FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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nvoforex
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Impeccable ... what?

Postby nvoforex » Sat Jan 13, 2007 2:27 pm

Great thread that in my opinion started a bit off the ground .... let me just paste what I read in the first page:

************
Trade analysis:
SellShort EUR/JPY
open: SellShort 100,000 EUR/JPY @ 145.61; we pay 100,000 EUR, we get 14,561,000 JPY
close: BuyToCover 100,000 EUR/JPY @ 145.90; we get 100,000 EUR, we pay 14,590,000 JPY
profit/loss = -29,000 JPY
Buy EUR/USD
open: Buy 100,000 EUR/USD @ 1.26485; we get 100,000 EUR, we pay 126,485 USD
close: Sell 100,000 EUR/USD @ 1.2753; we pay 100,000 EUR, we get 127,530 USD
profit/loss = +1,045 USD
Buy USD/JPY
open: Buy 100,000 USD/JPY @ 115.17; we get 100,000 USD, we pay 11,517,000 JPY
close: Sell 100,000 USD/JPY @ 114.34; we pay 100,000 USD, we get 11,434,000 JPY
profit/loss = -83,000 JPY
Overall profit/loss at the time of trade close in USD:
EUR/JPY trade: -29,000 JPY / 114.36 (USD/JPY) = -254 USD
EUR/USD trade: + 1,045 USD
USD/JPY trade: -83,000 JPY / 114.36 (USD/JPY) = -726 USD
Sum: 1,045 USD - 254 USD - 726 USD = 65 USD netto
So our Impeccable hedge trade did earn us net 65 USD after spreads. That's 6.5 pips net if you translate it to EUR/USD trade. You may say it's nothing to write home about, but it's sure 6.5 pips in your pocket without risking anything.
***************

Are you sure we were not risking anything??? It is impossible to say that using same lot size. Unless you correct the math, projected 'gains' on this system will be subject to having a drawdown, like any other system.

Tony.

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News is critical to good FPI placement

Postby holyguy7 » Sun Jan 14, 2007 2:20 am

Here is an example from my demoing that I have done the last couple weeks:

On 11 January 2007 the Expert placed the following hedge at 03:50:

Buy EURAUD at 0.51 lots
Buy AUDUSD at 0.86 lots
Sell EURUSD at 0.51 lots

It closed one minute later at 03:51 with the following profit:

EURAUD $-27.92
AUDUSD $-25.80
EURUSD $+397.80

Now, it took the closed trade and turned around and placed the following trade in the same minute at 03:51:

Sell EURGBP at 0.71 lots
Buy EURCAD at 0.71 lots
Sell GBPCAD at 0.47 lots

This trade took a little longer, but closed the trade 13 minutes later with the following profit:

EURGBP $+96.09
EURCAD $+24.18
GBPCAD $-48.00

So there is a couple examples of how very volatile times can be opportunities for hedging and quick money making with almost no risk.

giapel
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Re: FPI Demo Statement

Postby giapel » Sun Jan 14, 2007 10:29 pm

holyguy7 wrote: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



hi, holyguy
i am new on this forum and
i am interested to forward-test EA-FIP on metatrader... very good result
could you post me EA to test it

thank you, giapel

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michal.kreslik
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Re: Impeccable ... what?

Postby michal.kreslik » Tue Jan 16, 2007 5:45 am

nvoforex wrote:Great thread that in my opinion started a bit off the ground .... let me just paste what I read in the first page:

************
Trade analysis:
SellShort EUR/JPY
open: SellShort 100,000 EUR/JPY @ 145.61; we pay 100,000 EUR, we get 14,561,000 JPY
close: BuyToCover 100,000 EUR/JPY @ 145.90; we get 100,000 EUR, we pay 14,590,000 JPY
profit/loss = -29,000 JPY
Buy EUR/USD
open: Buy 100,000 EUR/USD @ 1.26485; we get 100,000 EUR, we pay 126,485 USD
close: Sell 100,000 EUR/USD @ 1.2753; we pay 100,000 EUR, we get 127,530 USD
profit/loss = +1,045 USD
Buy USD/JPY
open: Buy 100,000 USD/JPY @ 115.17; we get 100,000 USD, we pay 11,517,000 JPY
close: Sell 100,000 USD/JPY @ 114.34; we pay 100,000 USD, we get 11,434,000 JPY
profit/loss = -83,000 JPY
Overall profit/loss at the time of trade close in USD:
EUR/JPY trade: -29,000 JPY / 114.36 (USD/JPY) = -254 USD
EUR/USD trade: + 1,045 USD
USD/JPY trade: -83,000 JPY / 114.36 (USD/JPY) = -726 USD
Sum: 1,045 USD - 254 USD - 726 USD = 65 USD netto
So our Impeccable hedge trade did earn us net 65 USD after spreads. That's 6.5 pips net if you translate it to EUR/USD trade. You may say it's nothing to write home about, but it's sure 6.5 pips in your pocket without risking anything.
***************

Are you sure we were not risking anything??? It is impossible to say that using same lot size. Unless you correct the math, projected 'gains' on this system will be subject to having a drawdown, like any other system.

