Simulation - Hedging

Research
1

In Screener - I can choose Hedged and specify the rule as “True” to always short the benchmark (SPY). Also I can allocate 60% to short side.

If I want the same set up in Simulation - how can I achieve that?

Thanks

2

Kartik,

Simply place a 1 (or true) in the Hedge module for the Entry Rule, and leave the Exit Rule blank.

3

thanks

wonder if futures or options will be included for hedging at some point

4

Futures are great for hedging but have the issue that a single contract is ~ $100k but you do use up less capital relative to shorting SPY, though position beta is same. For most members, using SPY to hedge is a good approximation of what you would get with futures.

Options are a huge pain in the ass to backtest. I don’t see this in P123’s near future and hope they focus on daily ranking; Canadian TRADE…
If you are really fixated on backtesting options, Quandl has the ORATS option data history, across strikes and expirations, and if you can program in R or Python… then you can build something to test your ideas.