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Currency Basket and Carry Trading

  • #21
  • Nov 12, 2005 12:51pm Nov 12, 2005 12:51pm
Quoting sjburdi
Aksel: You have done great analysis here. I am still a little confused and also surprised at the results.
1. What is the total margin used of the 36K?
2. Aksel's carry respresents what? Buy and hold on dips?
3. Fixed % balance underperforms Fixed % NAV - seems results should be opposite since fixed NAV controls risks. Also how is the calculation done to sell a little of the basket if it goes down on any given day?
4. Again, Buy and Hold with Periodic outperforms Fixed % NAV and Fixed % Bal - very surprising.
5- What factor are u using for when to buy dips and sell rallies - % ?
6. With a regular buy and hold with 50-1 leverage, I think i can generate over 80% interest without re-investing. I have not yet experienced a DD greater than 15% on margin since 10/9/05.

Hey Sjburdi, glad to see you're interested in knowing more!

1. Total margin used is initially 10:1, or roughly 7,200 of the 36,000 for all the entry methods.

2. Aksel's Carry represents my own carry basket - but only the price. It shows the price fluctuations of the basket - but not the interest. This was to determine the volatility and drawdown of the basket itself, irregardless of the interest earned. The entry systems represent various ways to trade Aksel's Carry.... and you can see there's quite a difference between them all.

3. Fixed % Bal underperforms Fixed % NAV because the % NAV method scales up in an uptrend much quicker, hence, when things are going good, fixed % nav takes advantage of it, while fixed % bal is oblivious. fixed % bal will never sell any, since balance isn't ever changing. Fixed % nav will sell as the basket goes lower.

4. This makes sense if you really think about it... buy and hold with periodic is really just investing the most it can and hoping it never hits a drawdown, since it will usually have more invested than the fixed %s, it's earning more interest and profits more from uptrends.

5. 5% of the margin/NAV %.... put more simply, originally at 10:1 leverage your %mar/NAV is 20%, as this number gets smaller, you're using a small amount of margin for the size of your account, in effect, using much less leverage. On this entry metho, you buy more when that number goes down 5% of 20%, or 19% in total. In such a case, your NAV is much larger, so you're keeping up with the growth in account. If your % grows to 25% or 30%, it means your NAV has gone down, and you don't buy any more.

6. 50:1 leverage is very dangerous with any of these strategies, the drawdown on my carry basket with 1:1 leverage is 7.2%.... 7.2% x 50 = -350% drawdown... In order to have any chance of making it with 50:1 your entry point would have to be at a -6 or -7% drawdown on my basket... and that's from established historical DDs... could always go lower than that. Even 10:1 leverage is dangerous, as you'd expect to see at aleast a -72% DD, and if DD increased just 3% you'd be wiped out.

If you look at the carry basket in the last 6 months, you'll notice it's been in almost a straight line up.... don't confused the last 6 months with the last 5 years! A longer term timeframe is important to look at if we plan on investing in these in the long term.

-Aksel
  • #22
  • Edited 5:34pm Nov 13, 2005 8:49am | Edited 5:34pm
Aksel:

Thank you for taking the time to reply to my questions. I am learning a lot and appreciate your lucid explanations and all the work you've done to backtest this strategy. I know it is not easy to do so, but it is so revealing. I am still a little confused about leverage used for your test.

1. Total margin used is 7,200 of 36K - Isn't that 5-1?

2. I am still uncertain - you say max DD for 1-1 has been 7.2 %. Your chart indicates a 12-1 leverage in a 50-1 Account. I really do not understand this as well. What do you set your leverage to in Oanda? 50-1? Where does the 12-1 leverage come in? As I said, 7,200 of 36K is 5-1. I guess I am confused here. Sorry for all the dumb questions, but I am trying to understand your charts and avoid a margin call?

