Re: [amibroker] Re: Strategy code help please

["herbert" <herty@xxxxxxxxxxxx>]

Steve,

 

Could you please explain in more detail the way you work this strategy.1) I understand(?) that you have to buy two pairs:EUR/USD and CHF/USD and then sell them? 2) How do you find their correlation? 3) How do you work your system of buying-holding-selling the EUR/CHF, ie how do you decide when to sell, etc.?

 

Please reply to my private email, and/or here, since this is not an AB discussion: herty@xxxxxxxxxxxx

 

My many thanks for your trouble.

 

Herbert

----- Original Message -----

From: Steve

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, September 17, 2005 3:12 AM

Subject: Re: [amibroker] Re: Strategy code help please

I should add I buy both pairs so I'm US$ neutral to start with.

----- Original Message -----

From: Steve

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, September 17, 2005 11:11 AM

Subject: Re: [amibroker] Re: Strategy code help please

No, not if negative correlated. CHF is ( on historical basis) -99 correlated to Eur. So by buying both I benefit from positive interest on the pairs ( FX broker calculates interest by the second)  and the relative safety of a near  1:1 hedge. Where I gather my pips is that the correlation is -99 not 1, so this allows me to siphon off pips with low risk when the 2 pairs move out of tandem.

The other way is to just buy Eur/Chf and hold, selling on rallies & buying on dips. But this way suits me best on my TF.

cheers

 

 

 

----- Original Message -----

From: cs22trader

To: amibroker@xxxxxxxxxxxxxxx

Sent: Saturday, September 17, 2005 10:54 AM

Subject: [amibroker] Re: Strategy code help please

Steve -- I'm missing something.  Doesn't one of the 2 legs of the
spread have to be sold rather than bought?

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