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Trevman · 02-09-2006, 04:39

the thread i believe your reffering to is http://www.moneytec.com/forums/f33/h...y-weeks-20355/

my general line of thought on both of those plans was that eg, if the USD became stronger it would do so by as many pips as it would weaken, as in

SELL GBP/USD
SELL USD/JPY

selling both would mean you were long USD on the GBP/USD and short USD on the USD/JPY, with the idea that they would negate each other however that would leave you exposed to the other currency thus the 3 pairs. this in turn meant that there would be two SELLS and one BUY so some how i decided that wouldnt work thus made up the 4 way plan. both produce positive interest in the end and both plans could be used on one broker (thus no need to transfer funds). going by the 3 way plan i tried it for a while using 1 lot for each pair, but this resulted in a profit from pips rather than interest since the value of a pip is diff for each pair.

after all this, i still havent been able to work out how much to trade on each. i think the best for this will be O&A since they allow lots down to very tiny amounts.

--EDIT--
ive just tried the 3 way plan on 0&A buy buying 10,000 GBP/JPY and selling 10,000 GBP/USD then looking at the exposure tab shows me that i was exposed on the JPY and USD and by how many units I sold the USD/JPY by how many units i was exposed by but that did not fully cancel the JPY and i was left exposed.

the 4 way plan left me very slightly exposed on the GBP 0.9 lots, how ever left me a bit more exposed on the JPY (again)

since both are exposed on JPY i decided to ignore interest and pair up another 3 but NOT a JPY, i used LONG EUR/CHF, SHORT EUR/GBP, SHORT GBP/CHF. result, a 0.10 lot exposure on GBP a 6.37 lot exposure on CHF

one last try with LONG EUR/USD, SHORT EUR/AUD, SHORT AUD/USD. result 3.62 lot exposure on the USD.

i'm beginning to question if this is actually worth pursuing. how ever there is http://en.wikipedia.org/wiki/Triangle_arbitrage

i've just answered my own question, i found this on a website http://www.advmathappl.com/sample.csv however i tried this at the current prices and was left exposed on the JPY

02-09-2006, 04:39	#6
Trevman level 3 Join Date: Jan 2005 Posts: 289 Downloads: 6 Uploads: 0 Rep Power: 0	Re: Spot Forex Spread/Hedge the thread i believe your reffering to is http://www.moneytec.com/forums/f33/h...y-weeks-20355/ my general line of thought on both of those plans was that eg, if the USD became stronger it would do so by as many pips as it would weaken, as in SELL GBP/USD SELL USD/JPY selling both would mean you were long USD on the GBP/USD and short USD on the USD/JPY, with the idea that they would negate each other however that would leave you exposed to the other currency thus the 3 pairs. this in turn meant that there would be two SELLS and one BUY so some how i decided that wouldnt work thus made up the 4 way plan. both produce positive interest in the end and both plans could be used on one broker (thus no need to transfer funds). going by the 3 way plan i tried it for a while using 1 lot for each pair, but this resulted in a profit from pips rather than interest since the value of a pip is diff for each pair. after all this, i still havent been able to work out how much to trade on each. i think the best for this will be O&A since they allow lots down to very tiny amounts. --EDIT-- ive just tried the 3 way plan on 0&A buy buying 10,000 GBP/JPY and selling 10,000 GBP/USD then looking at the exposure tab shows me that i was exposed on the JPY and USD and by how many units I sold the USD/JPY by how many units i was exposed by but that did not fully cancel the JPY and i was left exposed. the 4 way plan left me very slightly exposed on the GBP 0.9 lots, how ever left me a bit more exposed on the JPY (again) since both are exposed on JPY i decided to ignore interest and pair up another 3 but NOT a JPY, i used LONG EUR/CHF, SHORT EUR/GBP, SHORT GBP/CHF. result, a 0.10 lot exposure on GBP a 6.37 lot exposure on CHF one last try with LONG EUR/USD, SHORT EUR/AUD, SHORT AUD/USD. result 3.62 lot exposure on the USD. i'm beginning to question if this is actually worth pursuing. how ever there is http://en.wikipedia.org/wiki/Triangle_arbitrage i've just answered my own question, i found this on a website http://www.advmathappl.com/sample.csv however i tried this at the current prices and was left exposed on the JPY Last edited by Trevman : 02-09-2006 at 06:11.