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Howard, i agree.
Earlier, i suggested just estimating the theoretical option value
(see 48478), with some parameters.
The catch is that you then have to find a real option that matches
to the theoretical exercise & expiry. So any backtesting would be
subject to substantial slippage.
On reflection, there's not much you can do with the proposal, unless
AB allows 'virtual' data to be dynamically written. By that i mean
that an array of option prices would become a temporary ticker which
could participate in AA runs. However, it is only of value (accurate)
on the day of a trade, because each bar represents a new option
expiry date. So if you simulated opening an option position, you
would need another array(s) to be generated with the theoretical
values reflecting time decay/expiry date to control the possible exit
values.
Seems way too complicated....considering all the other things AA does.
However, it might be practical to do this in a third pass after
portfolio backtest to assess relative merit of stops versus puts
(whatever - depending on whether you are long or short).
Gerry
--- In amibroker@xxxxxxxxxxxxxxx, "Howard Bandy" <howardbandy@xxxx>
wrote:
> It would be very nice to have an AB module that handles options
quotes and
> pricing. But backtesting with real time option price data is almost
> impossible.
<deleted>
> > Thanks,
> Howard
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