FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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michal.kreslik
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Postby michal.kreslik » Wed Nov 08, 2006 8:47 pm

Aennea wrote:Hi, Michal,

a friend of mine told me about kreslik.com today. Your FPI system is brilliant!

I've heard that a large hedge fund will pay you to automate FPI for them. Is there any chance of me getting the code when it's done? Of course, I don't want your work for free :)

Cheers,
Andy


I really wonder how this information leaked - seems like some news is spreading faster than light :)

Anyway, if you're interested in my code, PM me.

Michal

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EvgeniX
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Postby EvgeniX » Wed Nov 08, 2006 8:52 pm

TheEconomist wrote:hmm...I just found MODE_SWAPLONG and MODE_SWAPSHORT as parameters for MarketInfo().... I could let it choose only interest positive rings... but what if ring type MATTERS?


Can you please explain briefly why EA take long time to start?

Why its make so many calculations?

thx

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Postby TheEconomist » Wed Nov 08, 2006 9:04 pm

When the ea starts, scans and slashes the PossibleRings array into RealRings array (each element is a contract). Then calculates magics for each ring (RealMagics). Then writes a certain number of lines (meaning it puts empty labels on screen (which will be filled in later)). The core of the ea is the Main() function, which is executed all the time, not only when quotes arrive (because has to scan many contracts, not just one). Once entered in main, check if there is a position (GetActiveRing). Analyses the position and displays with yellow data about it, may even decide to close. Then analyses all the 8 rings. If no position is active at that time, the ring that has minimum FPI and this FPI is under or equal to FPI_LO is executed (Position_Create). Also the procedure displays (with white) FPI calculation for all rings. Then the cycle rebegins... You should definately have some lines written on screen...

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Postby TheEconomist » Wed Nov 08, 2006 10:17 pm

Hmm...puzzled about this:

GBP/JPY * (1/USD/JPY) * (1/USD/GBP) ~ 1.0006

while

(1/GBP/JPY) * USD/JPY * GBP/USD ~ 0.9994

(BSS and SBB rings give the same values, though)
how should it be correct?
not only for this ring...for many

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Postby Nicholishen » Wed Nov 08, 2006 11:23 pm

Here is one day of second by second tick data and analysis. I think that the 15M open/closes must be falling off by several ticks... You be the judge.

The files can be downloaded @ http://download.yousendit.com/01B0B94668DA1EDA
for the next 7 days.


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Postby A3 » Thu Nov 09, 2006 6:44 am

I suggest to close this thread because it is to good to degenerate.

Anyone who paid the necessary attention got already more that he/she contributed.

To Michal all the compliments. Nothing really new but simply striking genius.

I do not believe that there is anything more to discuss about:

A/B*B/C*C/A=1


Aron.

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Postby bitcy » Thu Nov 09, 2006 10:22 am

@the economist
glad to see a guy who is thinking and doubting here around. Dubito ergo cogito, cogito ergo sum. Take my advice and don't spend your time with FPI. you won't make money with it.

@michal
yes, thanks for clarifying. you are the best. unfortunately, your calculus is still wrong because 29.6.2006 was a date with extreme low liquidity, and the spreads were extremely high. At that time, as you can check, on IBFX the EURUSD spread was 12pips (!!!), on FXCM the spread of EURUSD was 6 pips, on Oanda the same spread was 4 pips, and on SXB it was 4 pips. At least you could make a lost of about 75$ for your ring. And more than that, you REVERSED the ring now, ha ha ha ha, that is not the same ring as in initial example. At the moment of opening the ring you DON'T know which direction is good for the ring. Guesing that, has the same probability (=0.5) as guesing the direction of the price of one pair: the price can be up, or can be down tomorow. Probabilistically playing, EURUSD can be up or down tomorow, I have 50% chance to get the right direction. And I will pay the spread only once if I just play EURUSD and no ring. I will have a higher risk if I am wrong, but much much higher reward if I am right. That's why stop loss was invented.

Oh, ok, man, if you are saying that you are working to find a strategy to choose the best direction to play a ring, than all my respects !! (seriously, no irony) and good luck. I would also pay money for that strategy if is for sale!! But finding that is different story. Don't bother us with the indicator making profits all the time. This indicator does not exist.

Second, you got me wrong first time (I just read now the forum). When I was talking about "guys" it was not about the traders that play forex, but was about the curency pairs involved in the game. This is a set of "guys" staying together as a group in Nash's book. Yes, it is about his equilibrum book, but I had really no idea that is the name, in japanese is different. These guys, the pairs, stay together. FPI strategy, as you call it, is to spot the time when one of the guys is out of the group, and catch him. This is corellation. I repeat again, this will not bring you profit in time. We will talk after some years. But is pitfull for me to see so much resources and inteligence wasted, you could use your time better to learn real forex trading and to practice.

I appreciate anyhow that even I used bad words against you, you were still conciliative and did not jump to my neck :D. Thanks.


@the guy trading bilions over the telephone and saying this FPI is the best strategy ever: Man, I bet you never made any profit from forex. Especially making arbitrage over telephone has same chances of success as watching tv news and running to the broker with your bare feet three streets away to place a trade every time when the news are ok. There are two posibilities about you:

1. you are a layer about your trades, and you did not make profit from forex. In this case, worst part is that you really believe in this strategy of perfect hedging, and in time you will lose money with it.