3. Aksel: I can't figure out how are you are able to calculate the historical basket price. With historical prices, you would need to calculate the pair weightings and pip price differences, Short vs long position offsetting, and then the price variance after all this. Am I on track here?
SJ
  • #23
  • Nov 15, 2005 8:50pm Nov 15, 2005 8:50pm
Just a quick update
The Basket known as "Basket E" on the original C&C thread shows the following as of 15/11/05
Date opened 04/10/05 1000 units each currency then balanced to be EUR & USD neutral
Initial Account $2000 Margin used $1,318.00 UPL +$520.90 Interest earned on Margin used/day: $1.83

As another experiment, on 7/11/05 starting with $2000 base account I opened a basket comprised of *only* Yen pairs
1000 units per currency
Initial Account $2000 Margin used $170.00 UPL +$35.19 Interest earned on Margin used/day: $0.70

7/11/05 Basket opened comprised of all pairs *except* Yen crosses. Balanced to be EUR & USD neutral
1000 units per currency
Initial Account $2000 Margin used $1037.00 UPL -$5.89 Interest earned on Margin used/day: $1.09
  • #24
  • Edited 10:40pm Nov 15, 2005 10:31pm | Edited 10:40pm
Quoting sjburdi
Aksel:

Thank you for taking the time to reply to my questions. I am learning a lot and appreciate your lucid explanations and all the work you've done to backtest this strategy. I know it is not easy to do so, but it is so revealing. I am still a little confused about leverage used for your test.

1. Total margin used is 7,200 of 36K - Isn't that 5-1?

2. I am still uncertain - you say max DD for 1-1 has been 7.2 %. Your chart indicates a 12-1 leverage in a 50-1 Account. I really do not understand this as well. What do you set your leverage to in Oanda? 50-1? Where does the 12-1 leverage come in? As I said, 7,200 of 36K is 5-1. I guess I am confused here. Sorry for all the dumb questions, but I am trying to understand your charts and avoid a margin call?

3. Aksel: I can't figure out how are you are able to calculate the historical basket price. With historical prices, you would need to calculate the pair weightings and pip price differences, Short vs long position offsetting, and then the price variance after all this. Am I on track here?
Heh, you're going right for the meat and potatoes of the matter.

1. 7,200 margin used x 50-1 account leverage at Oanda = 360,000. Account size is 36,000, so leverage really is 10:1. This may be an odd way of thinking about it, but it made the spreadsheet a lot easier to think about it in terms of margin used x 50 for the position value.

2. Yes, max DD for the basket *PRICE ONLY*, that does *NOT* include interest earned, is 7.2%. A simple buy and hold with 1:1 would have a smaller DD% thanks to earning interest the whole way down. In fact, just plugged that in, and got -6.5% as the DD for a simple buy and hold. Chart indicates 10:1 leverage in a 50:1 leverage account. The NAVs are affected by daily interest payments, whereas the carry basket price is not. Where did you get the 12:1? Don't recall using that in any of my posts or graphs. But the whole point of knowing historical drawdown is this: if historical drawdown is 7.2%, and you're using 20:1 leverage, you should at least drawdown to reach historical lows again, which would be -140% of your account and wipe you out. Hence, I think of a maximum DD of the basket I think it might reach, maybe 10%, and at 10%, I wouldn't want to trade any higher than 9:1, and probably lower to 8:1 or 7:1 to avoid a margin call.... unless I was entering when DD was already at -7%. Currently, the basket is making new peaks though, so I'd want a wide margin of safety.

Aksel: I can't figure out how are you are able to calculate the historical basket price. With historical prices, you would need to calculate the pair weightings and pip price differences, Short vs long position offsetting, and then the price variance after all this. Am I on track here?

This is really a crucial problem. Calculating this was a pain in the butt, and I'm not entirely convinced I did it correctly, but I haven't run into anyone else who's tried to do this, so I've received no feedback. This is how I calculated historical basket price: start it at 100%. Starting out was 6 pairs, evenly weight those 6 pairs by margin used. Ie, if I was using 10% of my NAV to open my position, 10%/6 would be used to open each. However the basket doesn't include the margin, just spreads the performance of each pair out. For the historicals, each pair has a daily % move. I simply took 1/6 of that and added the result to the basket price. Ie:

1/1
Basket: 100%
pair1: +1%
pair2: +3%
pair3:-1%

assume only 3 pairs in this case, +1/3 +3/3 -1/3 net result basket at 101 or up 1 full %.

By using percents, I hope I can circumvent the need for calculating pip values in USD and figuring out some kind of USD equivalent. Did I do this right? No idea, although I wonder if I buy AUDJPY today and it goes up 1% today, tomorrow I won't be able to sell it for 1% more because the $$ I receive depends on the JPY part turning back into dollars, right? Not sure about that whole dynamic, and only recently thought about it. But if I need to calculate an equivalent $$$ I could sell the basket for every day, that will really take a lot more math. LIke I said, would love advice on this, but haven't found anyone doing anything close to this in research. Most people just look at AUDJPY over the last 6 months and think carry baskets go up forever.

