FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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michal.kreslik
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Postby michal.kreslik » Thu Oct 26, 2006 7:53 pm

deepleo wrote:Hmm..Please forgive me for this..where do I need to calculate the correct Bid or Ask sides for this ring?


Simple:
  • use Ask price for FX symbol that is Bought
  • use Bid price for FX symbol that is SoldShort
Michal

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michal.kreslik
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Postby michal.kreslik » Thu Oct 26, 2006 8:13 pm

Deepleo,

you must determine the correct price (Bid or Ask) and of course the correct number of lots to trade, too.

Michal

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Postby michal.kreslik » Thu Oct 26, 2006 8:47 pm

DeepLeo (your avatar is scary :smt023 ),

as I said several articles above, it doesn't really matter whether the Impeccable Hedge open / close is below / above 1. The only datum that matters is the absolute difference between the FPI values at the time of open and close.

Michal

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Postby eagles » Thu Oct 26, 2006 9:16 pm

Here is a picture of with more time shown and it looks like your picture is correct. The value has been running below 1 for about the last day. In fact, it looks like it has stayed below 1 since this last uptrend started.

I don't know why (and haven't tried to figure it out).

The indicator I provided adjusts for bid & ask prices based on the spread value contained in the symbol properties and whether you have selected long or short in the inputs.

The indicator uses equal size lots for the calculation. I haven't gotten around to programming the math for balancing the ring as described in one of Michal's previous posts.

Hope this helps...


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michal.kreslik
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Postby michal.kreslik » Fri Oct 27, 2006 12:09 am

eagles wrote:Michal,

Can you provide a text file of the FPI rings for those of us who don't have NeoTicker?


Sure. I've exported the FPI rings for 24 FX symbols. There are 602 FPI rings total including the opposite direction rings (both Buy/Buy/SellShort and SellShort/SellShort/Buy).

The opposite direction rings are shown in parenthesis.

I've exported the rings into the .csv (comma-separated file), which means you can open it directly in excel - it will look like this:



but you can still work with the file as with the standard .txt file (no Excel file format bells and whistles).

The zipped .csv file is attached below.

If you can't see the attached file, please log in first.

Michal
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Nicholishen
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Postby Nicholishen » Fri Oct 27, 2006 12:58 am

michal.kreslik wrote:DeepLeo (your avatar is scary :smt023 ),

as I said several articles above, it doesn't really matter whether the Impeccable Hedge open / close is below / above 1. The only datum that matters is the absolute difference between the FPI values at the time of open and close.

Michal


Hi Michal!

I'm just curious... by the above quote, are you implying that it doesn't matter whether the hedge is buysellsell or sellbuybuy?

Thanks for the ring csv! :D

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Postby eagles » Fri Oct 27, 2006 3:33 am

Got that last post in before I headed to the airport, but as I thought about it on the way there, the lot sizes shouldn't affect FPI, because that is based on prices.

It will impact the neutrality of the trade position when placed.


Thanks for the list Michal.

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Postby Nicholishen » Fri Oct 27, 2006 3:56 am

eagles wrote:Got that last post in before I headed to the airport, but as I thought about it on the way there, the lot sizes shouldn't affect FPI, because that is based on prices.

It will impact the neutrality of the trade position when placed.


Thanks for the list Michal.


eagle,

I thought the same thing until i ran a couple of tests. consider the ring (gbpusd,usdjpy,gbpjpy) the pip values are not all equal so you would need to adjust your position size accordingly. For example the gbpusd pip is worth 10 and the usdjpy pip is <>8.45. Considering the price quotes comprise the FPI, you'll need to ensure that pip for pip the equity will remain the same. BasePipVal / Currency2PipVal = Position size

Hope that helps!

Nick

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Postby Nicholishen » Fri Oct 27, 2006 5:07 am

Has anyone looked into weekend gaps? Do they swing the fpi wildly?

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Postby ryan » Fri Oct 27, 2006 8:27 am

Hey Guys...

Michal: Thanks for the list of FPI rings -- fantastic. How do you determine the Buy/Sell sequence for rings of four pairs or greater?

Eagles: Terrific work on the indicator for MT4. Thanks for that. Great to see how the FPI behaves.

I'm interested to understand other applicatons for the FPI. Can anyone think of any other applications of the FPI other than trades opening orders where FPI <1 and closing when FPI>1?

For example, Michal has mentioned that we can determine from the two pairs the position of a third. Where the FPI<1 for a period of time obviously the ring in 'underweight'. Is it possible to determine which pair is underweight? Or by implication is weighting of the pairs jumping around a lot?

Say one pair (A) is underweight, it could further weaken and the FPI could drop further below 1 OR it could strengthen in which case we would close the trades.

Can this out of sync - in sync observation be used to assist trading with the hedge? ie. use the data by not apply the all hedge trades?

Thanks for everyone's contribution.

Ryan

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