Hi, I am new here, nice thread about correlation. :)
have somebody tried triangular hedge?
example:
EUR, USD, GBP in way:
bEURGBP + bGBPUSD + sEURUSD
sEURGBP + sGBPUSD + bEURUSD
b-buy, s-sell
point is, hedge it with same lot size (like 1+1+1) for time as TICKVALUE oscillated and close it all...