Ideas for a "conditional" hedge


1 0
Hi fellow traders,

I am trading a short term automated strategy in equities (holding time is a couple of days / less than a week)
About 80% of the positions are long stocks and about 20% are short stocks.

Since I am mostly exposed long, I need some way to hedge the long positions because
when the market falls, they loose more then the short position gain.

I can use a constant hedge - I calculate the beta of my long portfolio vs SPY,
lets say its size is $100,000, and its beta to SPY is 1.2, so I will short $120,000 SPY.

However, in the long run that hedge causes more losses and shrinks the profit from the
long positions (usually when the market pulls up).

I am looking for a "conditional" hedge, meaning only have a hedge in certain situations
when the market is more volatile and tends to go down mmore then up (easy to say but hard
to accomplish).

I would be very glad to hear any ideas / suggestions

BTW - I already thought about hedge when SPY < SMA(200) and do not hedge when SPY > MA(200), I like simple solution, but this doesn't work for me

Thank you,
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