Awesome thanks a lot for the constructive feedback! There are a lot of things to unpack. Let me answer the question.
> Also, how much leverage are you taking on?
Equal to the value of the portfolio since this how much you need to have 1-1 hedge. The hedging instrument is just short selling the stock.
> Puru Saxena has a different portfolio.
I am inspired by the hedging mechanism that he uses and I started with the same technical triggers.
> The type of hedging you describe in your example is equivalent to just selling the shares, but a little worse.
I see what you are saying and I agree with it.
I am not sure if it is actually worse. Avoiding a tax event on your long position (which in the long run is the most profitable) is actually really important as you more capital to compound.
I know of Quantopian but I have never used and the calculation seemed simple enough to do with vanilla python/pandas. I did not think of using vector of weights, that would be a better approach and much more scalable.
> Also, how much leverage are you taking on? Equal to the value of the portfolio since this how much you need to have 1-1 hedge. The hedging instrument is just short selling the stock.
> Puru Saxena has a different portfolio.
I am inspired by the hedging mechanism that he uses and I started with the same technical triggers.
> The type of hedging you describe in your example is equivalent to just selling the shares, but a little worse.
I see what you are saying and I agree with it.
I am not sure if it is actually worse. Avoiding a tax event on your long position (which in the long run is the most profitable) is actually really important as you more capital to compound.
I know of Quantopian but I have never used and the calculation seemed simple enough to do with vanilla python/pandas. I did not think of using vector of weights, that would be a better approach and much more scalable.
360 would probably be a better number. https://www.investopedia.com/terms/c/commercial-year.asp for CAGR calculation. I did that for the interest but forgot about it in the CAGR.