Re: [amibroker] Re: Two Questions

["Padhu" <ccie8340@xxxxxxxxx>]

Craig,

 

Backtesting on options is a bit tricky..Most of the data has to account for time decay,changes in IV and what not.

There is also noise/actvity of rolling options around expiration...so you get volume spikes that have no significance.

You have volumes introduced by dividend trading by firms.

 

Although its not impossibe, it requires a very sophisticated system to backtest options data. I current get my eod options data from tbsp.com. They have several years worth of stocks,futures options. Its very inexpensive for what they offer.   You may want to download few months of data and then import into excel or access and see what strtagies you can come up with. I also get very detailed options data from option-alert.com. You can try these and see how you do it. I run my own options scans and then get them to a watchlist and then wait for Amibroker indicators to alert when a buy/sell signal occurs.

 

There goes my 2c.

 

Cheers,Padhu

 

----- Original Message -----

From: cmaiman

To: amibroker@xxxxxxxxxxxxxxx

Sent: Wednesday, August 08, 2007 9:08 PM

Subject: [amibroker] Re: Two Questions

I'm surprised there's been no answer to these questions. Are they
dumb or obvious?

Hope someone can answer.

Thanks in Advance,

Craig

--- In amibroker@xxxxxxxxxps.com, "cmaiman" <cmaiman@xxx> wrote:
>
> Hi,
>
> I have read the tutorials, but I don't recall seeing anything related
> to these questions:
>
> 1 - Is it possible to specify two (or more) distinct (and hopefully
> uncorrelated) trading systems in AmiBroker so that I can backtest how
> the combination performs?
>
> 2 - While I don't plan to do options trading for a while, is it
> possible to backtest an options trading strategy? Seems like
> backtesting an options strategy would require a tremendous amount of
> historical data because there are so many options (is it even
available?).
>
> Thanks!
>
> Craig
>

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