Quote from: blankia on April 03, 2014, 09:11:22 PM

...futures locked in the exchange rate, so how is it possible that this strategy loses in dollar terms?

The position is fully hedged, so the futures are balanced by a leveraged long position in Bitcoin. This is what enables the strategy to remain profitable in Bitcoin terms across such a wide range of changes in the exchange rate versus USD.

However, you're exactly right that futures lock in the rate, so a non-hedged position made entirely of futures would have done exactly that, as noted in this paragraph toward the end of the article:

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Naturally, one might object that the strategy has lost money in fiat terms: a gain of 14% is not enough to offset a fall of 23%. However, the strategy was explicitly designed to create gains in Bitcoin terms, not in fiat terms, and to do so while remaining robust to significant changes in the exchange rate. Someone concerned primarily to avoid losses in fiat terms would simply have used the futures market alone to lock in a fiat price which was at a greater than 50% premium to the spot market, without regard for hedging against a gain in BTC versus fiat.