转发 http://www.fxfisherman.com/forums/f...ms/1407-simple-low-risk-hedging-strategy.html Hedging is defined as holding two or more positions at the same time, where the purpose is to offset the losses in the first position by the gains received from the other position. Usual hedging is to open a position for a currency A, then opening a reverse for this position on the same currency A. This type of hedging protects the trader from getting a margin call, as the second position will gain if the first loses, and vice versa. However, traders developed more hedging techniques in order to try to benefit form hedging and make profits instead of just to offset losses. In this page, we will discuss, some of the hedging techniques. 1. 100% Hedging. This technique is the safest ever, and the most profitable of all hedging techniques while keeping minimal risks. This technique uses the arbitrage of interest rates (roll over rates) between brokers. In this type of hedging you will need to use two brokers. One broker which pays or charges interest at end of day, and the other should not charge or pay interest. However, in such cases the trader should try to maximize your profits, or in other words to benefit the utmost of this type of hedging. The main idea about this type of hedging is to open a position of currency X at a broker which will pay you a high interest for every night the position is carried, and to open a reverse of that position for the same currency X with the broker that does not charge interest for carrying the trade. This way you will gain the interest or rollover that is credited to your account. However there are many factors that you should take into consideration. a. The currency to use. The best pair to use is the GBPJPY, because at the time of writing this article, the interest credited to your account will be 24 usd for every 1 regular long lot you have. However you should check with your broker because each broker credits a different amount. The range can be from $10 to $26. b. The interest free broker. This is the hardest part. Before you open your account with such a broker, you should check the following: i. Does the broker allow opening the position for an unlimited time? ii. Does the broker charge commissions? Some brokers charge $5 flat every night for each lot held, this is a good thing, although it seems not. Because, when the broker charges you money for keeping your position, the your broker will likely let you hold your position indefinitely. c. Equity of your account. Hedging requires lots of money. For example, if you want to use the GBPJPY, you will need 20,000USD in each account. This is very necessary because the max monthly range for GBPJPY in the last few years was 2000 pips. You do not want one of your accounts to get a margin call. Do not forget that when you open your 2 positions at the 2 brokers, you will pay the spread, which is around 16 pips together. If you are using 1 regular lot, then this is around 145 usd. So you will enter the trades, losing 145 usd. So you will need the first 6 days just to cover the spread cost. Thus if you get a margin call again, you will need to close your other position, and then transfer money to your other account, and then