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UK
Posts: 1 since Mar 2010
Thanks Given: 0
Thanks Received: 0
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i fellow traders,
I am trading a short term automated strategy in equities (holding time is a couple of days / less than a week), About 80% of the positions are long stocks and about 20% are short stocks.
Since I am mostly exposed long, I need some way to hedge the long positions because when the market falls, they loose more then the short position gain.
I can use a constant hedge - I calculate the beta of my long portfolio vs SPY,
lets say its size is $100,000, and its beta to SPY is 1.2, so I will short $120,000 SPY.
However, in the long run that hedge causes more losses and shrinks the profit from the long positions (usually when the market pulls up)
I am looking for a "conditional" hedge, meaning only have a hedge in certain situations when the market is more volatile and tends to go down more then up
(easy to say but hard to accomplish).
I would be very glad to hear any ideas / suggestions
BTW - I already thought about hedge when SPY < SMA(200) and do not hedge when SPY > MA(200), I like simple solutions, but this doesn't work for me
Thank you,
Bob
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