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Portfolio123 » List all forums » Forum: Errors » Thread: Re: Error with hedge sim? |
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Total posts in this thread: 3 |
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Tomyani
Advanced Member
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Marco, See: Simulation: 20pos-3sec-100%HedgeAll-InduCompany-Unhedge-1Mo This appears to be an error. The model is holding large SH position when it holds no stocks. Yet, hedge is set to be 50% of equity. If equity is at $0, hedge should be at $0. What am I missing? Best, Tom |
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Isaac
Advanced Member
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Marco, Also along these lines, I don't understand whats going on with the behavior of the hedging feature in my sim named- 40 Best Top Factors 5 stk F7.5, hedged Specifically, in 6/08 it buys 1,894 shares of SDS in accordance with hedging rules, and then sells those shares in a series of transactions over the next three months. I don't understand why the shares are sold piecemeal in variable amounts. How does this come to be? Thanks, Isaac |
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Tomyani
Advanced Member
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Isaac, This is likely hedge 'adjust' function to keep hedge as proper % of total portfolio. This is issue really in that it does it in such small dribs and drabs. It would be best if it only does it when hedge gets out of whack by some pre-set %, say 5%. So that there are not so many small trades. Best, Tom |
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