Im not sure this has worked too well - would nearly have been stopped out!
The ratios are just volatility adjusted ratios to create a basket position which is equally affected by moves in all the CHF crosses.
P.Action
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calculation is wrong.
P.Action
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@P.Action, sorry it is true i saw wrongly chfjpy is "+"
kinwafung
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this is awesome. how did you come up with this hedge ratio ?
The ratios are just volatility adjusted ratios to create a basket position which is equally affected by moves in all the CHF crosses.