FPI - Fractional Product Inefficiency: The Impeccable Hedge

[Nicholishen]

I'm still to see an interest positive ring, could you post an example?

Also I noticed the swaps on EFX are nothing like it should be based on interest differentail, e.g. GBPJPY positions pay swap regardless of direction, or am I mistaking? So much for my beloved carry on this baby...

Now you know how EFX makes their money! EFX is definitely not for position or swing traders. What you save on the front, you'll more than pay for it on the back. Harm, did you see the SWAP comparison (page 21) that I did of EFX vs. FXDD?

[kaizen]

I have done some testing on a ring real time to see what kind of results I would get just on the FPI numbers. See attached excel sheet for results.

Each data point to taken at 3 second intervals. As you can see the FPI value is only out for a fraction of a second at a time. I kow it takes about 4 seconds to get an order placed and executed so the reality of actually geting an order in the market on time is very slim.

This is using Oanda's API access as well.

Below is the code I used. Let me know If i made any calculation mistakes. It was done with VB.Net

Code: Select all

Imports fxClientAPI

Public Class clsFPI

    Dim FPIRings(3) As fxClientAPI.fxPair


    Public Sub CalcFPIRings()

        Dim fx_tick1, fx_tick2, fx_tick3 As fxTick
        Dim fpiValue As Double

        Do While connection.connect()


            fx_tick1 = New fxClientAPI.fxTick
            fx_tick2 = New fxClientAPI.fxTick
            fx_tick3 = New fxClientAPI.fxTick

            FPIRings(0) = New fxPair("USD/JPY")
            FPIRings(1) = New fxPair("EUR/JPY")
            FPIRings(2) = New fxPair("EUR/USD")

            fx_tick1 = fxConn.RateTable.GetRate(FPIRings(0))
            fx_tick2 = fxConn.RateTable.GetRate(FPIRings(1))
            fx_tick3 = fxConn.RateTable.GetRate(FPIRings(2))

            fpiValue = 1 * fx_tick1.Bid / fx_tick2.Ask * fx_tick3.Bid

            If fpiValue <= 0.9996 Then
                Debug.Print("Low FPI" & Math.Round(fpiValue, 6))
            ElseIf fpiValue >= 1.0003 Then
                Debug.Print("High FPI" & Math.Round(fpiValue, 6))
            Else
                Debug.Print(Math.Round(fpiValue, 6))
            End If



            Threading.Thread.Sleep(3000)

        Loop


    End Sub
End Class



[Harm]

I'm still to see an interest positive ring, could you post an example?

Also I noticed the swaps on EFX are nothing like it should be based on interest differentail, e.g. GBPJPY positions pay swap regardless of direction, or am I mistaking? So much for my beloved carry on this baby...

Now you know how EFX makes their money! EFX is definitely not for position or swing traders. What you save on the front, you'll more than pay for it on the back. Harm, did you see the SWAP comparison (page 21) that I did of EFX vs. FXDD?

Yep, i know, I'm staying with FXDD for my carries.
But every now and then I see posts about interest positive rings, if they exist I'd like to know since they are the ultimate risk-ffree money makers. That's why the won't exist
With EFX interest policies, you'll have to close FPI positions before rollover since the interst will eat up profit soon...

[TheEconomist]

Question:

Given following data:

EURGBP ASK=0.6727
EURUSD BID=1.2847
GBPUSD BID=1.9106

i calculate

EURGBP * (1/EURUSD) * GBPUSD = 1.0004...

and

(1/EURGBP) * EURUSD * (1/GBPUSD) = 0.9995 ...

Now, in BOTH cases, RING IS THE SAME TYPE, BSS, yet changing the formula gives opposite results...
The second formula gives an entry point, while the first gives an exit point

Does it mean the same market situation may be interpreted as BOTH entry or exit point on the same ring type, and distinction is just the fact that once entered a ring the formulas are kept until the end?

That low FPI = high FPI and profit is made taking the FPI swing only?

Then what about that thing with "entering trade at high fpi always produced loss" ? (scratching head)

Michal, Nicholishen or anyone else, please I need an answer, I don't know ... I'm not sure about what I do in the ea anymore...

[bitcy]

@ michal
I still don't know why I am spending my time with teenagers, but I reallllllly start loving you, man... I said I go, I turned my back to you, and you could not miss this opportunity to hit me in the back. Yes, I remember, this is your house, I am the bad invader. I dare to tell the people you are wrong... I deserve my fate... I still have friends reading this forum, and they tell me that you could not attack me on my idea or software provided here and you start attacking me on Latin, so I could not stand apart without reaction to such insult of latin language. For the future please try to concentrate on making fun of my English, because this is still the only domain where you can teach me something, and for sure you can find plenty of oportunities to make fun of my English, except typing mistakes. With forex you did not convinced me (you can say something when you will have at least same results as me), your calculus either did not convinced me, examples are wrong 4 from 5, and your latin.... man, if your latin teachers taught you that, tell to your teachers to give you money back!! Latin is my second language after japonese, because the latin philosophy is close to japanese one, they have many sayings that i like and learn them by hart, and I still can speak (at the same bad level as english, but enough to make the people understand me) italian, spanish, portuguese and french. Don't mention chinese, because it is not latin.