Tony.


nvforex,

you should first read the entire thread - in the example you re-posted above was an error that was corrected a couple of posts after.

Michal

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Postby holyguy7 » Wed Jan 17, 2007 11:11 am

I hope everyone understands. The EA that I am testing right now is a private EA and is not currently for sale or for testing. There are still some issues that the EA has that are being fixed right now and the testing will be for a while before I feel comfortable putting real money down on this system.

The programming that it took to design this EA was very immense. Thus, it might be for sale in the future but only after it has been tested with REAL money after the testing stage.

Thank you for your understanding.

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EvgeniX
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Re: Impeccable ... what?

Postby EvgeniX » Wed Jan 17, 2007 5:30 pm

Hello Michal

Why do you start use NeoTicker instend of just use API for MBT Navigator or EFX Navigator?

Thank you

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michal.kreslik
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Re: Impeccable ... what?

Postby michal.kreslik » Wed Jan 17, 2007 6:39 pm

EvgeniX wrote:Hello Michal

Why do you start use NeoTicker instend of just use API for MBT Navigator or EFX Navigator?

Thank you


I'm gonna use Currenex with a FIX protocol, really. Right now I'm implementing FPI for NeoTicker just because it's a quicker solution than writing a whole interface (EFX or Currenex) from scratch.

Michal

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Postby marktom.il » Thu Jan 18, 2007 5:40 pm

My story is this : on october 2006 i went to costa rica. during my traveling i thought of the same idea (FPI) as kreslik and developed some equations, when i came back i searched the net and i found only an academic article stating that this arbitrage exisits and usually last for a short periods (i will give citation upon request)
I tried to find brokers that allow API trading , and came across ,MBT and cms.
i have tried FPI on MBT and unfourtunately didn't make a cent. the arbitrage lasts for sometimes less than a second, i have measured the time it takes to create a single order and it takes about a second (somtimes less) so for 3 orders , you can forget about entering on time.
I have not given up, i have verified (through matlab, and using GAIN tick history) that you don't have to enter the market on 3 orders all at once and still see the similar arbitrage graph, the catch is that you don't know what arbitrage value your orders will enter, so you might be buying the cycle instead of selling it, and that is definitly not risk free arbitrage. The only good thing about it is that you are hedged (not forever though).

Yesterday night i stumbled accross this site and i thought i should share my knowledge and experience.

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Postby FX5 » Fri Jan 19, 2007 8:53 pm

marktom.il wrote:My story is this : on october 2006 i went to costa rica. during my traveling i thought of the same idea (FPI) as kreslik and developed some equations, when i came back i searched the net and i found only an academic article stating that this arbitrage exisits and usually last for a short periods (i will give citation upon request)
I tried to find brokers that allow API trading , and came across ,MBT and cms.
i have tried FPI on MBT and unfourtunately didn't make a cent. the arbitrage lasts for sometimes less than a second, i have measured the time it takes to create a single order and it takes about a second (somtimes less) so for 3 orders , you can forget about entering on time.
I have not given up, i have verified (through matlab, and using GAIN tick history) that you don't have to enter the market on 3 orders all at once and still see the similar arbitrage graph, the catch is that you don't know what arbitrage value your orders will enter, so you might be buying the cycle instead of selling it, and that is definitly not risk free arbitrage. The only good thing about it is that you are hedged (not forever though).

Yesterday night i stumbled accross this site and i thought i should share my knowledge and experience.


Thnaks for the information you added. However, I wish you could share with us the acadimic article you found about Forex arbitrage.

I agree with you that the arbitrage ,when exists, last for very short period of time. This period correspond to volatile maket state which most brokers do not execute orders on the demanded prices. So, It is very hard to get advantage of this arbitrage.

I am anxious to hear more about your experience, espcially on how you managed to identify the arbitrage value in the cycle.

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michal.kreslik
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Postby michal.kreslik » Fri Jan 19, 2007 9:06 pm

The time period the arbitrage opportunity exists for depends only (and I mean only) on your broker's price update pace.

Michal

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