re-open the positions. Every time this happens, you will lose 145 usd! It is very important not to get a margin call. This can be maintained by a large equity, or a fast efficient way to transfer money between brokers. d. Money management. One of the best ways to manage such an account is to monthly withdraw profits and balancing your positions. This can be done by withdrawing the excess from one account, take out the profits, and depositing the excess into the losing account to balance them. However, this can be costly. You should also check with your broker if he allows withdrawals while your position is still open. One efficient way of doing this is using the brokerage service withdrawals which is provided by third party companies.
虽然是旧文章了,但是值得收藏 外汇套利交易的基础思维 蔡臻欣 “国际外汇市场近十年来交易量快速地递增，每天的成交量从十年前的8000亿美元，增长至目前每天超过3万亿美元，其主因除了新兴市场的崛起带动大量热钱外，另一个重要原因就是在于套息交易的兴风作浪；套息交易运用了大量的交易模型，透过算法交易来创造套利空间，也使得一般投资人进行外汇操作的难度大增，但若能了解算法交易的一些基础思维，那么对于外汇投资，将有很大的帮助。” 中国台湾地区外汇交易专业人士高磊昨日在接受《第一财经日报》电话采访时作出上述评论，他1994年就开始涉入外汇交易市场，在实战和研究了数年之后，于1998年研发出自己的第一代套利交易系统，此后经过不断修改整理，在2006年完成最终版设计。他以“螺丝起子”为网名，将自己十余年来的交易经验在各大外汇交易论坛上与外汇交易者分享。 套利和套息 套息是指利用外币币种之间储蓄利率的差别赚取较高的利息收入。如美元存款利率高于日元存款利率，如果将手中的日元兑换成美元，一年期存款可以获取4％左右的净息差收益。套利是指利用外汇汇率的波动赚取买卖差价收益。如果在美元兑日元汇率118.00时买进美元卖出日元，当汇率波动至121.54时，再抛出美元买回日元，这一买一卖之间就可以赚取3％的汇差盈利。 早期的外汇市场里，主要是以各国汇率之间因为地域和时间性所造成的汇率差异来进行套利组合。上世纪90年代日本经济泡沫发生后，伴随了长达十余年的零利率，是套息交易的萌芽时代。而在2000年后，尽管出现网络泡沫重创全球经济，但幸运的是，大型新兴国家如中国、印度、俄罗斯的经济快速崛起，也带动新的热钱涌入国际资本市场，也为套息交易时代正式揭开序幕，风险基金大量借入低息货币，再转存高息货币，将所得的利息差投入金融市场。 高磊强调，由于套息交易本身的目的，是为了以安全方式取得更大量的资金来投入资本市场，如股市、房地产等等，在具有息差的优势基础条件下，要通过这样的方式取得资金，所要考虑的风险就是汇率风险。而从2002年开始，越来越多的风投利用各国间不同的利率差异来取得资金，为外汇市场带来了崭新的面貌，模型交易、程序交易、算法交易大量充斥在外汇交易市场之中，其目的就是在于规避进行套息交易时，所可能产生的汇率风险。 “这类基金本身从外汇市场所赚取的套息收益，其实相对于他们通过套息交易取得资金转投新兴市场所获得的利益，可说是微不足道，不过这却造成了这几年来低息货币汇率持续低迷，高息货币水涨船高，低息货币如日元对美元汇率从102贬值至最低124，而高息货币如澳元兑美元的汇率，则从0.5一路走高至0.9水平之上，澳元兑日元更是从1∶58走高到1∶107，这样的外汇市场变化，完全改变了传统外汇市场的思维，也让交易变得难度更高。” 外汇套利交易必然会涉及到对冲基金的概念。高磊表示，最基础的对冲概念就是从美元为货币兑换基础来做延伸。“譬如买入欧元，则沽空英镑，由于这两个货币若以美元为兑换基础，我们只看美元升跌，那么当欧元对美元上涨时，则英镑应当也对美元上涨，因此当我们买入欧元，同时沽空英镑，则可以达到反向对冲的风险控制功能。” “由于各国货币的升跌必然受到该国经济前景影响，所以波动的速度与节奏，就未必完全依循着国际上美元的升跌来进行，所以简易型对冲概念仍旧会具有汇率的风险性，所以对冲基金一定不会只以一两组的货币对来进行对冲组合，而是以更多的货币对来进行对冲组合，譬如当我们完成了买入欧元卖出英镑的两笔交易，那么我们可以再进行卖出欧元/日元买入英镑/日元的交易，然后再进行买入欧元/瑞郎卖出英镑/瑞郎的交易，最后进行卖出欧元/澳元买入英镑/澳元的交易，如此一来经过多次对冲，汇率波动的风险就会被逐步地降低，这也是为何近年来外汇交易量快速提升的主要原因之一，这就是对冲基金模型交易的基础概念。” 算法与比价 除此以外，外汇套利交易的一个重要概念是算法交易。“由于每个货币的波动点值略有不同，而且波动的速度也不同，所以单单模型交易，并无法彻底解决汇率波动风险扩大的可能。譬如我们买入欧日卖出镑日，由于欧日的汇价，是由欧元汇率乘上日元汇率所构成，譬如欧元汇率1.53，日元汇率为100，则欧日汇率为153，镑日汇率的组成亦同。但是由于英镑的汇率在二算价位，远比欧元来得高，所以当我们进行这样对冲组合的时候，会发现镑日的波动速度远较欧日来得快，所以单纯的以交易方向性的对冲，就无法控制风险，而必须以杠杆的变化性来做调整。” 最后一个重要理念，高磊认为就是比价交易。“很多初入外汇交易市场的交易者，不懂得看交叉汇率，甚至很多交易了一段时间的交易者，不愿意去看交叉汇率，但是在现今的外汇交易市场，不懂得看交叉汇率是一件十分危险的事情，除非你是一年只交易不到十次的交易者，因为不管是模型交易、算法交易都是大量利用交叉汇率的波动来进行的，直汇波动与交叉汇率波动的关连性高达八成以上，这就和十年前的外汇市场有很大的不同。因此在了解模型交易和算法交易后，就要懂得进行比价交易。” “所谓比价交易，就是通过交叉汇率来比对出最值得购买的货币；譬如美元现在走势疲软，我们想要买进非美，但是到底应该是买入欧元还是买入英镑或是买入澳元呢？大多数人通常会选择涨得最少的来买入，因为心理上会认为其他货币都涨这么多了，涨最少的应该要补涨一下。然而通常这时候这样的想法都会是错的，交易者应当观察交叉汇率来进行判断比价，才能够获得正确的判断；以近几个月的英镑来说，很多交易者在英镑下跌时买入英镑，就是认为美元这么弱，很多货币都创历史高点了，英镑却涨得那么少，甚至还下跌，其后英镑应当会补涨，但往往事与愿违，主因就在于英镑在交叉盘上的表现屡创新低，大部分抵消掉美元弱势所带来英镑上涨的动能。” 他最后总结道：“如果你已经是一个具有技术分析与基本面分析功底的交易者，但在外汇市场却还不能够达到稳定的获利，甚至不时出现较大的交易风险，那么建议你可以从对冲模型、算法交易及比价交易方面入手，加深一些了解与思维强化，相信将可以大幅提升你的交易能力与获利水平。”