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correct correlation size

  • #1
  • First Post: Feb 5, 2012 7:49am Feb 5, 2012 7:49am
I am trying to trade following basket

Buys EURJPY, USDCHF, GBPUSD
Sells EURUSD, USDJPY, GBPCHF

I am trading with equal lot size for eg 1.
I know it is not perfectly hedged. I need to know the size of correct contract size that will make this a perfect hedge.

can some one help me understand how to get the correct size. Is there an indicator/Ea ?
Thanks
  • #2
  • Feb 5, 2012 9:16am Feb 5, 2012 9:16am
See attached spreadsheet.
Attached File(s)
File Type: xls es.xls   21 KB | 435 downloads
  • #3
  • Feb 5, 2012 10:33am Feb 5, 2012 10:33am
Thanks a Lot.
Appreciate very much.
  • #4
  • Feb 6, 2012 6:14pm Feb 6, 2012 6:14pm
  •  duca
  • | Joined Dec 2011 | Status: Investing is simple, but not easy | 409 Posts
Quoting ES Trader
I am trying to trade following basket

Buys EURJPY, USDCHF, GBPUSD
Sells EURUSD, USDJPY, GBPCHF

I am trading with equal lot size for eg 1.
I know it is not perfectly hedged. I need to know the size of correct contract size that will make this a perfect hedge.

can some one help me understand how to get the correct size. Is there an indicator/Ea ?
Thanks
I do 1.4542-1.4538 = € 4 pips
-
€ 2,9 / 4 = 0.725 (value of 1 pip in €)
so for all and then report-

how's your hedge?
Attached Image (click to enlarge)
Click to Enlarge Name: a.png Size: 28 KB
give 1 and get 100
  • #5
  • Last Post: Feb 6, 2012 8:01pm Feb 6, 2012 8:01pm
Quoting ES Trader
I am trying to trade following basket

Buys EURJPY, USDCHF, GBPUSD
Sells EURUSD, USDJPY, GBPCHF

I am trading with equal lot size for eg 1.
I know it is not perfectly hedged. I need to know the size of correct contract size that will make this a perfect hedge.

can some one help me understand how to get the correct size. Is there an indicator/Ea ?
Thanks

If you adjusted to perfectly match the right size (and for this, you'll need a broker like Oanda to get down to a single unit of currency in sizing,) this combo would have you effectively flat with a cost of carry bleeding you every day.

What are you trying to do exactly?
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