FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

Moderator: moderators

User avatar
TheEconomist
rank: <50 posts
rank: <50 posts
Posts: 22
Joined: Thu Nov 02, 2006 7:13 pm
Reputation: 0
Gender: None specified

Postby TheEconomist » Sat Dec 30, 2006 8:48 pm

Come on do you really get positive swaps several days in a row? On a correctly open FPI ring? I did everything possible, but swap positive rings can't be maintained... In a few hours every swap positive ring may get to be negative. And its enough to get negative at the time of interest payment, doesn't matter the rest of the day was positive.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

Muddyguy
rank: <50 posts
rank: <50 posts
Posts: 8
Joined: Wed Nov 22, 2006 7:45 pm
Reputation: 0
Location: San Diego, CA
Gender: Male

Postby Muddyguy » Sat Dec 30, 2006 11:36 pm

Hi T.E.,

I think your quesiton was directed at me, so I will answer.

First, those posted swap values are directly from the platform, not a broker's website, so the values are accurate.

Second, they are adjusted to reflect the actual order sizes as per Michal's earlier post, so they are accurate with a correctly hedged ring.

Third, these trades behave in much the same way as correlation trades, which with I am very familiar, so I believe the positive swap would be maintained unless an interest rate change from the broker affected the values. I can't see how it would go negative.

Fourth, if a positve swap ring is opened at the correct time when the FPI is at a negative extreme, there should be very little negative movement in the net value of the trade, except for the spread cost when opening the trade.

But, as others have noted, trading these rings for swap doesn't make a lot of sense. Earning $1.50 on a ring with a spread cost of $150 (first ring in the earlier pic) requires one to stay in the trade for 100 days just to break even if we are trading this for the swap potential. And, the total interest earned would probably be somewhere south of 10% per year. Not very exciting... :smt015

However, if we trade for the swing action profits, that is a different story. Consider the GBPUSD/USDCHF/GBPCHF ring in the previous pic with almost $400 in positive movement after the spread is deducted. If we assume that it takes approximately $4,000 to enter the trade (given 100:1 leverage and approximately four open orders in rough numbers), and we are able to capture $200 of that movement in net profits, that is a 5% return. If we can do this 10x monthly, it starts to look like real money, especially if we can compound our gains.

But... (I hate that word!), please keep in mind that the EA screen shot reflects the extreme values even if those values were only touched for a fraction of a second. This system will be viable if we are actually able to enter/close trades at those values without a requote, delay or other broker nonsense.

I have done it, as have others here, but not often enough. I'm still working making this a practical system for my group. ](*,)

Take care,
Bill

User avatar
TheEconomist
rank: <50 posts
rank: <50 posts
Posts: 22
Joined: Thu Nov 02, 2006 7:13 pm
Reputation: 0
Gender: None specified

Postby TheEconomist » Sun Dec 31, 2006 9:55 am

"I believe the positive swap would be maintained unless an interest rate change from the broker affected the values."

This is the issue.

Let's make a theoretical example. Say long EURUSD has 2% swap.
for a lot of 100000 EUR, at EURUSD=1.33 would mean 2% for a day,
=5.47 EUR swap, in USD (account currency) = 5.47 x 1.33 = 7.27

EURUSD rate moves 100 pip down

=5.47 EUR swap, in USD = 5.47 x 1.32 = 7.22



And FPI working is another issue (guess it's impossible now, but i heard from a broker that "direct fx will be available for retail before you know it")


Keep up the work!

skibumm101
rank: <50 posts
rank: <50 posts
Posts: 2
Joined: Mon Jan 01, 2007 5:57 pm
Reputation: 0
Gender: None specified

Postby skibumm101 » Tue Jan 02, 2007 6:21 pm

Hello all,
Good and interesting work on the FPI. I use amibroker and EFX. Ive noticed a few things that i would like to discuss.

I added a median indicator using a 10 period calculation. What i have noticed is that certain FPI rings do not have a median of 1.0000, but are either above or below. This does not cause any problems with the FPI in general, but might give us hints on how to use a particular FPI ring. For instance.

i am using EUR/USD--USD/JPY--EUR/JPY, since EFX has very low spreads on the pairs. the median of this FPI ring is below 1.0000. Since it is more often low then high, i wait untill the FPI goes high, then i submit a sell,sell,buy. After this happens i wait untill it goes low, and since the median is low, it should go there very often and soon.

The second thing i am experimenting with is using the median as a Slow FPI indicator. This appears to be working also, but haven't tested it much

I'm no math genius, but from my 30 or so trades so far, this technique of only entering positions on the high side for this particular FPI ring is working.

donluc007
rank: <50 posts
rank: <50 posts
Posts: 1
Joined: Thu Dec 21, 2006 3:42 pm
Reputation: 0
Gender: None specified

Postby donluc007 » Wed Jan 03, 2007 8:17 pm

hi,

Great article, but i made the same calculations as above and I was wondering the same thing, plus:

1) How do you compute the fpi for your eur/usd/jpy ring? I got different results.
2) Your point about being able to go on vacation is not valid. Due to the fact that interest rates also have a bid/ask price and they are usually close you end up paying interest for a perfect hedge. This coupled with the small gains of this system, means you need to exit in 1-2 day tops.

