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Makes sense about the options pricing. Seems like options trading is
all about the "Greeks" and strategy based on that.
For the multiple systems questions, I think I'll need to read Howard's
book (will be ordering within a month or so...:-), because I'm fairly
confused. If your system (even if you just have one) indicates that
there are 4 stocks to buy tomorrow how do you do that with one "buy"
signal in your code?
Everybody, thanks for your responses!! Greatly appreciated.
Regards,
Craig
--- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@xxx> wrote:
>
> 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@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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