Hedge Coding

[Anonymous]

Hi All,

I was wondering if anyone has tried to code a hedging strategy into an existing momentum or rotational system. Basically I have my monthly rotational strategy and I would like to add in a daily or weekly heading strategy to manage risk better.

Is it even possible to do something like this?

Thanks!

Dustin

[ScottMcNab]

The best “hedge” (used loosely) I have found so far Dustin is to diversify across systems and across markets. More specifically the daily MRV systems often have maxDD at different time to rotation systems. I do not have any systems that short and do not use options. Others may have coded strategies that short index ETFs perhaps ?

[Nick Radge]

I’ve not seen any hedge coding. Sorry.

[TimothyStrickland]

Unaware of any but Scott is right. My MRV typically has had drawodowns at different times then my momentum system. Currently my MRV is in drawdown and my momentum system is not. Not sure about MOC or WTT but I’m sure those have different drawdown periods as well.

[Anonymous]

Ok thanks guys. Ya I agree with your thought about system diversification but I do generally find that they all draw down roughly around the same time so I was thinking about how I can smooth the ride a bit.

I also agree that it becomes very difficult to code. It seems like everything is possible in Amibroker when you really dig but this one might be a rabbit hole.

Thanks again – I thought I would check.

[Author]

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