Some time ago I began coding a program that would iterate through a list of stocks (that list being the Standard & Poors 500 (S&P500)). I use intra-day 5 minute bars going 20 days back. The information tells me how to best hedge my current intra-day positions. For example lets say $AAPL has a negative correlation with stock XYZ with an R^2 above .90. When holding $AAPL for longer periods of time I know stock XYZ will follow suit in the opposite direction. If $AAPL spikes against me and my stop lose is hit, my hedge would have covered the lose from $AAPL. I will be posting a more detailed example as well as data this up coming week.
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