Hedging strategy · TradersWeek

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Output: Signal
Input: Rule inputs, market state and execution constraints
Horizon: The system holding period
Best use: Make entry, exit and abstention rules testable as one procedure.

Input: Rule inputs, market state and execution constraints.
Output: signal.
Use boundary: Make entry, exit and abstention rules testable as one procedure.

The graph1

How the method is built, and where it has been read

Depends on

Often reviewed together

Pairs trading4 readings

Read in the archive24 of 34 readings

1982Basis-managed hedges and related market substitutesIntermarket and spreads 1990Options as insurance unless the process is completeOptions and volatility 1990Building index futures fair value from cash-and-carryIntermarket and spreads 1996A price-weighted technology index as a hedge and sector proxyIntermarket and spreads 2001Financed call ratio repair for a gapped longOptions and volatility 2002Intraday sector pairs hedged as one spreadIntermarket and spreads 2002Single-stock futures as a month, margin, and hedge overlayIntermarket and spreads 2004Listed volatility futures as a portfolio volatility hedgeOptions and volatility 2006Customized commodity hedges for bond and equity portfoliosPortfolio construction 2007Pairs, hedges, vanishing bids, and the cost of liquidityLiquidity and costs 2007Use of capital for overnight pairs and hedge layersIntermarket and spreads 2007Opening auctions, limit envelopes, and overnight hedgesIntermarket and spreads 2008A two-gate intermarket test for equity bear hedgesIntermarket and spreads 2010Sizing reserves for condors and pair layersOptions and volatility 2010Gold futures after a large setback: cluster risk and hedge timingIntermarket and spreads 2011Partial commodity hedges, seasonal timing, and option incomeOptions and volatility 2011Commodity-linked shares are a wrapper, a performance-bond, and a hedge-design problemSizing and leverage 2012Hedging an open bull verticalOptions and volatility 2012Construct a two-pair and three-pair hedge rule bookEntry and exit rules 2014Equity and SPY stress pairs with a scaled index hedgeIntermarket and spreads 2015Yearly at-the-money covered calls on a dividend basketOptions and volatility 2015Mid-trade hedges for dividend pairs and market-neutral swingsIntermarket and spreads 2015Unused peer hedge after an ATR-qualified pair entryIntermarket and spreads 2015Pair hedge to hold a valid idea through noiseStops and loss limits

This registry entry describes a research method. It is not investment advice and does not make a performance claim.