Equal lots in hedging instruments - page 9
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Да, но ориентироваться надо на пару долларфранк, а не еврофранк.
25.11.09 франк = доллар, значит и хеджироваться надо было тем же лотом но ни как не по курсу еврофранка (в этот день курс был примерно 1,51)
So the euro was 1.51 too. What's wrong?
In this case, after buying EURUSD we hedge by selling EURCHF with the same lot. It's the same as selling 1.51 lots of USDCHF.
What the fuck are you doing.... You're counting points...
So the euro was 1.51 too. What's wrong with that?
100% agreed.
Home wrote >>
In this case, after buying EURUSD we hedge by selling EURCHF with the same lot.
Also agree
Home wrote >>
That's like selling 1.51 lots of USDCHF.
Now that's bullshit.... In this case after buying EURUSD we hedge by buying USDCHF in the same lot, because USD=CHF
Это все равно то продать 1.51 лота USDCHF.
RomanS писал(а) >>
А вот это бред.... В этом случае после покупки EURUSD хеджируем покупкой USDCHF тем же лотом, т.к. USD=CHF
Oops. Of course buy 1 .51 lots USDCHF.
It should be exactly 1.51 because it would be equivalent to selling 1 lot of EUR.
Look at the average monthly range of these currencies expressed in dollars. Their ratio will be approximately 1.4 in favor of the EUR. So you cannot hedge with one lot.
Упс. Конечно же купить 1.51 лота USDCHF.
Надо именно 1.51 потому что это будет эвивалентно продаже 1 лота EUR.
Посмотри на среднемесячный диапазон этих валют выраженный в долларах. Их соотношение будет примерно 1.4 в пользу евро. Так что одним лотом захеджироваться не выйдет.
What are we talking about? The person in question had a direct, specific question. I understood that he meant from a mathematical point of view i.e. the calculated lot. I answered the specific question specifically (mathematically calculated). He didn't ask how to BEST hedge his position. I wouldn't hedge a EURUSD position with a USDCHF position at all, since that would be like trading a EURCHF pair, i.e. in that case his balance would depend ONLY on the movement of that pair. Therefore.... I calculated from the mathematical point of view, assuming that movement in EURUSD and USDCHF will be synchronous and equal in kopecks. And since the franc differs from dollar only by 3% (USDCHF rate is about 1.0300), 100% synchronous and lot needs to be increased by 3% but not by 47%
Volatility, average intraday price movement, contract specifications, etc...
Below is the Equity graph from January 8, 19:45 (just poked at random), EURCHF 1.47, 500 5-minute bars
Blue - buy 1 lot EURUSD + buy 1.47 lot USDCHF (this is a hedge)
Red - buy 1 lot EURUSD + buy 1 lot USDCHF (it is just EURCHF)
Is it clear now?
Below is the Equity graph from January 8, 19:45 (just poked at random), EURUSD 1.4423, 500 5-minute bars
Blue - buy 1 lot EURUSD + buy 1.4423 lot USDCHF (this is a hedge)
Red - buy 1 lot EURUSD + buy 1 lot USDCHF (it is just EURCHF)
Do you see it clearly?
If I understood you correctly, while hedging equity is moving near zero, now in +, now in -? If so, please display the chart for at least 3 months.
Bought 1 lot of EURUSD - bought 100k EUR. To hedge it is necessary to sell 100k EUR. I.e. if you buy USDCHF, you have to buy as many lots as the EURCHF quote shows. I.e. 1.475 at the moment.
All this is only if the currency of the deposit is USD.
Теперь же Вы привели пример с покупкой USDCHF 1.4423, когда EURCHF был 1.47.. Вы сами себе противоречите.
AHHHH!!! Screwed up again, in a hurry :) corrected the post.
Yes, the idea is that the walk should be around zero. About the 3 month chart... To hold a hedge for a long time, you have to constantly buy/sell USDCHF, the lot should correspond to EURCHF quote. Try to make such an EA and run it in the tester - it will be a good example for hedging.
If the subject is interesting, I advise to read about delta flat hedging. The internet is full of articles. The problem is that EUR and CHF are correlated, but not linked. So it will not be easy to make a good hedge.