[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [amibroker] Two Questions



PureBytes Links

Trading Reference Links

Greetings --

It is difficult to work with options historical data. 

For one reason, a single tradable, such as IBM stock, has dozens or hundreds of options associated with it at any time, and as options are created and expire the tickers for those options appear and disappear.   Maintaining that database is complex and expensive, and making reference to it during backtesting is complex.

For another reason, even assuming that you have an options database and methods for working with it, even given a single options contract and its underlying, there is uncertainty synchronizing the price quotations.  IBM may have closed at 110 on a given day after having traded in a range of 108 to 112.  The options close to 110 in strike price and close to expiration may be very actively traded, and the closing price listed for those options may represent the options trades near the close when IBM was near 110.  But options further from the strike price and further from expiration are less actively traded, and the closing price listed for those options may represent trades made much earlier in the day when IBM was at a different price -- if no trades for those options are made later in the day, those earlier trades are still listed as Closing.

While the options pricing formulas are not perfect, they are at least consistent.  You might consider using theoretical prices computed on-the-fly using, say, Black-Scholes, rather than historical prices.

Thanks,
Howard



On 8/7/07, cmaiman <cmaiman@xxxxxxxxx> 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


__._,_.___

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html





SPONSORED LINKS
Investment management software Investment property software Investment software
Investment tracking software Return on investment software

Your email settings: Individual Email|Traditional
Change settings via the Web (Yahoo! ID required)
Change settings via email: Switch delivery to Daily Digest | Switch to Fully Featured
Visit Your Group | Yahoo! Groups Terms of Use | Unsubscribe

__,_._,___