No, it should work as usual. Are you getting any errors? (Don't post the MT4 crash log! (If anything then post the DebugView output on level 2 and only after you have read (and followed) the instructions that are always written at the top of all my ...

Synthetic hedges, cointegration, mean reversion and similar stuff

prepend the name in your gvg() function with WindowExpertName()+Symbol()+Period() and you will have them always nicely (and automatically) separated for each EA on every chart and timeframe with even less typing. See my other example above. You ...

MT4 global variables: my new best friend

Something is wrong with this chart: I can not "Point and Click" in 10..150 milliseconds, no matter how much coffee I have had in the morning. And my cheap Pentium-M Laptop that has cost me "$free - $2k" a few years ago can crunch 780000 floating ...

Low Latency Computing?

If he is an IT professor he will not use Excel.

Trading using Excel and MT4?

it runs the regression on the price differences (first difference), If I have understood the few articles I read about it correctly then this is how it is usually done. The old version did it with the absolute price. This brutally enforced an ...

Synthetic hedges, cointegration, mean reversion and similar stuff

They have all the same weight but the coefficients change and so not only there are added more points on one or the other side of the mean, also the shape of the curve changes slightly. I have currently a trade running where it already moved beyond ...

Synthetic hedges, cointegration, mean reversion and similar stuff

This is because there are no instructions yet. We are all here to find them. We have a tool and now we need to find out what we can do with it or whether it is of any use at all. Btw, I notice that your lot size numbers seem too small to be useful. ...

Synthetic hedges, cointegration, mean reversion and similar stuff

image image image

Synthetic hedges, cointegration, mean reversion and similar stuff

The regression was fitted to the bars before the red line (2010.02.10 0:00) and the same coefficients were used for everything after it. image image

Synthetic hedges, cointegration, mean reversion and similar stuff

Yes. Just draw the back line into your chart (draw a vertical line and call it back). I have mentioned this a dozen times already (in almost every third posting I mention this). The next version will also have a line that you call now and it will ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Its only a tool that has to be used very carefully. Its not a complete trading system and it can not guarantee anything. But it might be possible to use it in a profitable way, just don't believe it blindly. For example don't fit a trend with data ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Now try to put it on different charts: GBPUSD and USDCAD are interesting for the ranging (default) mode. Also try longer timeframes. M5 is not enough, M15 only sometimes and above H1 and H4 it starts to show interesting long-term cycles. Always use ...

Synthetic hedges, cointegration, mean reversion and similar stuff

Did you even read my previous post with hints what this most likely means and also how to get the debug info? And the MT4 crash log is useless. It does not contain any useful information. Please don't post it. All information is in DebugView. Please ...

Synthetic hedges, cointegration, mean reversion and similar stuff

"Does not work" is a very vague description. Tell us what exactly you did (step by step) and what exactly happened. You don't have to open anything in R or even start it. You just need to have it installed on your computer and the path in the mq4 ...

Synthetic hedges, cointegration, mean reversion and similar stuff

This must have been a coincidence (or only seemed this way): It lowered the total position size because previously there was a big offsetting (profit neutral) gbpusd + usdjpy position that probably only existed because the curve fit was slightly ...

Synthetic hedges, cointegration, mean reversion and similar stuff

regarding the doubling up that has been asked: I had to resist the temptation to double my lots more than once today myself. I could easily do it because my lot sizes are (still) small but then I would disturb my win/loss statistics, I would then ...

Synthetic hedges, cointegration, mean reversion and similar stuff

With "written in the books" I meant what seems to be the commonly accepted doctrine when I research this kind of things on the www. I didn't study this or have any real (paper) books about it, I am only an enthusiastic amateur who tries to learn ...

Synthetic hedges, cointegration, mean reversion and similar stuff

This won't have an effect, if you double the slope, it will simply half all coefficients proportionally and vice versa. I have a new version that I will post soon that can fit the model in a different way and might lead to more stable coefficients. ...

Synthetic hedges, cointegration, mean reversion and similar stuff

I readjust the lot sizes, this is my attempt to have something like a "soft stoploss", it will reduce the coefficients (and my exposure) for the pairs that go into the "wrong" direction too much. This seems to give me a chance to at least break even ...

Synthetic hedges, cointegration, mean reversion and similar stuff

You forgot to attach the source code that produced the examples.

MT4 global variables: my new best friend