Pair trading and multicurrency arbitrage. The showdown. - page 290

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Vitaly Muzichenko #:

I’ll carry on here; this thread is more suitable

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Hedging with cross-currency pairs (USD, EUR, GBP)

There are 5 currencies remaining:JPY, AUD, CAD, CHF, NZD

Available cross pairs: AUDJPY, AUDCAD, AUDCHF, AUDNZD, CADJPY, CADCHF, CHFJPY, NZDJPY, NZDCHF, NZDCAD

All combinations involving 4 different currencies

How to choose

Checkthe Currency Strength Meter — from the 5 available currencies, select the 2 strongest and the 2 weakest, then find a suitable combination from the table.

Thanks for posting. Looks interesting, but my rule of thumb is simple: if a strategy is profitable enough to print money, people usually trade it rather than publish it. Therefore I assume the edge, if any, is probably rather modest (unlikely to survive transaction costs and execution friction). 
 
NZDJPY, NZDCHF, NZDCAD All combinations of 4 different currencies

How to choose

Check the Currency Strength Meter — from the 5 available currencies, select the 2 strongest and the 2 weakest, then find a suitable combination in the table.

based on the assumption that the system is profitable,

please show a test of this strategy model, for example, total equity as an indicator or in any other form

Personally, I assume that, depending on the volume, the result will vary considerably
 
Renat Akhtyamov #:

based on the assumption that the system is profitable,

please show a test of this strategy model, for example, total equity as an indicator or in any other form

Personally, I assume that, depending on the volume, the result will vary considerably
Not different, but negative.
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