Just for your knowledges, the accusative case in Latin is formed by ading "um", "am", "em" to the end of the nouns. Same as in italian novadays, old latins distinct the cases by adding different suffixes. The word "muscas" in "aquila not capit muscas" IS NOT LATIN AT ALL!!!, but it was invented by an englishman who wrote a book with this title 25 years ago. As an englishman, you are tempted to add "s" to the end of the words. That is different with japonese people, that learn the words and latin alphabet "mot a mot". The corect noun "musca" (=fly) has in latin the plural "musci". The "am" sufix came from accusative case.

Other examples: Philosophum non facit barba! (Not the beard define a philosopher!), Corripe Cerevisiam! (Seize the beer!), Da mini sis cerevisiam dilutam. (Give me a light beer.), or words that were adopted by english, as "ante bellum", "carpe diem", etc. all comming from latin expresions with accusative case.

If you say "Philosophus non facit barba!" it means something totaly different: The philosopher does not have beard. And even this is wrong, the corect form is: Philosophus non facit barbam!

If you let me live, without using subtilities, sending me to online games when you can not combat me, or such juvenile things, then I won't bother you again. A wish from me to you:
Sit vis vobiscum! (May the Force be with you!)


(P.S. Textually "stay with the Force", it appears in "star wars", it is the correct form, and not "sit vis vobiscus" that it is not correct, even I don't know how to translate it, it could mean something like "the force is sitting" or so)

[Harm]

I appreciate Michal's posting of the FPI, although not a new idea, it triggered my interest to look into it again. Previously I abandoned it as not tradable for the small independent trader, but now I see I might could.

But since the initial posts I haven't seen anything constructive from anybody. It is clear nobody here is trading it live (yet) and the thread is deteriorating towards a latin language discussion, (incorrect) observations on highschool maths and broastings about achievements. I can find better use for my time than to participate in this nonsense.

I don't think I will come back anymore. For the interested and knowledgable, there's enough information to work it out for themselves. I doubt that Michal has the intention of sharing his ideas and improvements as he's getting paid for his developments and admittedly only is looking for input. I guess we can purchase our input (if any) back later.
So I'll keep my idea's and results to myself for now and perhaps post them somewhere later.....

Be good now and I hope everybody does well in their trading.

[Nicholishen]

Question:

Given following data:

EURGBP ASK=0.6727
EURUSD BID=1.2847
GBPUSD BID=1.9106

i calculate

EURGBP * (1/EURUSD) * GBPUSD = 1.0004...

and

(1/EURGBP) * EURUSD * (1/GBPUSD) = 0.9995 ...

Now, in BOTH cases, RING IS THE SAME TYPE, BSS, yet changing the formula gives opposite results...
The second formula gives an entry point, while the first gives an exit point

Does it mean the same market situation may be interpreted as BOTH entry or exit point on the same ring type, and distinction is just the fact that once entered a ring the formulas are kept until the end?

That low FPI = high FPI and profit is made taking the FPI swing only?

Then what about that thing with "entering trade at high fpi always produced loss" ? (scratching head)

Michal, Nicholishen or anyone else, please I need an answer, I don't know ... I'm not sure about what I do in the ea anymore...

You will need to calculate the fpi in the same manner every time. Which means if you're using loops to calculate you fpi it would look something like:

for(int i=0;i<numberofrings;i++){
fpi[i]=(1/pair1[i])*pair2[i]*pair3[i];
}

In three symbol rings there is only one pair that needs to be inverted. Later, when it comes to making a trade decision, your routine will need to be something like:

if(fpi>entrylong)BSS();
if(fpi<entryshort)SBB();

[Nicholishen]

deleted.......

[Nicholishen]

I think that everyone is focusing too much on the Impeccible Hedge and not enough on...

Concerning the latter usage, as we have learned above, we can determine the value of the missing fraction (FX symbol) in ring if we know all the rest of the fractions in ring. Let’s imagine we are analysing three FX symbols: EUR/USD, USD/CHF and EUR/CHF. Sure, if we know the prices of the first two, we may determine the price of the third one. But by the same token, if our analysis reveals us the direction of the first two symbols, then we can also tell what is the direction of the third one, too, despite of the fact that there might be no hint on the chart as to what is the direction of the third symbol.

[michal.kreslik]

For the interested and knowledgable, there's enough information to work it out for themselves.

That's very well said, Harm.

I doubt that Michal has the intention of sharing his ideas and improvements as he's getting paid for his developments and admittedly only is looking for input.

I would rather put it this way: I pointed out the gold might be buried in a certain area and asked some friends about their opinion.

Those bright enough and diligent enough will find a way to dig out the gold based on the information published here without me disclosing the exact spot.

Michal