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[amibroker] Re: Strategy code help please



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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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