Statistical Arbitration

[TheBramble]

Was, I closed out for 1200 pips..back in the trades above now....

Well done.

What sort of stop size are you using?

 

[xoden]

Hi Bramble,

I do not use stops at the moment. So far I am up 8%....today is my first open drawdown experience.

Yesterday I fluctuated back and forth between positive and negative territory. My experience so far is I have seen prices go negative and positive very fast.

Last night prices went negative and so far still in negative.....given that I have some % cushion gains and the system is 85% into positive gains and average hold time of 10 - 13 days, I am going to hold on to wait out the signals.

That said, I've been taking the recommended lot sizes provided by the indicator I'm using.

Here's a response I got from McLean on risk settings:

"The risk setting generates a lot size that will withstand a 10% shift in price befor you reach your risk setting's drawdown. In EURUSD terms that is a 1270 pip move, but this rarely, if ever, happens before an exit is signalled. WE only track arb pairs with greater than a 80% win rate and of those over 85% have a 100% win rate."
[6/20/2012 5:21:16 PM] McLean:

Well done.

What sort of stop size are you using?

 

[xoden]

By the way, the trading system I am using just so everyone knows was created by a professional trader. His name is McLean Van Cleve. There is a small group of traders using the same technique on Donnaforex at the link below..

StatArb Pro

 

[NVP]

look - can someone please laugh @ my statistical arbitration joke.

Was it not funny or just too intellectual?

aawwww.....sorry missed it

 

[NVP]

Hi Bramble,

I do not use stops at the moment. So far I am up 8%....today is my first open drawdown experience.

Yesterday I fluctuated back and forth between positive and negative territory. My experience so far is I have seen prices go negative and positive very fast.

Last night prices went negative and so far still in negative.....given that I have some % cushion gains and the system is 85% into positive gains and average hold time of 10 - 13 days, I am going to hold on to wait out the signals.

sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N

 

[xoden]

Too intellectual :cheesy:

aawwww.....sorry missed it

 

[xoden]

Thanks NVP...I did use Trader101 Basket trades a while back...got flamed and went up in smoke. Him and another fella were really secretive about that and everyone thought they found the magic formula, so talk of it withered unless you were smart enough to figure it out....and I'm certainly not that person

I did visit Hopwood's site....too many EA's to select, I wouldn't know where to begin to be honest.

sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N

 

[xoden]

I did purchase quite a bit of FerruFX's indies a while back including heart of forex and another multi time frame indie.....they were ok and acted more like heat maps....I think he sold his company to some other vendor and then my news link to the indie quit working........in any case....

Not really interested in basket trading anymore....per the Trader 101 links....great concept the way they find trades using the open positions as an indicator though...

sensible idea ? .............

so you are basket trading ?......if so would recommend you have a look at the work of FerruFX, SteveHopwood , Hanover and Dreamliner at FF.....may give you some more ideas

regards
N

 

[xoden]

Well currently I'm in 4% open DD across 4 open arbs at the moment..........my position sizes are very small so I can withstand quite a bit of movement.