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Steve. Basically you have a spread -- I don't use them myself, but
I'm sure other AB users do. You'd have to open charts in both CHF
and EUR. The AFL in the CHF chart would compute CHFPLUS = C -
Foreign ("EUR", c); and the AFL in the EUR Chart could compute
CHFPLUS = C - Foreign ("CHF", c); Then you would sell in either or
both charts when the PLUS variable was greater than your hoped for
value. You can optimize the 2 PLUS variables and backtest,
including either 1 or both charts. Seems pretty straightforward.
I don't trade forex -- what is the interest you speak of?
--- In amibroker@xxxxxxxxxxxxxxx, "Steve" <avalon-ardy@xxxx> wrote:
> 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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