Pseudo-Delta Neutral Strategy With Alpaca Finance

Good morning 😊.

What a great opportunity to write about my collaboration with Mr.Medaka, the God of Strategy (Twitter: @araz32008658 ) today.

It all started with the following tweet.

めだかさんはTwitterを使っています 「ALPACAさん BUSD-ALAPCAx2、BUSD-BNBx2 の中立ポジション組んでましたが無視できないILロスをくらい撤退しました 次は BNB-BUSDx3、BUSD-BNBx3を1:3で組み合わせデルタ中立、IL中立になるか実験中です バッファ減ったら組み直し予定」 / Twitter

Translated to English, he described how you could create a pseudo-Delta-neutral investment strategy with Alpaca.

It looked interesting, so I made a simulation. I sent it to Mr.Medaka via DM and he was interested in it and we chatted for quite a while.

Well, I had a great time.

I’m going to show you the graph first, which you might be able to understand just by looking at it.

Delta neutral is an investment technique where your equity is safe(neutral) even if the price moves.

However, pseudo-Delta neutral is not safe when the price moves a lot.💦