DislikedI tested this strategy with different real scenarios. And find out an optimal lot size, changing it by iteration.
I think results are good enough in the medium/long term, based on empiric data.
These are the rules:
- Initial Balance 1000
- Swap of InterbankFX for mini accounts.
- Margin leverage 1/200.
- Mini lot size 10k.
- Use max margin as it is possible (84%). I used $844 on margin of a total balance of $1000. (Yes 84%).
- Used open price for the test. In the 2š scenario the worst price for the strategy was used.
Here are the tests:
1š Scenario: The chinese Tsunami (02/25/07 - 03/05/07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 237.68 224.52 -1316 0.0822 3.75 -405.51 61.65
S CHFJPY 98.24 95.44 280 0.0822 7.50 172.57 -20.10
S GBPUSD 1.9640 1.9338 302 0.1 3.75 113.25 0.90
S USDCHF 1.2311 1.2156 155 0.0813 1.88 23.61 -14.10
TOTALS -579 -96.08 28.35
Net P/L: -67,73
2š Scenario: GBP JPY from the top to the depths (01/23/07 - 03/05-07)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 221.05 -1932 0.0822 3.75 -595.32 315.95
S CHFJPY 97.32 95.46 186 0.0822 7.50 114.63 -103.01
S GBPUSD 1.9768 1.9338 430 0.1 3.75 161.25 4.61
S USDCHF 1.2311 1.2243 248 0.0813 1.88 37.78 -72.26
TOTALS -1068 -96.08 145.29
Net P/L: -136.36
3š Scenario: From scenario 2š to date (01/23/07 - 05/25/07).
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.37 240.71 34 0.0822 3.75 10.48 940.16
S CHFJPY 97.32 98.89 -157 0.0822 7.50 -96.76 -306.53
S GBPUSD 1.9768 1.9847 -79 0.1 3.75 -29.63 13.73
S USDCHF 1.2311 1.2278 213 0.0813 1.88 32.45 -215.03
TOTALS 11 -83.46 432.34
Net P/L: +348.88 (104.38% annual)
I use GBPJPY as the base currency to determine lot size of the others.
GBPJPY = 1 lot
CHFJPY = 2 * GBPJPY lots.
GBPUSD = GBPJYP lots.
USDCHF = 0.5 * GBPJPY lots.
Finally, I made a 4š test, in a year period. But prices are backward. I used prices of 05/25/07 as initial prices, and 05/25/06 as actual (final) prices.
4š scenario: backward (05/25/07 - 05/25/06)
OP Currency Date 1 - Date 2 Pips USD/PIP LOTS P/L Ints.
B GBPJPY 240.71 196.35 -4436 0.0822 3.75 -1366.90 2812.78
S CHFJPY 98.89 92.64 625 0.0822 7.50 385.19 -917.06
S GBPUSD 1.9847 1.8695 1125 0.1 3.75 432 41.06
S USDCHF 1.2278 1.2169 109 0.0813 1.88 16.61 -643.31
TOTALS -2550 -533.10 1293.47
Net P/L: +760.37 (76% annual).
In a wide concept of hedge, this is fully hedge. Hedge isn't strictly a mathematical matter. It also has to give the strategy resistance to the different volatility, concomitant with a positive swap return.
Thanks neo1001 for your ideas.
Rama
Ignored
Neo's startegy worked well with FXDD demo.