DislikedOver the years passed I think original idea of having basket of equal lots pairs has a core flaw. If you are sucessfully trading this method as it is then never mind, I'm expressing my thoughts here. Think about it. Look how the basket moves on the chart. Right, like JPY pairs move. Question: why bother to trade the basket at all? Just trade any JPY pair. How can we equally consider pairs like EUR/GBP and GBP/JPY in the same basket? It's like compare a Porshe and a donkey. So, I'm not original here - the real basket shouldn't consist of equal lots....Ignored
Synthetic hedges, cointegration, mean reversion and similar stuff
http://www.forexfactory.com/showthread.php?t=262827