TRIANGLE HEDGING TRADING ROBOT WITH CURRENCY PAIR CORRELATION FOR THE FOREX MARKET

Abstract

Research on trading robots that apply the Triangle Hedging strategy in the context of currency trading on the forex market aims to optimize profit opportunities while managing risk by exploiting the correlation between currency pairs. The initial steps involve an in-depth review of forex literature, hedging strategies, and currency correlation concepts. This research explores the selection of appropriate currency pairs to be implemented in the Triangle Hedging strategy. This process is carried out by careful analysis of currency pair correlations, focusing on stable positive or negative relationships between them. The results of this correlation analysis show that several currency pairs have a correlation that can be utilized together with the Triangle Hedging strategy. The currency pairs are EURUSD and USDCHF; AUDUSD and USDCAD; GBPUSD and USDJPY. The trial was carried out using the forward testing method. The trial was carried out on four demo accounts with the following results: demo account 1-gain 205.07% and drawdown 43.52%; demo account 2 – gain 91.57% and drawdown 61.42%; demo account 3 – gain 263.54% and drawdown 60.12%; as well as demo account 4 – 170% gain and drawdown 91.81%. This test shows that for gain, the robot has shown good performance, but for drawdown, it still requires optimization. The triangle hedging method and the selection of correlation between currency pairs have not shown optimization in risk control. This is proven by 4 demo accounts showing drawdown levels above 50%; there are even 2 accounts with drawdowns above 90%.