Quote:
Originally Posted by Andrewunknown
I re-read and see what you're saying now. 
Long EUR/USD + Long USD/CHF will create the hedge, such as it is, under the presumption that EUR/USD will continue to go up, yielding "passive income" through net positive swap. Maintaining the hedge is thus equivalent to bullish EUR/CHF sentiment. |
As the EUR/USD is going down the USD/CHF is going up giving us protection. I know this doesn't happen in lock step and that is when the drawdown enters the picture. This is what I would like to measure over a long period to see what the max drawdown would have been after building up 60 lots. Does anyone have any suggestion on doing this? We will continue to receive positive swap for both pairs as long as the country's interest rate says as is.