FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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Htarlov
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Postby Htarlov » Mon Dec 15, 2008 9:22 pm

We are working on this (and few more risk reducing systems) for few months.

Now we worked out a strategy that works pretty well, but we are on demo testing level.

It's mathematically provable that there is a strategy that will work on every circle (assuming that you can open and close all positions at once or in the same base level - same prices that were taken to count the base).

Some are untradeable because of too quick changes of price (and/or broker playing games with orders) and some are untradeable because of too low number of big breaks (or they are tradeable but it gives too low profit - events of ineffectivnes high enought are rare there).

It's not risk free strategy - if you miss break level on open it's not very bad, you can just wait for a good moment to close.
But if you miss it on both, open and close - you loose money.

I think that this arbitrage is not tradeable with most of brokers - but we will try it on live soon.

There is also second risk - if you don't have possibility of trading microlots or high amount of lots, triple position will drift in time because of not exact balance in equation (it will always drift - but with greater precision the stability rise). So you can't leave position like that for years (with no microlots you can leave for hours or even few days, but within weeks it will drift away, on side of profit or on side of loose).

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pineapples
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Postby pineapples » Sun Jan 18, 2009 7:35 pm

In forex the only viable length of time to keep the positions open is one day due to rollover charges.
Is it possible to profit on the interest rate differentials at the end of the day?
e.g. buy-buy-sell, gain more pips on your long positions than lost on the short while still being hedged?

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michal.kreslik
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Postby michal.kreslik » Sun Jan 18, 2009 10:24 pm

pineapples wrote:In forex the only viable length of time to keep the positions open is one day due to rollover charges.
Is it possible to profit on the interest rate differentials at the end of the day?
e.g. buy-buy-sell, gain more pips on your long positions than lost on the short while still being hedged?


No, the swap rates sum is always negative for a properly constructed FPI ring because of the difference between the lending and borrowing rates.

Also, the term "pip" is irrelevant here as the relative value of a "pip" is different for different fx pairs.

Michal

oneprint1
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Postby oneprint1 » Mon Apr 06, 2009 10:45 am

hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me

hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me
:oops:hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me
:oops:

coymahrens
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anyone heard from holyguy7@runbox.com - address invalid

Postby coymahrens » Sun Apr 12, 2009 9:44 pm

Good afternoon,

Fascinating reading...nice to "communicate" with people
that are thinking on the same terms.

@all
Anyone know how to reach holyguy7?

@holyguy7

Tried to access your demo account per the 2007 post. Is the information
still available?

In a later post you mentioned the ea becoming available. Any possibility
yet?


Thanks,
Mark

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franco9
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Re: FPI indicator for MetaTrader

Postby franco9 » Fri Apr 17, 2009 10:50 pm

davidf wrote:Hi,

I recreated my indicator FPI for calculation with BID BID ASK price. See code below:

[php]
//+------------------------------------------------------------------+
//| DavidF_Hedge.mq4 |
//| Copyright © 2006, MetaQuotes Software Corp. |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, MetaQuotes Software Corp."
#property link "http://www.metaquotes.net"

// INFo: http://kreslik.com/forums/viewtopic.php ... sc&start=0
#property indicator_chart_window
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
IndicatorShortName("Hedge EUR/USD/CHF chart");
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----

//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int counted_bars=IndicatorCounted();
if(counted_bars<100) return;
//----
int i;
double EUR, USD, CHF, FPI;

RefreshRates();

EUR = MarketInfo("EURUSD",MODE_BID);
USD = MarketInfo("USDCHF",MODE_BID);
CHF = MarketInfo("EURCHF",MODE_ASK);

FPI = EUR * USD * (1/ CHF);

ObjectDelete("EURUSD");
ObjectDelete("USDCHF");
ObjectDelete("EURCHF");


ObjectCreate("EURUSD", OBJ_HLINE, 0, Time[0], EUR);
ObjectSet("EURUSD", OBJPROP_STYLE, STYLE_SOLID);
ObjectSet("EURUSD", OBJPROP_COLOR, DarkOrange);


ObjectCreate("USDCHF", OBJ_HLINE, 0, Time[0], USD);
ObjectSet("USDCHF", OBJPROP_STYLE, STYLE_SOLID);
ObjectSet("USDCHF", OBJPROP_COLOR, RoyalBlue);


ObjectCreate("EURCHF", OBJ_HLINE, 0, Time[0], CHF);
ObjectSet("EURCHF", OBJPROP_STYLE, STYLE_SOLID);
ObjectSet("EURCHF", OBJPROP_COLOR, LawnGreen);


Comment(
"\n FPI: ", DoubleToStr(FPI,6),
"\n EUR/USD: ", DoubleToStr(EUR,4),
"\n USD/CHF: ", DoubleToStr(USD,4),
"\n EUR/CHF: ", DoubleToStr(CHF,4));

//----
return(0);
}
//+------------------------------------------------------------------+
[/php]


hi davidf,
the indicator was not continuously updating the current price tick by tick, is there any fix for this bug?
thanks for the indi :)

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TheRumpledOne
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Postby TheRumpledOne » Sat Apr 18, 2009 1:14 am

oneprint1 wrote:hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me

hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me
:oops:hi everyone!

i have been following this topic and i wonder if anyone can help me. i have checked out all the FPI indicators for metatrader 4 and there seems to be a problem.

The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!

Does anyone have a stable MT4 indicator of FPI were the values remain the same?

i hope someone can help me
:oops:



"The problem is that when i put the FPI indicator on the chart the values change when the chart changes! for example if you put the indicator in a EURO/DOLLAR chart and you have the indicator calculate for EURO/DOLLAR, EURO/POUND, POUND/DOLLAR. you should expect the indicator to display the same values on each of these charts, but it does not. The values of the FPI indicator are different on each chart!"



This is because indicators run tick by tick. The chart only refreshes when a tick occurs. So it is NOT a bug with the indicator.

If the indicator were to be rewritten as a script, this problem could be eliminated.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!

Please do NOT PM me with trading or coding questions, post them in a thread.

franco9
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Postby franco9 » Sat Apr 18, 2009 1:23 am

can the script continuously analyze the FPI tick by tick without stopping just like an indicator?

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TheRumpledOne
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Postby TheRumpledOne » Sat Apr 18, 2009 4:13 am

No.

The script will run continuously without having to wait for a tick.

Usually, you have it update every second to reduce cpu cycles.
IT'S NOT WHAT YOU TRADE, IT'S HOW YOU TRADE IT!



Please do NOT PM me with trading or coding questions, post them in a thread.

astoya1
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Tradestation

Postby astoya1 » Sat May 02, 2009 12:00 pm

Hi guys,

Outstanding and impressive research work!! By the way I love this forum, and will definitely become a regular. Has anyone been able to encompass the fractional product inefficiency into a Tradestation Indicator?

Best Regards,

Astoya

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