Any way to implement a Variable Hedge Percentage?

Research
1

I have been searching the forms and messing around with various, but can’t seem to find an easy way to implement a hedge that varies in percentage over time.

A trivial example of this would be following,

IF SPY > 200dma THEN 100% Invested
ELSEIF SPY < 200dma0.9 THEN 90% Invested
ELSEIF SPY < 200dma0.8 THEN 80% Invested

seems like this should be doable, but I haven’t been able to get there.

Thanks,

Daniel

2

You would have to have an ETF only portfolio and then use “Formula Weight” rebalancing. The hedge would have to be one of the positions (not implemented using the hedge module.)

3

If you use cash as hedge you can use a formula involving CashPct.

4

Using CashPct sounds interesting… can you elaborate on that idea a bit?

5

Hi Daniel,

you can see Georg’s and my approach in the following thread:
https://www.portfolio123.com/mvnforum/viewthread_thread,10704#59663

If you do a ‘cashpct’ search within the forum you will find more smart solutions.

6

thank you very much

7

Worth mentioning that cashpct does not work with active weighting so this is for “% Portfolio Weight” setting only

Jerome