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Gerry,
Great idea. I personally would like this to use actual "continuous"
data rather than an theoretical calculation for the option values.
Using real option data would also allow one to test for situations
when option prices were too high to be used.
However, it might not require a separate set of code to handle
options as a hedge for a primary long or short strategy. If AB gets
the ability to run 2 or more portfolios in parrallel, with periodic
rebalancing, then buying puts or calls could be one of the parrallel
portfolios. That would let one experiment with being 100% hedged,
50% hedged, etc.
b
--- In amibroker@xxxxxxxxxxxxxxx, "gerryjoz" <gerryj@xxxx> wrote:
> The previous two posts 48450/1 cover the relationship of position
> size and risk well. I like the idea of managing overall exposure
to
> some limit.
> Somewhere i read that for uncorrelated investments, there is
little
> point in holding more than 20 to 30 investments for the purpose of
> risk minimisation (you might hold more for other reasons).
> The problem with holding several stocks in one market is if that
> market drops, so does your whole portfolio. The only protection
then
> is either
> some form of stop, or to buy puts. Both reduce profit and risk. It
> might be interesting if AB allowed a theoretical price to be
> calculated for a n-day option at current buyprice, and for its
> closure.
> then you could code something like
> buy=<your rule>
> buyput=(ndays2expiry,percent2market(+ or -))
> sell=<your rule)
> closeput=sell
>
> For those who short, corresponding calls might be bought.
> Perhaps Tomasz could include this in a future release, or the
present
> optionpricing dll could be adapted?
>
> Gerry
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