Mel![]() Veteran ![]() ![]() ![]() ![]() ![]() Posts: 291 Joined: 12/30/2003 Location: Kensington ![]() | It could be done manually or automated. The process involves calculating the delta of each potential trade for one contract. Talke the most desirable positions from the rankin process, select a long and short, and size the position such that the number of contracts times delta is balanced by positions and number of contracts with the opposite delta. Because of the greeks, the bigger the market move, the more the deltas will vary, but this hedges most of the risk. Stop when you run out of positions or get to the maximum position size your trading plan allows. Not a very difficult process to automate. Could even be optimized by a genetic algorithm. Mel |