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leonid553
familiar faces )))) Leonid is the author of Dauria, if I'm not mistaken?
Hedging - Wikipedia
Hedging (from English hedge - insurance, guarantee) is a futures position established in one market to offset the impact of price risks by an equal but opposite futures position .....
Hedging Expert.
According to your definition what you are trying to do is not hedging. Hedging is insurance, i.e. a guaranteed loss of a small amount to avoid the risk of losing everything, hedging is not about making a profit. Arbitrage is guaranteed profit with no risk at all, you can assume it doesn't exist because if it does, it gets eaten up by the big sharks.
You have statistical arbitrage here, or rather even pairs trading. The field is big and very interesting, that's how very big money is made.
.....
You have statistical arbitrage here, or rather even pairs trading. It's a big and very interesting field, and it's how very big money is made.
Ok. Risk and timbo, you talked me into it! Let it be not really a hedge. Let it be. But !
If it smells like "a lot of
money", I'm willing to be ignorant. Even if the term "hedge" doesn't quite fit the situation, everyone here knows exactly what it means when I use the word.
How else can I say it
? What is the term? "Para" ? - Not quite right either - 
because it could be confused with a currency pair.
tandem ?
- this term reminds me of something from political life in the highest russian power structures !
Therefore, with permission of those present, - I will continue to use the term hedge, but to avoid misunderstandings and accusations, I will use it in quotes!, - like this: - " hedge"
!
Okay. Risk and timbo, you talked me into it! Let it not be exactly a hedge. But !
If it smells like "a lot of money", I'm willing to be ignorant. Even if the term "hedge" does not really describe the situation, everyone here understands what it means when I say it.
How else could it be said otherwise? What is the term? "Para" ? - That's not quite right either, because it could be confused with a currency pair.
tandem ? - Something about this term reminds me of the political life in the higher power structures of the Russian Federation!
Therefore, with the consent of those present I will continue to use the term hedge, but to avoid confusion I will use it in quotes - like this: -" hedge" !
This is only for the theoretical fools like timbo, who smells of big money, because with such statements he turned out to be ignorant as a financial mathematician.
Of course there is a correlation between the DAX and SEH indices, I would even say more ... there is a correlation between all stock indices in the world !
And the big money can only be made on big liquidity, by eating all the growth of the index, not the measly delta between the indices on measly volume on the futures, and with the risk that the delta will not return to the original position.
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I've been playing around with currency "hedges" today.
Here are results:
19779384 2009.12.31 10:11 sell 0.40eurjpy 133.06 0.00 0.00 2009.12.31 10:35 133.03 0.00 0.00 0.0013.00
19779387 2009.12.31 10:11 buy 0.40usdjpy 92.29 0.00 0.00 2009.12.31 10:35 92.29 0.00 0.000.00
19779664 2009.12.31 10:36 sell 0.40eurjpy 133.13 0.00 0.00 2009.12.31 10:59 133.04 0.00 0.00 0.0038.97
19779666 2009.12.31 10:36 buy 0.40usdjpy 92.37 0.00 0.00 2009.12.31 10:59 92.37 0.00 0.000.00
19779141 2009.12.31 09:43 buy 0.40usdjpy 92.29 0.00 0.00 2009.12.31 11:03 92.38 0.00 0.00 0.0038.97
19779140 2009.12.31 09:43 sell 0.40eurjpy 132.99 0.00 0.00 2009.12.31 11:03 133.05 0.00 0.00 0.00-25.97
(this tandem closed with a strong slip to the worse! The closing signal was given at about this ratio +90 to -10)
Roman, if an index hedge has a right to life, but a hedge
sell 0.40 eurjpy + buy 0.40 usdjpy = sell 0.40 eurusd cannot be considered a hedge.
I think it's risky with currencies.... usdjpy and eurjpy certainly correlate with each other but for the time being... If the eurusd gets a huge candlestick, it will either be a huge plus or a huge minus on the spreadposition. The main advantage of spread trading is that it allows traders to avoid large losses. It can be done on a pair of instruments that sooner or later return to the weighted average spread level.
But this is just a thought out loud...
rid, in any case, the idea is good, and you have done a great job.