Fully-Balanced Hedging - Page 2
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Thread: Fully-Balanced Hedging

  1. #11
    Assume lots1 is known:

    Lots1 *YYYDDD Lots2 *YYYDDD Lots3 *XXXDDD =0---------------1
    Lots1 *XXXDDD Lots2 *ZZZDDD Lots3 *ZZZDDD =0 --------------two
    -
    Lots2 *YYYDDD Lots3 *XXXDDD = -Lots1 *YYYDDD ---------------1
    Lots2 *ZZZDDD Lots3 *ZZZDDD = -Lots1 *XXXDDD ---------------two
    -
    Lots2 *ZZZDDD = - Lots1 *XXXDDD - Lots3 *ZZZDDD ---------------two
    -
    Lots2 *ZZZDDD = - (Lots1 *XXXDDD Lots3 *ZZZDDD) ---------------two
    -
    Lots2 = - (Lots1 *XXXDDD Lots3 *ZZZDDD)/ZZZDDD ---------------two
    -
    - (Lots1 *XXXDDD Lots3 *ZZZDDD)/ZZZDDD*YYYDDD Lots3 *XXXDDD = -Lots1 *YYYDDD ---------------1
    -
    (Lots1 *XXXDDD Lots3 *ZZZDDD)/ZZZDDD*YYYDDD-Lots3 *XXXDDD = Lots1 *YYYDDD ---------------1
    -
    Lots1 *XXXDDD/ZZZDDD*YYYDDD Lots3 *ZZZDDD/ZZZDDD*YYYDDD-Lots3 *XXXDDD = Lots1 *YYYDDD ---------------1
    -
    Lots3 *ZZZDDD/ZZZDDD*YYYDDD-Lots3 *XXXDDD = Lots1 *YYYDDD - Lots1 *XXXDDD/ZZZDDD*YYYDDD---------------1
    -
    Lots3 (ZZZDDD/ZZZDDD*YYYDDD-XXXDDD) = Lots1 (YYYDDD - XXXDDD/ZZZDDD*YYYDDD)---------------1
    -

    Lots3 = Lots1 (YYYDDD - XXXDDD/ZZZDDD*YYYDDD)/(ZZZDDD/ZZZDDD*YYYDDD-XXXDDD)

    to simplify:
    XXXDDD/ZZZDDD=XXXZZZ ------ SECOND PAIR.
    ZZZDDD/ZZZDDD = 1
    Lots3 = Lots1 (YYYDDD - XXXZZZ*YYYDDD)/(YYYDDD-XXXDDD)

    DIVIDE ALL BY YYYDDD

    Lots3 = Lots1 (YYYDDD/YYYDDD - XXXZZZ*YYYDDD/YYYDDD)/(YYYDDD/YYYDDD-XXXDDD/YYYDDD)
    -
    Lots3 = Lots1 (1 - XXXZZZ)/(1-XXXDDD/YYYDDD)

    we know: XXXDDD/YYYDDD=XXXDDD

    so:
    Lots3 = Lots1 (1 - XXXZZZ)/(1-XXXYYY) -- Final Solution

  2. #12
    So lot of pair#3 termed XXXZZZ is Lots1 of pair#1 (pair YYYXXX)
    MULTIPLIED BY:
    1 minus price of pair# XXZZZ
    DIVIDED BY:
    1 minus mutual of price of pair#1 YYYXXX

    XXXYYY is the reciprocal of YYYXXX

  3. #13
    we Know EUR.USD = 1/USD. EUR

    if initial currency YYY=EUR
    if SECOND currency XXX=USD
    if THIRD currency ZZZ=CHF

    THEN:
    YYYXXX = EURUSD
    YYYZZZ = EURCHF
    XXXZZZ= USDCHF

  4. #14
    AND FOLLOWING THE Very Same PROCEDURES E CAN SOLVE FOR VARIABLE Lots2

  5. #15
    Assume lots1 is Famous:

    Lots1 *YYYDDD Lots2 *YYYDDD Lots3 *XXXDDD =0---------------1
    Lots1 *XXXDDD Lots2 *ZZZDDD Lots3 *ZZZDDD =0 --------------2
    -
    Lots2 *YYYDDD Lots3 *XXXDDD = -Lots1 *YYYDDD ---------------1
    Lots2 *ZZZDDD Lots3 *ZZZDDD = -Lots1 *XXXDDD ---------------2
    -
    Lots2 *ZZZDDD/ZZZDDD Lots3 *ZZZDDD/ZZZDDD = -Lots1 *XXXDDD/ZZZDDD ---------------2
    -
    Lots2 Lots3 = -Lots1 *XXXZZZ ---------------2
    -
    Lots2 = -Lots1 *XXXZZZ- Lots3 ---------------2
    -
    Lots2 = -Lots1 *XXXZZZ- Lots1 (1 - XXXZZZ)/(1-XXXYYY)---------------2
    -
    Lots2 = -Lots1 (XXXZZZ (1 - XXXZZZ)/(1-XXXYYY)) ---------- Two
    -
    Lots2 = -Lots1 ((XXXZZZ (1-XXXYYY) 1 - XXXZZZ)/(1-XXXYYY)) ---------- Two