2. you are really the trader you say you are, however I doubt such trader will lose his time on forums having in the same time a good intention. Because in the case your ARE the trader you say you are, then your goal is to make money. You can only make money if some other people lose money, and a good trader as you are, knows how "good" is this strategy. That is why you advice people to use it. They will lose money, you will get money playing your own strategy.

About banks loving me, I really doubt they could love a trader that turn 15k into 130k in 4 years. Actually in one year, because first 3 I was not really profitable and I had a drawback of 4k in the beginning (from 6k investition), I had to invest more to be able to recover. I could attach some revenue paper to prove that, and you could decide if my salary (i work as a sysadmin) of about 2500 US/month can result in such high revenue taxes. Should be another source of money involved. Unfortunately the paper is not in english and there is not the time to show it now. And I really don't care proving anything to you.

end of comment

@the other people who have ears to listen
Let's bring in "the heavy artilery", as people like to fight. It is dificult to make somebody accept they are wrong. So we try to make something constructive. I have built an indicator that shows you the profit you can make on perfect hedging. All the coments are inside. This indicator has two parts. One is the indicator graphic in separate window under the main window chart. The other part is a gold trendline on the main chart. I call it profit line, or hedge line. You open 3 charts as EURUSD 30M, GBPUSD 30M and EURGBP 30M. Then you attach the indicator to EURUSD chart. You can eventually change the TimeFrame parameter to be 5, 15 or 30 if you do not have enough 1 Minute history. Note: in that case (no history) the indicator is not accurate, for the reason I describe inside (it is called FRACTAL INTERPOLATION). I mean the yellow graphic can look strange just after you attached it, and could be not reliable, all over 1.00 or all under 1.00 a lot, because 1 Minute history is shifted in time. But last bar is accurate all the time, because is computed based on incomming ticks, and all bars built after that are also reliable. So if you let the indicator run longer, it will be very accurate. Eventualy you can modify the indicator_minimum and indicator_maximum properties, to be closer to 1.00 to get a more detailed view of the FPI graphic. But now let's forget the indicator, and say that is stupid, bad programmed, bad intended from my side, nuts, or whatever you want to call it. For now, let's concentrate on the golden line, the ProfitLine. You can drag it with the mouse wherever you like, on the current EURUSD M30 chart. It will show you the profit/loss that you can make if you take a perfect hedge on the 3 pairs, along the golden line, for 10 lots of USD (1 Mio USD), with both direct and reversed ring. Only the swap is not considered, but all the other stuff, even the spreads at that moment, are considered. I could not find any profit combination, all are losing money, no matter where I put the line. You can check all the code and comments inside and if you find an error in calculus then you let me know and I will corect it at once. Thanks a lot, nobody is perfect.

Question: Did anyone, ever, made profit using this strategy? I mean a serious trader, not one trading by

telephone or running to the broker three streets away to place the trades...
Attachments
FPI.zip
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michal.kreslik
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Postby michal.kreslik » Thu Nov 09, 2006 11:18 am

Nicholishen wrote:Here is one day of second by second tick data and analysis. I think that the 15M open/closes must be falling off by several ticks... You be the judge.

The files can be downloaded @ http://download.yousendit.com/01B0B94668DA1EDA
for the next 7 days.



Nick,

thanks for making the sample tick data file available. Your graph dovetails perfectly with the FPI distribution graphs in my previous post:

http://kreslik.com/forums/viewtopic.php?p=2636#2636

If we put those 4 graphs together, we can clearly see how the FPI values are distributed accross the 4 FPI calculation methods:
  • BSS 011
  • BSS 100
  • SBB 011
  • SBB 100



Attached is the source Excel file for the above graph.

Michal
Attachments
FPI_distribution_4_methods.zip
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Luke
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Postby Luke » Thu Nov 09, 2006 2:38 pm

bitcy wrote:@the economist
glad to see a guy who is thinking and doubting here around. Dubito ergo cogito, cogito ergo sum. Take my advice and don't spend your time with FPI. you won't make money with it.


bitcy,

You seem to be a very selfish person trying to prevent anyone else from trading this because you want to be the only one. You go to such lengths to prove this is wrong yet no one knows you on this board therefore you have nothing to prove. You want to try and dissuade everyone else from trading this strategy that Michal has so generously shared with the community. If your criticisms were based on facts they would be welcome but I don't belief even you are dump enough that you can't see how it works after apparently spending so much time with it. This is a great board and you are the 1st thread crapper from my recollection. This makes you extremely unwelcome here.

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Postby smotty1 » Thu Nov 09, 2006 2:45 pm

Luke wrote:
bitcy wrote:@the economist
glad to see a guy who is thinking and doubting here around. Dubito ergo cogito, cogito ergo sum. Take my advice and don't spend your time with FPI. you won't make money with it.


bitcy,

You seem to be a very selfish person trying to prevent anyone else from trading this because you want to be the only one. You go to such lengths to prove this is wrong yet no one knows you on this board therefore you have nothing to prove. You want to try and dissuade everyone else from trading this strategy that Michal has so generously shared with the community. If your criticisms were based on facts they would be welcome but I don't belief even you are dump enough that you can't see how it works after apparently spending so much time with it. This is a great board and you are the 1st thread crapper from my recollection. This makes you extremely unwelcome here.



However whilst all the theory and fancy graphs are great, not one person on this forum has ever shown or proved that this works in reality and works on a regular basis. I have made dozens of demo trades using different brokers, and i have not once made a profit using this system!

so who is going to put their money where their mouth is?

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