I see in here alot of examples of pair trades, based on a watchlist of pairs,
however I want to hedge all my trades against a single symbol - the SPY.
I have my watchlist of SP500 symbols, and I want to be able to backtest Excess
returns. So for every Long, I want to be short SPY and every short, I want to
be long SPY.
I have tried 'SetForeign' with the following, but it never issues a SPY short:
Buy = c==hhv(c,300);
BuyPrice = C;
Sell = BarsSince(Buy) ==6;
SellPrice = C;
PositionSize = -10;
SetForeign("spy",True,True);
Short = Buy;
ShortPrice = C;
Cover = Sell;
CoverPrice = C;
RestorePriceArrays(True);
Any thoughts on how to take an opposite position on SPY to the long trade?
Adrian