So how do I do the math if the latter is what I should be doing? Can I just take AUDJPY's price and multiply it by 1/USDJPY? Would I then have to add that amount to every other pair and my unused margin to reach a real NAV?

-Aksel

update: Ha ha, writing this out finally cemented it in my mind, and checking oanda's site on how they calculate margin does support idea #2.... so time for some serious math! I'll be interested to see how much it changes my graph and the historical DDs and profitability of systems... could well be Fixed % of NAV gets vindicated with a more accurate approach. What I need to do is very complicated mathematically, so give me a week or two to fix it up, but suggestions in the meantime are welcomed! Explaining what I'm doing to other people always helps me fix mistakes I've overlooked. Thanks man!
  • #25
  • Nov 16, 2005 2:23am Nov 16, 2005 2:23am
Hi
Quoting Matsu
I have been demoing with just 2 pairs for two months now. The result looks good so far, but it has its risks, I presume much more than carrying 10 or more pairs.

The chart shows the result so far.

Pairs traded: NZDUSD (Long); USDJPY (Long)
Starting Capital: $1000
Cash reserve: 20%
Max DD: -16.8%


Regards,
matsu
Great results.

Did you have a system for picking those two particular pairs as opposed to any other pairs.

Also, do you have a system for changing the pairs if circumstance change?

Best regards
Alan
  • #26
  • Nov 16, 2005 5:18am Nov 16, 2005 5:18am
Quoting SamDan
At around 9am EST the spread on USDMXN was 50 on Oanda so I sold all positions and reentered based on the current NAV and using a multiple of .5000 which is what dgcfx seemed to use when he started this basket. Immeadiately the UPL went negative which one would expect, lets see if/how long it takes to recover. The only reason I did this was a test to see if it makes much a difference when you enter the basket overall. Of course you only want to enter when the spreads are lowest.

Sam

Figured I'd throw in an update along with SJ. After the refresh above, selling all positions and reentering based on my balance, UPL went negative for a few days, farthest it went was a whopping -.13%, holy pips batman! Yesterday I added positions since I couldn't resist the spread on MXN at 40! This AM the UPL is the highest I've seen for this basket at $256 with a +4.8% DD, damn if this were only real money!!


Ok, heres the rub, I know we discussed this before but I still can't seem to wrap my brain around it. If I want to withdraw that +UPL basically it seems there are a couple options. To just withdraw the money without liquidating all positions or liquidate positions thereby realizing the UPL but at the same time paying the spreads to sell and reenter. Now if we withdraw an amount equal to the +UPL without selling positions I believe that has the effect of decreasing margin and immeadiately increasing DD. If we liquidate, thereby realizing UPL then take money and reenter based on the new balance seems this would be the safest but costly because of the spreads. Its hard to test this theory in demo mode. Sorry to rehash but not fully getting this point yet.


Sam
  • #27
  • Nov 16, 2005 1:35pm Nov 16, 2005 1:35pm
Now if we withdraw an amount equal to the +UPL without selling positions I believe that has the effect of decreasing margin and immeadiately increasing DD. If we liquidate, thereby realizing UPL then take money and reenter based on the new balance seems this would be the safest but costly because of the spreads. Its hard to test this theory in demo mode. Sorry to rehash but not fully getting this point yet.

Almost got it! If you withdraw cash from your account without closing positions, you're INCREASING your margin, not decreasing it. Thinking this through a bit will confirm this. You should expect your DD to increase as you withdraw more cash without closing positions since you're taking on a larger risk with less capital.

If we liquidate, thereby realizing UPL then take money and reenter based on the new balance seems this would be the safest but costly because of the spreads.

This is exactly the question my spreadsheet was answering, and the results are clear:

If you include high spread pairs like MXN, HUF, exotics,
then I can't help you, I didn't model those because transaction costs and margin costs are too high for my blood. Too much risk.

If you stick to more standard countries like USD,JPY,GBP, majors, etc, where pip spread is 5-6 or less, spread cost is insignificant in the long run and you're better off closing positions regularly (daily even) to capture UPL and open larger positions if your basket is designed to appreciate in value.

If you have a basket that tries to remain neutral to everything and not fluctuate, then I can't help you because I didn't design anything for that.


