Balance position long/short when price is above/below preset value (minimize costs)

Discussion in 'Automated Trading' started by sondermark, Sep 8, 2011.

  1. Hi everyone,

    I am developing a system that requires me purchase a security where I am requires to be short a security when the market price is below a certain price and long when above. Due to the spread this is quite costly in whipsaw markets.

    Example:
    If price < 100 then Short
    If price > 100 then Long

    How would you guys handle this situation to keep costs at a minimum? I am playing around with some things but is unable to effectively avoid the “spread costs”.


    Kind regards,
    Steffan