FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

Moderator: moderators

BurgerKing
rank: <50 posts
rank: <50 posts
Posts: 4
Joined: Sun Feb 25, 2007 3:25 am
Reputation: 0
Gender: None specified

Interesting Graph

Postby BurgerKing » Mon Feb 26, 2007 5:07 am

Look at the attached Chart.

Interestingly, everytime the indicator went up, its a good time to SELL and when it went down, its a good time to BUY.

BTW. this indicator is "more or less" the same with the FPI-3 downloaded from this site (I made some minor modification but the logic is exactly the same)..

This FPI keeps getting interesting and more interesting by the minute!
Attachments
fpi.gif
fpi.gif (17.86 KiB) Viewed 1064 times

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

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Mon Feb 26, 2007 7:40 am

BurgerKing wrote:Michal,

based on this thread, we BUY/SELL when FPI is way off 1.00; in the above post, there are 4 FPI figures - two per FPI ring.

Question is: from the above 4 FPI numbers, how do I place my positions?
When do I go Long GBPJPY et all? And when do I go short GBPJPY et all?

All I know is go long when FPI is very below 1 and short when its very above 1. But the computation is much more "complex" when spread is taken into consideration.



Burger,

all the rules, including the ones to calc the FPI rings I have just posted above, are thoroughly covered in this thread. I think I will not be doing any good to the readers of this thread to repeat it.

By the way, the spread is taken into consideration by the mere fact that you are using Bid and Ask prices for the calculation.

Michal

BlackJack
rank: <50 posts
rank: <50 posts
Posts: 17
Joined: Wed May 31, 2006 2:13 am
Reputation: 0
Gender: Male

Postby BlackJack » Tue Feb 27, 2007 4:46 pm

michal.kreslik wrote:
pipscalper wrote:I do not understand why the arbitrage is better when x is higher than 0.0. Isn't zero exposure or 0.0 diference is the ultimate equilibrium ensuring the smallest fluctuation?


FPI = 0.0 is not a difference, but a product.

Depending on one of the 4 FPI calculation schemes and a set of prices (Bids/Asks/Midpoints) you use, the FPI mean will be skewed to the right or to the left.

Michal


Thanks for clearing that up Michal - I setup all 4 FPI calculations, as you posted them awhile back, on the same three pairs and am getting skewed results. I thought that I had something wrong - looks like my mistake was thinking that I had made a mistake.

Still working on which, if any, of the 4 calculations has an edge over the others - any idea?

BJ

Oli
rank: <50 posts
rank: <50 posts
Posts: 26
Joined: Sat Feb 17, 2007 10:50 am
Reputation: 0
Gender: None specified

Postby Oli » Thu Mar 15, 2007 10:13 am

Guys und Gals:

I would like to see Michal's program suite in action.
I tried loading the precompiled files into Neo 4.20B3 and only get this far :( :



The system just hangs and requires Task Manager intervention.

Any help to load the FPI suite into NeoTicker greatly appreciated...

Peace Oli

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Thu Mar 15, 2007 10:19 am

Hello, Oli,

I did not test the original FPI example with the newer NeoTicker versions as I'm working on a totally rewritten FPI framework.

You may load the original example into Microsoft Visual studio and debug it from there. Just set the NeoTicker program as the starting process in Visual Studio.

Michal

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

AgeKay
rank: <50 posts
rank: <50 posts
Posts: 4
Joined: Fri Feb 16, 2007 7:02 pm
Reputation: 0
Gender: None specified

Postby AgeKay » Thu Mar 15, 2007 10:35 am

Hi Michal,

do you care to give us updates on your FPI performance results?

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Thu Mar 15, 2007 11:58 am

AgeKay,

my FPI framework is in the stage of development, so it has not been put into live trading yet. Considering that large hedge funds will be trading it, it must be thoroughly tested first.

Michal

Oli
rank: <50 posts
rank: <50 posts
Posts: 26
Joined: Sat Feb 17, 2007 10:50 am
Reputation: 0
Gender: None specified

Postby Oli » Thu Mar 15, 2007 2:30 pm

Michal,
if you have a simple FPI indicator that will load into current build NT can you please post it.

As noted before in this post:

1) Triangle Arbitrage is as old as the hills - even basic manuals on hedging techniques will include it - this doesn't take away at all from Michal's great project on it

2) the constantly changing position size of the middle term means that hand trading it is for all practical purposes impossible even if you are quick enough to pull the trigger when a profitable FPI position appears

I will try to debug the code myself but I doubt I'll get far...

Peace,
Oli

User avatar
michal.kreslik
rank: 1000+ posts
rank: 1000+ posts
Posts: 1032
Joined: Sat May 13, 2006 2:40 am
Reputation: 0
Location: Monte Carlo, Monaco
Real name: Michal Kreslik
Gender: Male
Contact:

Postby michal.kreslik » Thu Mar 15, 2007 8:41 pm

Oli,

there's nothing simple about FPI implementation, so I don't have any simple version available :)

1) definitely, and FPI is actually expanding that to a generalized shape - you need AT LEAST three quotes to form an FPI ring, but you can have more (and sometimes it's desirable to have more)

2) FPI can't be traded manually

Michal

treberk
rank: <50 posts
rank: <50 posts
Posts: 1
Joined: Wed Dec 20, 2006 10:29 am
Reputation: 0
Gender: None specified

Postby treberk » Tue Mar 20, 2007 3:49 pm

Hello,

does anyone have any results, demo or live regarding FPI? Or is it that the money to be made is only hypothetical with regards to real time trading?

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


Return to “NeoTicker indicators”