Hedging with Futures

The strategy is pretty simple i go long on spot market i.e: Gbp/Usd, and i go short on futures i.e: 6B.. The ratio is 1lot for G/U and 1.6 for 6B. I try to utilize 10% of my margin by opening both positions, if the pip differential is on loss of something like 2% of the account, i open another 10% positions, i'll keep doing this as long as pip differential is in profit or/and the swap is higher than the loss i'm taking in pips... I have no right rules to get out of my positions, but i usually get out when it reaches 1~2%, and imidiately open new positions. I'm always in the market, and when it's wednesday i try to open more positions because of the triple swap.

I trade futures on Globex, the broker i'm using is WHC Trader, but you can use any broker you want..

I created the thread to see if anyone have any idea how to improve, or if anyone could write an indicator to measure the max drawdown the account had and the biggest profit, cause we can't stay looking at the screen 24/7 right? And this indicator would tell us the best way of open new positions and when to get out.

Regards,

Bruno

This is an example of USD/JPY and 6J... The lots ratio is different from de Pound.

This is the pound, note that this example i'm using more than 10% of margin, but it's because i just was trying to see if we can raise the profit

How do you calculate ratio between spot and futures and what would be the ratio for AUS/US? Thanks
Jarek

1pip/lot Gbp/Usd = $10.00

1pip/lot 6B = $6.25

Ratio = Gbp/Usd = $10.00 = 1.6
6B $6.25


I don't have the futures for AUD so i can't do it for you

1pip/lot Gbp/Usd = $10.00

1pip/lot 6B = $6.25

Ratio = Gbp/Usd = $10.00 = 1.6

6B $6.25


Thanks
I’m trying 1:1 ratio for Aud, will see how it goes. For how long you trading this system and it is live or demo? I’m demoing it right now just wondering if there is other broker offering spot and futures on same platform. Could be worth of investigate it because the interest of WHC is not as high as other brokers.

I'm just demoing cause I didn't find a broker that I trust and have spot and futures in MT4.

The swap is not a major thing in this strategy... It just help you to get the pip differential, but the higher swap is better.

What is the highest pip differential you have seen so far? I’m demoing it since last night using about 60 full lots and highest DD I have seen was about -900 $US which is amazing. It is going to be more interesting once the interest kicks in. I’m thinking to set profit target about 1500 US and reenter market again. Should take few days to get there.

The DD might be bigger than this... Using 65% of my margin, the biggest DD i've seen was 2.5%, but it can be bigger...

This strategy didn't bring any huge profits for me, but it's making 1~2% a week with small drawdown and consistency witch is the things i'm looking for

Keep demoing it, let me know how it's going on for you.

See ya

To BGazzoni,

I believe, this broker is the most reliable broker
http://www.saxobank.com/?id=1040&Lan...xchange=GLOBEX

Btw, comission for GBP future is only $1.25 instead of $20 at WHC.

I wonder, do the same conditions and quotations Saxobank and WHC have?
I'll try it

Thanks for the saxo link , i'll take a look.

I think the prices will be the same... Maybe forex be a little be different, but the futures i don't think so cause they are provided by the same host.

Regards.

There is actually a huge difference. I use interactive brokers and it's wayyyyyy cheaper.

i guess you have an account of institutional size so that you can hold your positions overnight?

Hey, BGazzoni!

How do you decide what to do: to BUY or to SELL the currency and future? Do you do it randomly?
Do you consider weather the future has higher or lower price of execution rather than currency?
For how long have you been demoing that strategy?