Random Sunday night thought - if I am doing algo trading in taxable accounts, and I have an algo which behaves a lot like it's hedging a short gamma position (ie: accruing lots of tiny losses, while the unrealized gains accumulate), this would seem to be valuable in excess of it's nominal pre-tax yield, in that not only does it have tax-deferred gains, but those tiny realized losses would offset otherwise taxable gains in other algos.
Has anyone ever read (or heard of) any research like this?
Simon.
