The order, timing and potential of the trading process - page 11
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(not related to the topic starter in any way) it is partly a questionof the possibility of hedging individual strategies (instances of one and the same) on strongly linked instruments. And in Forex they are all strongly linked.
The apologists of this possibility declare that in theory "the total risk of a package of strategies is close to the root mean square". That is, they compensate for each other. Some of them lose and some on the contrary.
My opponents answer that "if it is pouring, everything is pouring out at once" - the risks are simply summed up and never averaged. Because it is their nature to take risks. The trader cares about the peak downwards, because it may be the last and there is something to sum it up from.
On the stock exchange it is easier - there are independent instruments or derivatives. Hedge is possible there - asset trading is accompanied by operations with futures, options and long term assets (bonds).
So what about here? They 'hedge' EURUSD purchase with USDCHF purchase? And so... they sell a USD with their left hand and buy with their right. Spread is given, margin is held. Look at the currency basket - there's crosses and untouched quid, and the costs are staggering.
a shitty trade came out. And nothing sucks out of a lot of individual shitty things. You can't trade in different directions on related or correlated instruments. And if you trade in one and the same, you should choose "Duncan McLeod" from the set, which should remain only one, but handsome.
Yes... and hedging still needs to be tested separately - watch the covariance matrix for yield curves - so it doesn't turn out that subsystem A plummets simultaneously with subsystem B and together they aggravate the drawdown... but instead of traditional and long time hated Markovitz we could for example just opt for linear trend of curves, assuming of course BTS are traded in fixed volume without reinvestment and it's not complicated, even in ms excel, if you upload daily data of BTS returns... as for garbage in = garbage out i totally agree and even intuitively it is impossible to build a growing curve out of multiple unusable sinking curves (except for very rare case of true cointegration, which almost never happens) and even dynamic redistribution will not help... I shouldn't joke about the plant! I shouldn't!
Yes... and hedging should be tested separately - look at the covariance matrix for yield curves - so that it does not turn out that subsystem A is leaking simultaneously with subsystem B and together they aggravate the drawdown... but instead of traditional and long time hated Markovitz we could for example just opt for linear trend of curves, assuming BTS are traded in fixed volume without re-investment and it's not complicated, even in ms excel, if you upload daily data of BTS returns... as for garbage in = garbage out i totally agree and even intuitively it is impossible to build a growing curve out of multiple unusable sinking curves (except for very rare case of true cointegration, which almost never happens) and even dynamic redistribution will not help... i should not joke about the plant! i should not!
"I'm rarely dumb. Would you care to spell it out step by step ...? " ?