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absolutely good question. I have self taught myself everything i know and i admit there are things im ignorant too, but im never afraid to ask or learn new things. Infact in asking is how ive learnt, now i before i posted this question i really never had a clue how to hedge, but through asking...

ok thanks so the formula is? just to be sure thanks

not really, i can win big if im too long but also lose big if im too long. i can still win if im hedged but reduce big losing days if im hedged somewhat.

yes my signals are better than random and proven to be so over time, so should i hedge or not? My equity swings can be huge though, thats why i raise the question of a hedge, would it not smooth?

yes correct. so are you saying im better off without the hedge? but what if the basket becomes too one sided?. Stocks do move on their own merit but if i feel i may need something if something major is happening with the main cash markets, dont you agree?

hi, yes i see how it can become complicated so simple is best. It does not have to fit perfectly. It is not a pair trade because pair trading takes into account sector, correlation and normally goes against another stock within the pair. Im just selecting stocks based on my critria, and...

i realise that i will not be able to eliminate all risk. The idea is to protect myself if things go completely one side, even then i would lose and not be able to completely save the day, but difference is i want to still be in business and not wiped out, so must hedge for black swan event...

hi, thanks for the reply, this simple formula looks just what ive been missing. I knew it would be something simple. what about volatility?, does this formula keep me volatility adjusted? kind regards For your information im not pair trading, just sometimes i get lopsided but dont...

hi, can anyone help me? Ill explain what Im trying to achieve. Say Im mostly long or short a basket of 20 stocks. To protect myself how would i set up a SPY hedge?, what is the formula if any?........ideally something i can set up in Excel would be good. When trading most days i...

why is this strange? to blend his strategies of course. To smooth his equity curve. Every strategy has drawdown no matter what, so if he can swap one with a non correlated one then he can blend

it may be curve fitted, i guess the only way ill find out is to carry on forward testing and report back in 6 months or so for an update. Thanks for all the feedback i recieved, much appreciated.

yes you are correct, but not always a profit over the long term.

gmst, thanks for taking the time to read all my stats. You seem to have expressed exactly what im doing. Some good ideas in there too like 'carry on trading until you get a worst drawdown than in backtest'. This alone is a rule to which i could use, thanks. Funny sometimes you can...

I have been live trading it with very small size. Yes it is going well and as expected but this still dont rule out if system is curve fitted and right now im being lucky with the forward data. But yes your right , it is the only way i guess.

should i do another wfo test with slightly different settings?, like change exit to more, not entry. Say for first 3 years to optimise then use out of sample after that to test on? this way it would a completley new test and may even show some more robustness as im altering the exit. I...

was the walk forward optimising a pointless exercise?....because i was thinking i already covered a huge sample and most probably the out of sample data is already in the original system. Is this correct?

thanks...... yes thats right, this is only one symbol and if i can find a way to go basket trading with this then should in theory improve, but hey nothing surprises me with trading. Things you think should work normally don't work out the way you think it.

wfo pass...........................

wfo out of sample summary.....................