EUR/CHF Strategy
This strategy is based on the Swiss Central bank decision setting a minimum exchange rate if 1.20. Here special thanks to vgc and mario.
We should monitor closely the situation of the pair. This is not set and forget strategy.
It is important to mention that there is a deterministic structure in that exact moment in that pair and you can choose your own data mining methods in order to discover rules to profit from it. This is just a possible example.
Comments
I think I made a comment somewhere that this system by its dsign is created to profit from the really antipersistent price movement. And when we have a persistent movement in adverse direction it is going to loose.
The bad think is that those big drowdowns are inevitable. The good news is that we can observe and know when exactly to sto p the system and get it out of the market quickly.
The other safety was to use a level where there are a lot of Buy orders as a support level, and we get out if a down break - out occurs.
I am giving you this link, that is an analysis by the Saxo bank for the current state of the intervention.
The chances of the peg at 1.2000 breaking have increased from less than 10 percent to more than 25 percent. Assuming the downside risk is parity (1.0000), the risk of 20 CHF big figures gives a weighted risk of peg-breaking of: 5% (20 percent move x 25% chance = 5%). We recommend closing or reducing all short CHF exposure over the summer period as the tail-risk in both Switzerland and Europe is rising.
http://www.tradingfloor.com/posts/chf-systemic-risk-and-the-eu-debt-crisis-2130814396