Recently, I thought a bit about how to realize such a system in Prorealtime, as holding short and long positions at the same time is not allowed in automatic trading. It could work this way, I think :
Assumed, the first position is 1.0 contract long. The next position would be 1.2 contracts short, the following 1.4 contracts long, the next one 1.6 contracts short, and so on, and all of these cumulated, which would be called “hedging”. In Prorealtime, this is not possible directly.
Instead, you could do it the following way : In the first step, you buy 1 contract long. When opening the 2nd position, you sellshort 0.2 contracts, so in total, you hold 0.2 contracts short (equivalent to holding 1 contract long and 1.2 contracts short). For the next position, you buy 1.2 contracts long (composed of 2.4 contracts long and 1.2 contracts short). In the next step, you sellshort 0.4 contracts, which is the new total position size and equivalent to holding 2.4 contracts long and 2.8 contracts short. And so on and on.
The result should be entirely the same as adding up more and more positions, but with a lot of transaction fees (spread) saved.
Of course, this does not mean that such a system using averaging down combined with “Martingale light” position sizing will make money, but at least technically, it should be possible even in Prorealtime.
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