As for the "safest" approach - it's not to close any positions. The most risky approach is to close positions regularly... think is clear visually on my chart with the Buy and Hold approach, which at the end has a very large UPL... You'll earn interest daily, and so your balance will constantly go up til it dwarfs the position value of your margined basket. The result is if you saw 20% DDs in the first year, you'll only see 17% DD the next, 13%DD the next, then 9, then 5, 3, til finally less than 1% of your account is the maximum DD since you're never increasing margin. By constantly closing and reopening UPL on any kind of basis you're increasing your return by compounding your results, but also returning to the same risk you originally had when you opened the trade.

-Aksel
  • #28
  • Nov 16, 2005 2:08pm Nov 16, 2005 2:08pm
Thanks Aksel, I think we are on the same page, for my first point I should have said 'available' margin, then I think I would have had a perfect score ! Anyway, I like the amount of interest my current basket pays so much I think I'll stick with it. Maybe what I will do is only cash out once or 2x per month max to capture that UPL and keep the spread cost at a minimum. Gotta love it!


Take care,

Sam
  • #29
  • Nov 16, 2005 2:26pm Nov 16, 2005 2:26pm
For those interested in past performance of various carry baskets, check out this difference! For those who haven't been following the thread, my earlier screenshots my entire system based on a historical basket price, which I had built based on % moves on the pairs I had, instead of USD$ equivalents... I thought something might be funky, but wasn't sure how to go about it. Thanks to this post and discussing the problem with a friend new to forex (explaining something to someone else always helps you understand stuff better), I've been working on fixing my model to reflect actual $ amounts. the more accurate, the better.

Anyways, so I haven't totally patched everything up in USD $ equivalents yet. But I did get the prices of various pairs in US currency, and whoa! The difference in the graphs is astounding, can't wait to see what this does to the basket graph. So in the meantime, here's a teaser of those "whoa!" graphs... should help anyone who looks at AUDJPY and thinks they're looking at what their account would have done had they bought it.

I should mention, these are PRICES, not NAVs, in reality, if you say, bought AUDJPY and held for the last 5 years, you'd have interest boosting you along too. That's another step down the road though.
Attached File(s)
File Type: zip % vs $ based.zip   722 KB | 674 downloads
  • #30
  • Edited 6:34pm Nov 16, 2005 5:17pm | Edited 6:34pm
Quoting BobMM
Heh, you're going right for the meat and potatoes of the matter.

1. 7,200 margin used x 50-1 account leverage at Oanda = 360,000. Account size is 36,000, so leverage really is 10:1. This may be an odd way of thinking about it, but it made the spreadsheet a lot easier to think about it in terms of margin used x 50 for the position value.

2. Yes, max DD for the basket *PRICE ONLY*, that does *NOT* include interest earned, is 7.2%. A simple buy and hold with 1:1 would have a smaller DD% thanks to earning interest the whole way down. In fact, just plugged that in, and got -6.5% as the DD for a simple buy and hold. Chart indicates 10:1 leverage in a 50:1 leverage account. The NAVs are affected by daily interest payments, whereas the carry basket price is not. Where did you get the 12:1? Don't recall using that in any of my posts or graphs. But the whole point of knowing historical drawdown is this: if historical drawdown is 7.2%, and you're using 20:1 leverage, you should at least drawdown to reach historical lows again, which would be -140% of your account and wipe you out. Hence, I think of a maximum DD of the basket I think it might reach, maybe 10%, and at 10%, I wouldn't want to trade any higher than 9:1, and probably lower to 8:1 or 7:1 to avoid a margin call.... unless I was entering when DD was already at -7%. Currently, the basket is making new peaks though, so I'd want a wide margin of safety.

Aksel: I can't figure out how are you are able to calculate the historical basket price. With historical prices, you would need to calculate the pair weightings and pip price differences, Short vs long position offsetting, and then the price variance after all this. Am I on track here?

This is really a crucial problem. Calculating this was a pain in the butt, and I'm not entirely convinced I did it correctly, but I haven't run into anyone else who's tried to do this, so I've received no feedback. This is how I calculated historical basket price: start it at 100%. Starting out was 6 pairs, evenly weight those 6 pairs by margin used. Ie, if I was using 10% of my NAV to open my position, 10%/6 would be used to open each. However the basket doesn't include the margin, just spreads the performance of each pair out. For the historicals, each pair has a daily % move. I simply took 1/6 of that and added the result to the basket price. Ie:

1/1
Basket: 100%
pair1: +1%
pair2: +3%
pair3:-1%

assume only 3 pairs in this case, +1/3 +3/3 -1/3 net result basket at 101 or up 1 full %.

