Hedging against a day trading position??? How about using stop loss when one is wrong or market goes against his trade?
You can buy a put option far out and run your strategy under it. Major gap downs happen instantly in markets and at any time.
I guess you're talking about holding overnight or days but not with day trading positions. Or else it would be too complicated as well as distracting for day traders.
It’s preventing something more severe than this from wiping him out mid-day. https://en.m.wikipedia.org/wiki/2010_Flash_Crash
The guy is day trading e-micro with one lot or two. Who would hedge against holding such tiny positions in such a very short duration? I bet you won't find any one or two lots day traders willing to do so. I'd understanding if you are trading e-mini with 50 or 100 lots and you need some insurance protection from such large bets.
Win rates should even out as you get more data points to average with. Unusual high or low win rates are common then there is few data points as the system may randomly start with a winning or losing streak.