FPI - Fractional Product Inefficiency: The Impeccable Hedge

NeoTicker indicators

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demosfx
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Sat Jan 24, 2015 12:53 pm

For those who are still interested, using FPI to collect positive swaps is working like a charm in some brokers (5 brokers so far...). Very interesting results even with leverage 1:100...
I'm not going to post here which brokers, obviously... Take that as homework!

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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby aliassmith » Sat Jan 24, 2015 3:28 pm

demosfx wrote:For those who are still interested, using FPI to collect positive swaps is working like a charm in some brokers (5 brokers so far...). Very interesting results even with leverage 1:100...
I'm not going to post here which brokers, obviously... Take that as homework!


When I started reading this idea, collecting interest
risk free was something I was considering. Good to
hear it works.
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Thu Feb 19, 2015 4:16 pm

Hi Jacob

Yes, I found some. These are two I´m currently trading.

Finding suitable brokers was the hard job... Developing the script took me less time. I tested more than 80 brokers. The major problem I´ve found is that you can not trust their demo accounts, simply because they don´t care about keeping the rollover rates updated on demo. So I had a hard time gathering the right values for swap/rollover rates. Many brokers keep their rates published in their web sites. My script can use these values when calculating the correct swaps for the rings.
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Thu Feb 19, 2015 4:35 pm

One more.... very good return over margin.
Keep in mind that leverage is the key... You can overlook brokers with leverage below 200:1...
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Updating ring results

Postby demosfx » Thu Mar 05, 2015 3:03 pm

Just an update of the results so far....
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby Captain Pugwash » Thu Mar 05, 2015 6:15 pm

I dont know if that is a demo account - it would be intersting to see it work on a real account

seems funny a single broker would allow you to arb them like that?

although even if you used several brokers and moved funds when necessary it looks cool.

Well, cool if my math was up to it :oops:
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Thu Mar 05, 2015 7:03 pm

Captain Pugwash wrote:seems funny a single broker would allow you to arb them like that?
:oops:


Notice that this is not arb. From any perspective, these are just carry trades. There is nothing wrong in taking those positions, we are just playing the game by the broker´s rules. If they offer such swap rates yelding positive returns, we just take advantage of that, not breaking any rules.

Yesterday I was thinking, we could have a community for sharing swap info from our real accounts. Like a website, where people could sign on either as "collaborators" or plain subscribers. The collaborators would have the responsibility to report swap rates (and other data too) from their real accounts, in an annonymous way, providing for the whole community updated data every day. A simple script or EA, continuously running (in a VPS, for instance), could get this done. Plain subscribers could pay a small subscription fee in order to keep the website running and also for paying a small bonnus to the collaborators for the use of their platforms.

This would be really great. And not only for FPI rings discovery, also for plain hedge between two brokers with swap rates differential yelding positive returns.

Trust me, the math is simple, coding the script I´m using was simple, but finding rings among several brokers, that was the hard job...

What you guys think about this idea?

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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Thu Mar 05, 2015 7:36 pm

Captain Pugwash wrote:
although even if you used several brokers and moved funds when necessary it looks cool.

:oops:


Using several brokers for FPI rings would be great, but unfortunatelly, there are two reasons this is not feasable:
- tranfer fees for moving funds
- exposure on all brokers from wich the instruments are part of the rings

Even tough using several brokers would maximize returns, due to the fact that we could choose the best combination of swap rates for the instruments, exposure and fees will kill that advantage.

We would need a "prime broker" for reatil brokers (i.e., one margin account linked to several retail broker´s trading accounts), which does not exist. Prime brokers make the "clearing" of the positions, netting the returns from all trades on all liquidity providers where those trades have been taken, in only one margin account. Unfortunatelly, prime brokers only work with big liquidity providers that don´t offer favorable swap rates for FPI rings as the retail brokers do.

I see an ongoing movement on the forex market towards making tranfers directly from broker to broker, without the fees of the well stablished electronic wallet providers, banks, credit card companies....

Some time ago, I remember that Australian brokers had this kind of agreement between them, making it easy to transfers funds between accounts of the same titularity... Let´s see if this turns into reality in a near future... would be great.
Last edited by demosfx on Thu Mar 05, 2015 7:45 pm, edited 1 time in total.

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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby Captain Pugwash » Thu Mar 05, 2015 7:44 pm

thanks for such a full reply mate

Personally I would be happy to share swap rates for my two live accounts [FXCM and ICMarkets]

yep i saw it not a true arb with the top ring minus 63.87 the bottom ring minus 113.21

bloody clever idea - Free money is the best there is.

I used to do sports arbitrage years ago - the trouble was getting all the bets on as quick as possible over two or three bookmakers - this idea would not have that problem - unless they changed their policy on swaps
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Re: FPI - Fractional Product Inefficiency: The Impeccable Hedge

Postby demosfx » Thu Mar 05, 2015 7:54 pm

Captain Pugwash wrote:thanks for such a full reply mate

Personally I would be happy to share swap rates for my two live accounts [FXCM and ICMarkets]



Let´s promote this idea here, maybe we get this thread warmed up again and find some other collaborators to start up with.

I would be responsible for the web site and the MT4 scripts/EAs needed.

There are plenty of opportunities when playing with swap rates.... we just need a central repository with trustable, normalized data in order to start taking advantage of those opportunities...

I know there are centralized sources for swap rates data out there, like MyFxBook, but it seems that their data is coming from demo accounts, which are pretty overlooked by brokers... I myself got caught in unreal returns, even unreal rings, using demo data. Besides that, another valuable information that the collaborators should provide is leverage, which is key for maximizing returns.

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