By using percents, I hope I can circumvent the need for calculating pip values in USD and figuring out some kind of USD equivalent. Did I do this right? No idea, although I wonder if I buy AUDJPY today and it goes up 1% today, tomorrow I won't be able to sell it for 1% more because the $$ I receive depends on the JPY part turning back into dollars, right? Not sure about that whole dynamic, and only recently thought about it. But if I need to calculate an equivalent $$$ I could sell the basket for every day, that will really take a lot more math. LIke I said, would love advice on this, but haven't found anyone doing anything close to this in research. Most people just look at AUDJPY over the last 6 months and think carry baskets go up forever.

So how do I do the math if the latter is what I should be doing? Can I just take AUDJPY's price and multiply it by 1/USDJPY? Would I then have to add that amount to every other pair and my unused margin to reach a real NAV?

-Aksel

update: Ha ha, writing this out finally cemented it in my mind, and checking oanda's site on how they calculate margin does support idea #2.... so time for some serious math! I'll be interested to see how much it changes my graph and the historical DDs and profitability of systems... could well be Fixed % of NAV gets vindicated with a more accurate approach. What I need to do is very complicated mathematically, so give me a week or two to fix it up, but suggestions in the meantime are welcomed! Explaining what I'm doing to other people always helps me fix mistakes I've overlooked. Thanks man!
Aksel:
Well I just completed my own version of a 5 year backtest of the 10 pair basket performance and my results are entirely different than yours. I took the daily prices for each pair, determined a pip price (todays prices) based upon the dollars invested in each based upon the weightings. I used Oanda's pip calculator to do this. I then determined the pip profit/loss for each day and the corresponding dollar amount. My results are shocking. The basket steadily gained over the last 5 years with very few down days, over 200 % in 5 years. I did not see any significant DD at all. This technique may also be flawed, please point out any problems you may see in it.

PS - My game account is up 24.41% since inception on 10/9. So, if this were real money, I would be tempted to close all positions; however, to Aksel's point, time value with continued interest payments keeps you in a safer situation than starting over, paying spread, being down in UPL. So the dilemna is a little different than in normal trading, but still tough.
SJ
  • #31
  • Nov 16, 2005 6:27pm Nov 16, 2005 6:27pm
Hi, does anyone here have a good source for current interest rates for all countries?

I used the Oanad thing but i'm not sure what value they calculate their interest payments on.
grist for the mill
  • #32
  • Nov 16, 2005 6:36pm Nov 16, 2005 6:36pm
Quoting SamDan
Thanks Aksel, I think we are on the same page, for my first point I should have said 'available' margin, then I think I would have had a perfect score ! Anyway, I like the amount of interest my current basket pays so much I think I'll stick with it. Maybe what I will do is only cash out once or 2x per month max to capture that UPL and keep the spread cost at a minimum. Gotta love it!


Take care,

Sam
So Sam. The question is if you decide to cash out once or twice a month, when to get back in? I am still struggling with that decision.
SJ
  • #33
  • Nov 16, 2005 6:39pm Nov 16, 2005 6:39pm
Quoting JackJones
Hi, does anyone here have a good source for current interest rates for all countries?

I used the Oanad thing but i'm not sure what value they calculate their interest payments on.
http://fxtrade.oanda.com/fxtrade/interest_payment.shtml

explains it pretty good.
as does

http://fxtrade.oanda.com/fxtrade/int...culation.shtml

There's a link on that page to their form that can show you historical and present interest rates as well.

-Aksel
  • #34
  • Edited 9:41pm Nov 16, 2005 7:46pm | Edited 9:41pm
Ok, that went quicker than I thought, I thought of an easy solution that didn't require me to scrap all my previous work. The difference is very visible... and increased the DD to 8.8% from 7.2%. Interestingly enough, the current DD is around 6%, not a bad time to enter.

-Aksel

sjburdi:
Well I just completed my own version of a 5 year backtest of the 10 pair basket performance and my results are entirely different than yours. I took the daily prices for each pair, determined a pip price (todays prices) based upon the dollars invested in each based upon the weightings. I used Oanda's pip calculator to do this. I then determined the pip profit/loss for each day and the corresponding dollar amount.

I'm having trouble understanding what you did here. Ok, we both took daily prices for last 5 years. So far, so good. You then determined a pip price in USD using today's prices for the data 5 years ago? That sounds wrong, maybe I'm not understanding it. It sounds like you used a constant pip price in dollars to count up the profit/losses, which wouldn't work since it changes every day for every pair that doesn't have USD as a denominator.

