a while until the don´t, and that happens usually when you rise the stakes.
Author:  SWG123 [ Wed Feb 01, 2012 4:19 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
kwchau wrote:Excuse for my silly question. Since F7 is not working, anyway I could adjust the parameters while there is still open positions ?
Yes, right-click on the smiley face, select Expert Advisors\Properties.
Author:  blahn [ Wed Feb 01, 2012 4:55 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
I've been running 2 sets of tests since yesterday morning. one set with usdchf forward and reversed and one set with gbpusd forward and reversed, so 4 triples at once. Not suprisingly, the gbpusd sets made almost 100 pips last night and the usdchf sets made about 10 pips. I'd guess because the correlation between the gbpusd sets is so much looser around %80 compared to %95-%98 percent for the usdchf sets. going to wipe everything and start fresh again.
Author:  Jeuro [ Wed Feb 01, 2012 10:02 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
matrixebiz wrote:I have a question for anyone most familiar with pair correlation and that is, does a pair in negative correlation with another at least -0.8 for a week, do they usually stay this way for at least another week or more? or can two pairs be in tight negative correlation for a few days then quickly turn around and be in tightly positive correlation the next?

Thanks
Correlations is not a good starting point to create any strategy. K Lander is correct. They can not be trusted.

Realistically speaking ...Think about this:
Correlation is a calculations, that, like any other indicator, is based in past data, and price action
does not respect any specific point calculated with past data. The probability of price action to hold or brake any specific price level is always 50/50. Regardless if it is a MA, stoch, correlation, the holly pivot .. or whatever the infinite fancy indicators names we have now days.

In my opinion, it is impossible to automate or code a profitable EA based in indicators.
In the process to making them profitable, we start adding more of them and/or change the setting.. but at the end,we need to de-balance the 50/50 probability by stack, average down, martingale or include some probability math. Then and only then we take ad extra risk and that's were the profit comes from.. ( if we use a prudent MM).

BUT Going back to 3 pairs:: Using known factors like EUR/USD*USD/CHF=EUR/CHF , that is yesterday, today and forever (if none of these currencies vanish) .. we have a better chance to automatize something with a more calculated risk/reward ratio. Because is based in something that happens 100% of the time.

So.. in short: In spite the equations is always true, but because our accounts are in "1" base currency:
a)
If we trade EUR/USD, USD/CHF and EUR/CHF same lot size = we are trading one smaller portion of 1 pair in certain direction.
b)
If we trade EUR/USD, USD/CHF and EUR/CHF in the "perfect" lot sizes according to our account base currency = We can hold the positions forever without risking anything... but also with no possibility to make anything. No risk, no profit

Note: Those that wish to do a screenshot of the 3 pairs prices and multiply EUR/USD*USD/CHF, will notice that is not 100% correct to= EUR/CHF . That is due to a small market deficiency that is happening all the time .. but that is a different history) .

.
Author:  Raiden [ Thu Feb 02, 2012 10:21 am ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
garyfritz wrote:
Raiden wrote:And this needs to be cleared up. If you sell 1 lot EURUSD, buy 1 lot EURCHF, sell 1 lot USDCHF. Your effective cross is a smaller buy USDCHF position, not EURCHF.
Yes, that matches the empirical study I did. Here was my calculation of holding all 3 positions:

Image

And here's USDCHF:

Image

Pretty close to identical.
That's a beautiful validation of the arithmetic.

Incidentally, all this was attempted by Vadim(I think) in 2009 in great detail as an arbitrage scalper, and more recently by another Steve(walker36 on the myfxbook forums). He attempted a cross-broker arbitrage but I believe the latency with the DDE between the platforms and slippage prevented its success.
Author:  tarrini65 [ Thu Feb 02, 2012 10:48 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
HI ALL

I suggested this strategy to steve one month or so ago , and i am running it with another ea , which i paied for, because i strongly believe in it, havin traded this way manually for a while with pending orders...
I want to share my experience :

leave the math calculations, this method works if you stack position in the winning direction, the simple currency ring don't work, or it does , but very slowly ......it can stay months in drawdown.

don't use any indicators, only market price.

use small lot size , i use 0.01 for 500 euros, that allow the stacking to grow without so much worries...
using 0.01 means that you have to suffer 3500 pips in loss ( for a euro account or 5000 pips for a usd account ) to get burned and i believe that it's quite impossible to reach such dd before market bring a direction and allow the closing of the basket .

my stack pips distance is 20 pips .don't suggest anything shorter than this, can be possible 40 or 50 pips if you want to build long term positions .

- you can try to set tp = 100 pips . that's because your basket can stay in dd during ranging periods, but if there is a strong trend you can catch it all .

i have two rings running , buy buy sell and sell sell buy , this way you hedge the hedge and minimize used margin .

don' t breakeven winning position, in case the market reverses again there will be huge gaps , hard to fill .

this can make a good 15% a month, if your lotsize is small, i use equity / 30000 or 50000 .

Many theories about the currency ring or three pair arbitrage are on the web...but stacking is a good trick..i had the idea from that genius called brijon.
Author:  SteveHopwood [ Thu Feb 02, 2012 11:37 pm ]
Post subject:  Re: dsugums 6 pip auto-trader by 'im again
tarrini65 wrote:HI ALL

leave the math calculations, this method works if you stack position in the winning direction, the simple currency ring don't work, or it does , but very slowly ......it can stay months in drawdown.
I came on to post my thoughts tonight and picked up on tarrini's post.

That basket of trades I described last night did indeed grow into a few more stack trades. By the time it hit is +6 pips profit, this did indeed look silly. By the time all the trades in the basket actually closed, the +6 had turned into about -5. No great thingy in itself - but a lot of trades to eventually reach +6 that turned into -5. Not a ridiculous or account threatening number (<10) but still significant.

tarrini is suggesting stacking positions in the winning direction. I am finding that the 4th trade is consistently tipping the basket of trades over into the +6 target of the original strategy. This often happens so fast that it looks as though there is room to lock in extra profits.

I suggest that any of you guys not locked into the theoretical side of the discussion about the original strategy start playing with the TakeProfit setting of the actual EA in post one and see if you can make something profitable for yourselves.

This is, if any of you are still reading my posts here.

Oh, and the EA is proving profitable on demo. Looking good for now.

:D
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