EDIT: Sorry. I must be blind. I've only seen the first page ... My questions, if they haven't been answered still stand though. I will read the rest of the pages, and if I get my answers I will edit the post accordingly.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.

jswanson2
rank: <50 posts
rank: <50 posts
Posts: 2
Joined: Fri Dec 01, 2006 6:09 pm
Reputation: 0
Location: USA
Gender: None specified

shaving a candle with FPI

Postby jswanson2 » Wed Jan 03, 2007 11:13 pm

To think we can move the forex market or cause a disruption even in our brokers spread is pretty inspiring. You have to understand that the volume you see on the spreads is not even what is actually there to execute. At ADMD they have 19 banks in total. Of the 19, 10 are constantly active on the Currenex liquidity pool providing liquidity for me to trade. BGC is nearly double. To think I can change their spread would take several hundred lots if not more. Currenex does not show the true volume available to traders. I'm sure you think you are going to make 40% a month with the FPI and eventually be able to shave their spreads with your volume but what you do not know is they will have asked you to leave a month after you started trading. There is another way to do this so you never get caught and you have to figure that out before you can bang brokers. The concept of the FPI is great. It's on wikipedia. Finding someone that has successfully coded it for FIX CNX is much more difficult. Michal has gone above and beyond to help us all by providing the calculator. I am working with a coder to create an institutional FPI where we pull the best bid and offer rather than being limited to only one bid and offer. We could use a good coder in our group. If you are interested you can email me at jswanson at usa dot net. Currently I trade other systems to make money for myself. I have offered to trade other peoples' accounts while we create this system. You can get into my PAMM and I will manage your funds. We do on average 10% a month. When the insitutional FPI is created on the FIX network and capable of being traded on CNX the coders will share in the wealth. I will trade my systems and we will add FPI to the arsenal to make 20%+ a month. This is completely possible according to our calculations.
Jeff

sisidemo
rank: <50 posts
rank: <50 posts
Posts: 1
Joined: Tue Nov 21, 2006 2:20 pm
Reputation: 0
Gender: None specified

Postby sisidemo » Thu Jan 04, 2007 5:57 pm

MR. Jswanson obviously you are trying very hard to get someone to give you a working FPI code, but this is development forum so please keep the talk relevant to development rather than try to lure people.

jswanson2
rank: <50 posts
rank: <50 posts
Posts: 2
Joined: Fri Dec 01, 2006 6:09 pm
Reputation: 0
Location: USA
Gender: None specified

Postby jswanson2 » Thu Jan 04, 2007 7:33 pm

Sorry, I was replying to MuddyGuy.
Have a great day.

holyguy7
rank: <50 posts
rank: <50 posts
Posts: 7
Joined: Thu Nov 16, 2006 9:32 am
Reputation: 0
Location: Alaska
Gender: Male
Contact:

FPI Demo Statement

Postby holyguy7 » Fri Jan 12, 2007 7:27 am

Here is a demo of FPI I have been running since the Beginning of the year. As you can see, it seems to be doing quite well with some nice profit so far.

I use Velocity4x as the broker for a few reasons:

1. They have low spreads.
2. They offer many currency pairs.
3. They have smaller lot sizes than just minilots to make more precise hedges.
4. They seem to be a fair broker with good reviews at forexbastards.com

Note: Demo is currently using 50:1 leverage. On a live account, you are allowed 100:1 leverage so the profits you see here would be doubled.

If you want to keep track of the trades in real time in Metatrader 4, here is the login information:

207.38.2.84:443
Login : 9004563
Password : lyk5wzc (read only password)

To do this in Metatrader 4 follow these steps:

1. Open Metatrader 4
2. At the top, click Tools and Choose Options
3. Click on the Server Tab and type in the above information in Server, Login and Password and click OK.

Any questions, please IM me on Yahoo IM:
holyguy7

or email me at holyguy7@runbox.com
Attachments
FPI Statement Demo.gif
Graph for FPI Demo Statement
FPI Statement Demo.gif (5.88 KiB) Viewed 1103 times
FPI Statement Demo.zip
Statement since the beginning of the Fiscal Year (2 January 2007)
(4.1 KiB) Downloaded 100 times

User avatar
Nicholishen
rank: 50+ posts
rank: 50+ posts
Posts: 52
Joined: Thu Oct 26, 2006 8:44 am
Reputation: 0
Real name: Nick
Gender: Male

Postby Nicholishen » Sat Jan 13, 2007 6:25 am

............................
Last edited by Nicholishen on Wed Feb 28, 2007 4:50 pm, edited 1 time in total.

Please add www.kreslik.com to your ad blocker white list.
Thank you for your support.


Return to “NeoTicker indicators”