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Triangular Arbitrage Hedge

ekke

Member
Hi
I found this Trio Interest Hedge system which seems to be promising if only I could get it to work. Hopefully one of the experts on the Forum will have a shot at this (that is you SD). At the moment it crashes all my MT4 platforms. There is a short video included which explains how to use the system.
thanks
 

chuskas

Member
Hi
I found this Trio Interest Hedge system which seems to be promising if only I could get it to work. Hopefully one of the experts on the Forum will have a shot at this (that is you SD). At the moment it crashes all my MT4 platforms. There is a short video included which explains how to use the system.
thanks

Hello Ekke, did you do something else with this???
 

ekke

Member
Tra

Tra

Hello Ekke, did you do something else with this???

Nope. Got sidetracked with other EA's. I do however have a home brew that only gave small profits, so I gave up on it. There are some interesting thoughts on Mikael Kreslik's site. My EA is based on those ideas. If you are interested I'll post it.

On second thoughts it might be worth it to spent some more time on the Code. Have a look at the attached pic. The beauty with this is that it never runs into significant DD's.

cheers
 

chuskas

Member
Thanks ekke; even though in our forum this kind of EA?s have not many followers, I think that they have possibilities. Let?s wait a good one.

I will check your creation: keep us updated.
 

ekke

Member
Triangular Rings

Triangular Rings

Hi chuskas

Here it is. The EA is supposed to search a set of Rings, find one that is not in equilibrium and enter it as a trade.
It's a while since I tried this but as far as I remember it takes some time to end in profit. Anyway, try it.

cheers
 

Attachments

  • Rings.mq4
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chuskas

Member
Hi chuskas

Here it is. The EA is supposed to search a set of Rings, find one that is not in equilibrium and enter it as a trade.
It's a while since I tried this but as far as I remember it takes some time to end in profit. Anyway, try it.

cheers

Ekke, I suppose it goes in one chart only, is not it?, 1 min TF???
 

sonik

Member
I've studied that topic on Kreslik at length and I will tell you, it is virtually impossible to make money on a real account with this strategy on a retail broker.. I wrote an EA that uses the methodology and it was quite profitable on a demo account, but I couldn't replicate the results in real accounts due to a combination of the sheer amount of volume you need to use coupled with the times these inefficiencies are open for.

The strategy depends on hedging the three as closely as possible, which requires as much precision of lot size as possible because you are adjusting the lot size of one of the triangle apexes based on the price of another currency. For example, you might need 1 lot of AB and 1xPrice(AB) Lots for BC, so if AB is trading at 1.32452, you need 1.32452 lots, which is too many decimals - you would need 132.45 lots to be as near as possible, which can't be executed, so the closest you can get would be 10 lots of AB, 13.25 lots of BC. So you can imagine the amount of money you need in an account to be able to trade with accurate enough lot sizes, and given these opportunities last for a few seconds at most, do you trust your broker to execute 33.25 lots within 1 second? ;)
 

sonik

Member
By the way, the strategy is mathematically guaranteed to make profit if you can get it to work, under ONE condition: if you hold the position past SWAP period, a single day's swap costs will eat up the profit (you will make $ on one swap, and lose $ on two swaps).
 

ekke

Member
Goes on any chart and TF. I used EURUSD because of the frequent tick action.
And sonik, you are quite right it is not easy to make profits with this method. I set the High and Low FPI quite a bit apart to get a big deviation.

cheers
 
I have placed triangle hedge on EU and GU 5min with default settings. Im not sure how this system closes the trades. Also, i have increase the MM to 15 to increase the lot sizes and still opened at 0.01. Has anyone tested this system and what settings are you using. Thank so much
 

dandan

New member
Thanks Ekke,
What values of High/Low FPI do you use ? (what's your definition of a big deviation ? )

Thanks,

Goes on any chart and TF. I used EURUSD because of the frequent tick action.
And sonik, you are quite right it is not easy to make profits with this method. I set the High and Low FPI quite a bit apart to get a big deviation.

cheers
 

ekke

Member
The FPI ratio determines how many Pips the Base Pair "Ring[n,1]" in the Code
strays away from the Hedge Pairs "Ring[n.2] and Ring[n,3]". Ideally it should always be 1. Because of price feed delays etc. the Ratio varies from values above 1 to values below 1. If you get a wide gap of lets say 5 Pips then it is a good time to place your Orders. To wait for a 5 Pip gap you have to set HighFPI = 1.00025 and LowFPI = 0.99975 for 5 Digit pairs.