My results are shocking. The basket steadily gained over the last 5 years with very few down days, over 200 % in 5 years. I did not see any significant DD at all. This technique may also be flawed, please point out any problems you may see in it.

Post a graph! please A few posts down you'll se my graph of DGCFX's system, and my graph sounds WAY different than the results you got. So let's compare notes.

-BobMM
Attached File(s)
File Type: zip new vs old.zip   302 KB | 520 downloads
  • #35
  • Nov 16, 2005 8:47pm Nov 16, 2005 8:47pm
DGFX's basket blew up when I looked at it (start of 2002 NAV goes negative, it starts at 100k like DGFX's) I've attached the graph. But since I had all the basket building blocks in place, it's easy to synthesize buy and hold baskets now. Quite frankly, we're getting vastly different results... My results showed about a 20% increase in the basket price over 5 years, and at least a 6% DD eyeballing it. Even worse, he runs the basket at an effective 15:1 position value, yet uses up 50% of his account as margin... meaning you can get a margin call VERY easily. I got the weights off of his exposure photo, this is assuming he would have used the same weights 5 years ago that he uses today, and that interest the entire 5 year period was his $130 daily on a $100k account, but that's the assumptions you used too, right? So why did you get results so different? Post a screenshot please, and maybe some more detailed cell values of how you calculated your data. After glancing between my two results though, my basket seems to provide more than double the return for a slightly higher drawdown.

-Aksel
Attached File(s)
File Type: zip dgfx basket.zip   285 KB | 654 downloads
  • #36
  • Edited 9:09pm Nov 16, 2005 9:02pm | Edited 9:09pm
Quoting BobMM
http://fxtrade.oanda.com/fxtrade/int...culation.shtml

There's a link on that page to their form that can show you historical and present interest rates as well.

-Aksel
Yeap read those but I can't see what it tells me what rate it will use. Sure it shows you the countries rates but only the bid and ask. Sometimes there's a good one point difference between the two.

Maybe I take the bid rate of the long currency and minus the ask rate for the short??

It'd be helpful to have a program that queries this for you and puts it all on one page. Does anyone think this would be possible?
grist for the mill
  • #37
  • Nov 16, 2005 9:08pm Nov 16, 2005 9:08pm
Quoting JackJones
Yeap read those but I can't see what it tells me what rate it will use. Sure it shows you the countries rates but only the bid and ask. Sometimes there's a good one point difference between the two.

Maybe I take the bid rate of the long currency and minus the ask rate for the short??
Exactly. It's like a bank. They only give 1% on savings, but charge 5% on loans. The difference is their profit. Further example: you buy AUDJPY, which is interest positive. AUD pays aroun 7%, JPY charges around 0%. You make the difference, 7-0 = 7% on your position value, annually. For example, at 50:1 leverage, that's 350% on your account. (swings in price would be much larger, but this is an example) And btw - if you compounded your interest, your return grows to 1129% per year in interest alone.

-Aksel
  • #38
  • Nov 16, 2005 9:12pm Nov 16, 2005 9:12pm
AUD 5.2000 5.5750 Tue Mar 1 17:42:09 2005
USD 3.6250 4.1750 Tue Nov 1 14:22:00 2005

So a long AUD would get 5.2 - 4.175 ? 1.025% roughly?
grist for the mill
  • #39
  • Nov 16, 2005 9:25pm Nov 16, 2005 9:25pm
Quoting JackJones
AUD 5.2000 5.5750 Tue Mar 1 17:42:09 2005
USD 3.6250 4.1750 Tue Nov 1 14:22:00 2005

So a long AUD would get 5.2 - 4.175 ? 1.025% roughly?
Yup. If you're still in doubt, try just buying a pair for one full day in a game account, interest is paid at 1pm EST if I remember correctly.

-Aksel
  • #40
  • Nov 16, 2005 9:39pm Nov 16, 2005 9:39pm
Ok, here's a comparison of basket prices over 5 years. Included is: mine, ElectronicSavants, and DGCFX's. Those last two have a very similiar basket with a slightly different weighting. Both of them went into negative NAV territory in the start of 2002 at their default settings because they use up 50% of the account as margin when doing 15:1 leverage. (exotics and hedges)

If you guys find flaws with what I'm doing, point em out! I'm as amazed and impressed by this basket's performance as you may be, and I want to make sure I can make the most profitable system from it possible.

-Aksel
Attached File(s)
File Type: zip basket comparison.zip   89 KB | 652 downloads
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