FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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TheEconomist
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Postby TheEconomist » Mon Dec 18, 2006 9:47 am

Just a side thought -- perhaps it may work if we reverse engineer the swaps and convert them to interest rate differentials.. So the script would choose from a set of stable rings and filter out the "inflated" rings with large, but unstable payouts, where the forex rate weight in total payout is greater... but could it be that, in this case, good rings to be turned negative? or just applying the interest rate differential criteria we'd get a hedge on the swaps themselves?

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Postby PeterYng » Tue Dec 19, 2006 5:38 am

"I will try to repair another script that tries to generate rings with a somewhat modified FPI concept. But don't rely on this."

Thank you, TheEconomist - it's very interesting.

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michal.kreslik
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Postby michal.kreslik » Wed Dec 20, 2006 9:16 pm

TheEconomist wrote:Just a side thought -- perhaps it may work if we reverse engineer the swaps and convert them to interest rate differentials..


If you mean doing the calculation based on the central banks' interest rates, then this wouldn't work out. Well unless you got access to the central bank's repo interest rate.

In the FPI ring's composite interest rate calculation, one can only include the publicly available rollover rates published by brokers or other institutions where one can really get these rates.

Michal

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Data

Postby Muddyguy » Wed Dec 27, 2006 5:48 pm

Hi all,

I wrote an EA to give me an idea of how this will work on various brokers. Results vary dramatically, but we already knew that, didn't we?

It self-intializes for the trading pairs at a given broker and then populates the display with the available rings, then tracks them for an entry signal. It shows one pair currently trading, but I forced that entry point in order to track data without waiting for a "good" signal.

I ran it overnight and it showed the following results in the ring data block:

1, 2: Ring name followed by net swap based on one lot for pair 1 & 3, with variable lot size on #2.

3, 4, 5: Fraction current/high/low during this EA session.

6, 7, 8: Projected current/high/low "balance" based on a stored standard price.

9: Net of high/low price.

10: Net of high/low price AFTER "regular" spread is deducted for each pair in the ring. NOTE - this does not consider spread fluctuations.

11: Combined spread one would pay for the three currencies to enter a ring.

The column to watch is the second to last. If it has a relatively large positive value, that ring has possibilities.

Have fun,
Bill
Attachments
neuimex ring.gif
neuimex ring.gif (40.11 KiB) Viewed 1126 times

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Postby davidf » Thu Dec 28, 2006 8:26 am

Muddyguy: in which brooker you tested this EA?

DavidF

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Postby Muddyguy » Thu Dec 28, 2006 9:26 am

I've tested several. This particular screenshot was from neuimex.

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Postby eagles » Thu Dec 28, 2006 1:42 pm

Bill,

There are 2 rings in your screenshot that have positive swap:

USDCHF_CHFJPY_USDJPY_SSL
AUDUSD_USDJPY_AUDJPY_LLS

Do you see any potential in these rings as a carry trades?

Also, in your lot size display it shows 1.22/1.00/1.00, but your description above says "one lot for pair 1 & 3, with variable lot size on #2" --- Is this just the way you set up the display, or are you trying different variations?

Great work though, as it puts some definitive information about 'real' rings.

Regards,
Jack

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Postby Muddyguy » Thu Dec 28, 2006 5:36 pm

Hi,

Yes, I used the screen shot from this broker because it had postive swap, and I had previously posted that I coudn't find any. With some brokers there are no positive swap rings.

I prefer certain correlation trades for positive swap. The return is greater, I think.

Yes, the order data shows 1.22 first. They are simply out of order. I didn't take time to clean up that part of the code as it has no impact on my results.

Take care,
Bill

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Postby gandolff » Sat Dec 30, 2006 6:57 pm

Hey Muddyguy,

I wrote an EA to give me an idea of how this will work on various brokers. Results vary dramatically, but we already knew that, didn't we?


I'm new to this forum, how do I download/get a copy of your EA? I would like to test your EA.

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Postby Muddyguy » Sat Dec 30, 2006 8:40 pm

how do I download/get a copy of your EA? I would like to test your EA.


Hi,

Sorry, I'm not distributing this EA. It is a rough program I wrote to test the viability of rings in the "real world" where spreads are an issue, and which dramatically reduce the opportunities for this trade.

I won't be cleaning up the code unless I find a broker where the trades are not only possible, but frequent.

But, I thought that the results were be interesting enough to share. I hope it has been of some help to this group.

Take care,
Bill

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