How do you do this practically in the simulator?
Make sure margin is enabled.
@hemmerling, when you hedge an entire model like this, are you looking for the results to mimic the unhedged version as closely as possible?
Tony
Not really. All I am looking for is the consistency of the equity curve. Everything that is left when you hedge 100% with the appropriate benchmark is your excess return. You want to see a nice year over year 10% excess return. If it is up 50% one year and down 10% the next…I am not as happy with the ranking system.
Total return might be the same with 2 ranking systems but the one with the most consistent excess returns wins. I don’t run them live as hedged…that is for analysis purposes only.