| impressive thread
Wow. This is a very good thread. I just want to share my opinion here:
A) for all the discussion about if the GBPJPY CHFJPY is a hedge or not, you a missing something:
Even if I disagree with the topic of going long on GBPCHF instead, I think you are missing a point... What if your profit comes from the short of the CHFJPY?. You are thinking on the movement of the strong currency (wich is obviously the GBP), but to avoid that, why don't you think there could be any economic release for the CHF that move that pair more than the GBP?, and actually take your profit from the CHFJPY, wich, going long on GBPCHF will be impossible!.
What you are missing is that your profit comes in first instance FROM THE PIPS, and your backup is the SWAP. So in my opinion, the system is a HEDGE, understanding from it the possibility to reduce your risk, take money from currency A or B, and as an extra take your money from your swap.
B) for the issue of "HOW MANY LOTS TO TRADE", I think the solution is just right in our eyes.
It is actually really simple to find the perfect ratio for any pair... and the solution is actually the previous discussion.
If you are trading GBPJPY/CHFJPY, take out the common pair, so your base pair will be GBPCHF... now, everybody knows that your are buying with pounds XXX amount of swiss francs.
Understanding that, if you look at your chart, then you will see as an ex that the price for the GBPCHF is 2.4534, that means with one pound you are buying 2.4534 CHF, then that is your ratio for that trade. As simple as that.
I have been using my own correlation hedge EA (which basically does the same as yours), for 6 months now, live, and so far I never had a negative trade. I must admint sometimes I close the trades manually because I am updating a new setting or any other change, but the strategy is pretty solid.
And by the way, using a risk of 3%, you can actually support a 1200 pips drawdown.
Regards | 
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