WhatIsHedge

Team 13

Instant_margin

We trade when there is a difference between the basket price and the average price of two corresponding stocks. We sell the side which has a higher price and buy the side which has a lower price. In the end, we have the same number of stocks as in the beginning, if we decompose the basket. We profit from the price difference

Moving_average_alg

We use two moving averages based on a sliding window of short-term (two) last transactions, and mid-term (five) last transactions. When both moving averages increase and the average of the short-term last transactions is greater than that of the mid-term, we buy in the ETF/stocks. Afterwards, when the short-term average falls and crosses the mid-term moving average line, we sell the ETF/stocks.

Quoting

We exploit bid-ask spread by calculating the average between individual stocks of the basket, bidding on ETF at a price lower than this average and asking for a price higher than the average. When someone buys our stocks/ETFs, we make profits. To hedge the risks, we also buy/sell corresponding stocks.

Built With

• python