Hi everybody! I'm writing an automated trading system that sometimes ends up into the hedge that carries losses. Wanted to know if there is a good way to come out of this hedge. Hedge consists of 8 ES (short) futures and 8 YM (long) futures. Assuming that the correlation between these two markets is perfect (1.0) for simplicity reasons. Unrealized loss carried by this hedge is 400 dollars. To make this even simpler, lets have 8 YM (long) and 8 YM (short) if you need to put out some calculations in points from one market instead of 2 markets. My problem is that I don't see any mathematical solution that I can use to try to come out of the hedge clean (or with minimal losses). Any reasonable suggestion would be appreciated. I know there is no easy way to come out of this without taking some risks, however want to consider different solutions, because ones that I use don't work well.