    Lots2 = -Lots1 (XXXZZZ -XXXYYY*XXXZZZ 1 - XXXZZZ)/(1-XXXYYY) ---------- Two
    Lots2 = -Lots1 (1 -XXXYYY*XXXZZZ)/(1-XXXYYY) ---------- Two

    Lots2 = -Lots1 (YYYXXX -XXXZZZ)/(YYYXXX-1) ---------- 2

  6. #16
    Quote Originally Posted by ;
    quote NO BROTHER there are threee facets: please concentrate 1) should you hedge at the same time and it was completely balanced. It's alwyas lossing (disperse commision) 2) if it isn't fully balanced, then it really amount to a single position on a single pair, with only 1 advatage: the effect lots is less than 0.01 3) positive hedging STOP TAKEPROFIT = NON-DIRECT TAKE PROFIT if not hedged at the same time, you enter BUY and wait two days you then find a profit of 200 pips. TheN in the event that you don't shut DIRECT TAKE PROFIT but completely hedge open positions, then wait...
    Very good answer with precise description. Thank you very much for the fine post. Got some brand new in order that not understood.

  7. #17
    Lots3 = Lots1 (1 - XXXZZZ)/(1-XXXYYY) -- Closing Solution
    Lots2 = -Lots1 (YYYXXX-XXXZZZ)/(YYYXXX-1) -- Closing Solution

  8. #18
    Double Scan:

    Lots1 *YYYDDD Lots2 *YYYDDD Lots3 *XXXDDD =0---------------1
    Lots1 *XXXDDD Lots2 *ZZZDDD Lots3 *ZZZDDD =0 --------------2
    --
    Lots2 *YYYDDD Lots3 *XXXDDD = - Lots1 *YYYDDD ---------------1
    Lots2 *ZZZDDD Lots3 *ZZZDDD = - Lots1 *XXXDDD ---------------2
    -
    Lots2 *YYYDDD Lots3 *XXXDDD = - Lots1 *YYYDDD ---------------1
    Lots3 = (- Lots1 *XXXDDD - Lots2 *ZZZDDD)/ZZZDDD ---------------2
    -
    Lots2 *YYYDDD Lots3 *XXXDDD = - Lots1 *YYYDDD ---------------1
    Lots3 = - Lots1 *XXXDDD/ZZZDDD - Lots2 ---------------2
    -
    Lots2 *YYYDDD Lots3 *XXXDDD = - Lots1 *YYYDDD ---------------1
    Lots3 = - Lots1 *XXXZZZ - Lots2 ---------------2
    --
    --
    --
    Lots2 *YYYDDD Lots3 *XXXDDD = - Lots1 *YYYDDD ---------------1
    Lots2 *YYYDDD ( - Lots1 *XXXZZZ - Lots2 ) *XXXDDD = - Lots1 *YYYDDD ---------------1

    Lots2 *YYYDDD - Lots1 *XXXZZZ*XXXDDD - Lots2 *XXXDDD = - Lots1 *YYYDDD ---------------1

    Lots2 *YYYDDD - Lots2 *XXXDDD = Lots1 *XXXZZZ*XXXDDD - Lots1 *YYYDDD ---------------1


    Lots2 (YYYDDD - XXXDDD) = Lots1 (XXXZZZ*XXXDDD - YYYDDD) ---------------1

    Lots2 = Lots1 (XXXZZZ*XXXDDD - YYYDDD)/(YYYDDD - XXXDDD) ---------------1




    Lots2 = Lots1 (XXXZZZ - YYYXXX)/(YYYXXX - 1) ---------------1

    = -Lots1 (YYYXXX-XXXZZZ)/(YYYXXX-1) -- Closing Solution


    SO it is correct,

  9. #19
    Again
    YYYXXX is a price
    YYYZZZ is a price
    XXXZZZ is a price
    ------------
    Assume three currencied are: EUR, AUD, USD
    SO:
    Lot1=1.00 lot (supposed )
    so:
    Lots2 = Lots1 (XXXZZZ - YYYXXX)/(YYYXXX - 1)
    Lots3 = Lots1 (1 - XXXZZZ)/(1-XXXYYY)

    =

    Lots2 = 1.00* (AUDUSD- EURAUD)/(EURAUD- 1)
    Lots3 = 1.00* (1 - AUDUSD)/(1-AUDEUR ) = 1.00* (1 - AUDUSD)/(1-1/EURAUD )

    AUDEUR=1/EURAUD

    it cab be calculated or programmed using pen and paper!

  10. #20
    What if leverage Continuous are distinct for some pairs.
    C1 ! =C2 ! =C3
    ?
    ?
    Follow procedures previously

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