I just realise that this is not true for the JPY pairs. So the JPY pairs will never satisfy these conditions. This has to be fixed in the Code. If there is enough interest I'll do it.

Could be done by entering HighFPI and LowFPI as a Pip value that would make it Triangle independent.

There is no MM. You set the BaseLotSize (refers to the first Pair in the Ring)
and the remaining Hedge LotSizes are calculated. These causes some inaccuracy because we only have fixed Lot Sizes available. So the Hedge is not perfect
but I think it is close enough.

There are also no SL's because we hedge and a runaway cannot happen.

Hope this helps

cheers
 

dandan

New member
Many thanks for your reply.
Indeed, I also saw an issue on JPY pairs.
Now, I'm turning on your EA with 5 pips gap.
I have no clue how often this gap happens. (maybe once, twice per day or less ?) Could you please comment on this ?

Best,


The FPI ratio determines how many Pips the Base Pair "Ring[n,1]" in the Code
strays away from the Hedge Pairs "Ring[n.2] and Ring[n,3]". Ideally it should always be 1. Because of price feed delays etc. the Ratio varies from values above 1 to values below 1. If you get a wide gap of lets say 5 Pips then it is a good time to place your Orders. To wait for a 5 Pip gap you have to set HighFPI = 1.00025 and LowFPI = 0.99975 for 5 Digit pairs.

I just realise that this is not true for the JPY pairs. So the JPY pairs will never satisfy these conditions. This has to be fixed in the Code. If there is enough interest I'll do it.

Could be done by entering HighFPI and LowFPI as a Pip value that would make it Triangle independent.

There is no MM. You set the BaseLotSize (refers to the first Pair in the Ring)
and the remaining Hedge LotSizes are calculated. These causes some inaccuracy because we only have fixed Lot Sizes available. So the Hedge is not perfect
but I think it is close enough.

There are also no SL's because we hedge and a runaway cannot happen.

Hope this helps

cheers
 

sonik

Member
In my experience.. and ekke and I have the most experience with this system (the one I wrote is almost identical to ekke's), I would say you're lucky if you get an FPI opportunity worth trading about 3 times a week. Generally you will need to hold it a day or so until you reach an exit point. Set your profit goal high enough because you will get slippage problems trying to exit, but low enough that it will actually reach it. This you will have to experiment with. For example, I've been holding a EU/UJ/EJ ring (BUY/BUY/SELL) since yesterday, and my profit on 0.77/1.00/0.77 lots has ranged between -116 to -9.41, still has not gone positive.
 

ekke

Member
Sorry, Post 12 is not quite correct. In order to have a 5 Pip Gap one has to set HighFPI to 1.00050 and LowFPI to 0.00950 (5 Digit Brokers).
As sonik mentioned do not expect to much from this method.

The Ratios found for each Ring are displayed during the search.
EA stops when TotalProfit is reached.
I used it with a small TotalProfit and a pretty large BaseLot (100000) if I remember correctly. And yes, it takes a long time to get to the profit.

If you increase the FPI ratio it takes longer to find a Ring.

I am currently playing with the Trio Hedge in the other thread on the Forum.
Worthwhile looking at.

cheers
 

Pannik

Well-known member
Hi chuskas

Here it is. The EA is supposed to search a set of Rings, find one that is not in equilibrium and enter it as a trade.
It's a while since I tried this but as far as I remember it takes some time to end in profit. Anyway, try it.

cheers

Anyone who has tried this expert?
I want some idea for this system.
 

wwi212

Member
refer to the thread and Ea Ring , exactly this system works or not ??! why do we discusing about something that imposible ?
 

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