Subject: Re: best way to hedge an SPY portfolio
I was just sitting here testing the initial strategy in Excel from the beginning of 78 to present and I can't duplicate the results. I then looked at the return of shorting the NDX when the GTR1 NH-NL BC was below zero and ended up with $1000 going to $325. Perhaps I did something wrong but there are some oddities in that post. The post stated hedged 70% of the time, I calculated hedged 34% of the time which sounds reasonable. I would encourage anyone thinking of adopting this strategy to test it themselves before putting real money in it. I may do some more testing on that post as I get time. The strategy as presented seems wonderful...