CointHL System ID 407
Performance and Stats
To be completed in a couple of hours...
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To be completed in a couple of hours...
hi
hi
very intresting ...i search for a approch wich include cointegration
is this a commercial system or do you share it for free?
regards lodol
Hi lodol2
hi
very intresting ...i search for a approch wich include cointegration
is this a commercial system or do you share it for free?
regards lodolDear lodol2...You are the first posting in my thread, welcome! To the answer... This is a commercial system where the signals will be delivery trough the RAS site for now. But, I will describe some general concepts about this approach and I am open to any question to help the community.
Thanks for your question a I hope you enjoy the thread.
Regards.
La totona
Some FAQs
1. What do you mean with "This model is based in a advanced statistical analysis under the scope of the cointegration approach"?
The system use the concept of cointegration between time series to get an edge over the market, developing models to forecast the next price action and use them to open high probability profit positions.
TakeProfit, Stoploss, Time of enter,Lot sizes, etc are calculated based in the information obtained from those models that are developed knowning and using statistical properties of the time series.
2. And, what is cointegration?
Two time series (X(t) and Y(t) are cointegrated if both are integrated of order one (I(1)) and if exist a linear combination (Z(t)= X(t)+b*Y(t)) that is integrated of order zero (I(0)).
3. But, what do you mean with that definition?
If two time series are cointegrated there is a long run relationship between them. They have drifts between them in the short run but they don't drift apart in the long run. If Z(t) are I(0),then Z(t) is stationary, and then it has a constant mean. If a time series has a constant mean, it is mean reverting and predictable whereas the stationarity is present.
4. Why do you have two system in the same ID?
This two subsystem are both based in the cointegration concept but they are developed under the scope of two different models, one for day trading and the other for swing trading, one for a simple pair and the other for multiple pairs. So, we achieve one more form of diversification inside the system making it more powerfull and interesting (and we have more trade too).
5. How do you calculated TakeProfit, Stoploss and Lot sizes?
TakeProfit, Stoploss and Lots sizes are calculated according to the models exposed before (details will not be discused, only general questions)
6. Why are there trades with smaller lot sizes and other with bigger lot sizes?
The smaller lot sizes are for the day trading subsystem and the bigger are for the swing trading subsystem. I set up the system in this way because the day trading subsystem has more risk involved in his open position.
7. And what about the Time of enter in the market?
The Time of open a position depends of which subsystem give us the indication to trade. The day trading subsystem opens positions between 0:00 hs GMT and 0:10 GMT everyday (if there is an indication for trade) whereas the other subsystem opens positions anytime the indication to trade is generated.
8. What are the minimum funds to trade this system?
Well, we are opening positions according to an account of u$s 10000.
There is a strong risk management feature that tell us how maximal risk we can take for the opened positions. And that maximal risk is calculated according to the balance.
So...
- if you have a standard account where if you open 1 lot, 1 pip gain/loss is u$s +/- 10, you should have at least u$s 10000 funds to trade according to the Risk I trade (and I recommend, of course);
- if you have a microaccount where if you open 1 open lot, 1 pip gain/loss is u$s +/- 1,you should have at least u$s 1000 to trade according to the Risk I trade;
- if you have a nanoaccount where if you open 1 open lot, 1 pip gain/loss is u$s +/- 0.1 (10 cents),you should have at least u$s 100 to trade according to the Risk I trade;
These are our recommendations, you are free to take more or less risk regarding the system performance and your personal preferences, but we strongly recommend you take them in mind when you subscribe the signals.
9. Are you trading manual or by expert advisor?
We are trading both: manual and by expert advisor. We have automated some features of the system that make us easy to open and handle positions, but there is some features that can not be easily automated so we do it manually.
10. Do you enhance your system frequently? Do you optimize your parameters?
The system is based in a solid fundation: the cointegration (Clive Granger, his developer, get the Nobel prize in Economics for this contribution), so the core of the system is not changed but it evolved in some other features, like money and risk management.
If two time series are cointegrated, whereas they are cointegrated, their cointegration properties don't change so it is not necesary to optimize.
But two cointegrated time series for a time span can be uncointegrated for another. This is the moment to stop trading with them because the edge in no longer present and you have to find another cointegration relationship (this can be view like other form of optimization).
Regards
PS: In the following post we analyze the performance and some stats for the system.
Today Trades (23-02-2009)
We had six trades indicated by the daily trading subsystem:
BUY USDCHF 1 pips / 0.86 USD
BUY USDJPY 7 pips / 7.49 USD
BUY EURUSD 36 pips / 36.00 USD
BUY GBPUSD 26 pips / 26.00 USD
SELL USDJPY 6 pips / 6.43 USD
SELL USDCHF 23 pips / 19.89 USD
TODAY TOTAL : 99 pips / 96.67 USD
Regards,
La Totona
_________________
For detail information about these trades, please check CointHL | Rent a Signal
For detail information about the system features check the first three post of this thread! Click here to go there!
Today Trades (24-02-2009)
We had one trade indicated by the daily trading subsystem:
SELL EURUSD 4 pips / 5 USD
TODAY TOTAL : 4 pips / 5 USD
Regards,
La Totona
hi
hi latona
with which program you do the cointegration? mathlab?
and which kind of test you use?
there are different ways to do it or?
thx
Answers to some questions
hi latona
with which program you do the cointegration? mathlab?
The analysis of time series can be done with a lot of programms. You can check this paper to know more about those programs:
"A compendium of existing econometric software
packages" in Journal of Economic and Social Measurement 29 (2004) 359–409
and which kind of test you use?
I use two main methods to test for cointegration:
The two step method published by Engle and Granger
The Johansen method published by himself.
Both method have adventages and drawbacks. You can check the literature to know more about that. I will post some relevant citation about great papers in the field when I have some time.
there are different ways to do it or?
If your question is that if exist several methods to test for cointegration, the answer is yes, but the more important methods are the pointed back.
thxDear Lodol2, the answers are in red below the quoted questions.
Regards.
La Totona
Today Trades (25-02-2009)
We had four trades indicated by the daily trading subsystem:
Currently open positions
SELL USDCHF (opened today: 25-02-2009)
Currently closed positions
BUY USDJPY 35 pips / 36.11 USD
BUY EURUSD 11 pips / 11.00 USD
BUY GBPUSD 47 pips / 48.00 USD
TODAY TOTAL : 93 pips / 95.11 USD
Regards,
La Totona
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This system is based in a advanced statistical analysisunder the scope of the cointegration approach. There are two subsystem performing toghether: one for day trading and the other for swing trading.
The signals will be delivery mainly in a daily frequency according to the model (some days the signals will not be there because the model tell us not to trade). The orders are opened according to one account of u$s 10000, so keep in mind scales the lots properly.
If you have any question, just tell me!
Regards
PS: In the next posts I will describe a little more about this statistical approach to perform a forecasting and some statics about the system!