|
PureBytes Links
Trading Reference Links
|
Well explained Bob, and I totally agree. Again, Omega never really got
enough feedback from users to really make this easier for TS2000i.
> -----Original Message-----
> From: Bob Fulks [mailto:bfulks@xxxxxxxxxxxx]
> Sent: Monday, March 13, 2000 7:50 PM
> To: Eric Cahoon
> Cc: omega-list@xxxxxxxxxx
> Subject: Re: Options Trading System
>
>
> At 6:56 PM -0500 3/13/00, Eric Cahoon wrote:
>
> >Now that I understand a little more about using multiple data
> streams, I now
> >have a question about testing options trading strategies in TradeStation.
> >Let's say I am interested in developing a system that buys calls
> options on
> >an index when bullish and buys put options on an index when bearish. Is
> >this done easily in TradeStation or does it require some
> programming (which
> >is fine, I am just curious)? Any experience with testing options trading
> >systems would be greatly appreciated!
>
> You do not explain much about what method you plan to use but the
> main problem is in getting accurate option prices. BMI option
> quotes are useless. Dial Data prices are not too bad if all you
> need is daily data.
>
> You can avoid this by calculating your own "pseudo" options
> prices using the BlackScholes, ImpliedVolatity, and
> DaysToExpiration functions in TradeStation. You will probably
> need to use VIX and the underlying security/index as additional
> data series. You may have to do your own accounting for
> profitability, etc., since you will need to trade on the data1
> series which is not likely to be very accurate.
>
> The programming can get pretty complicated since you need to
> handle rollovers at option expirations if you hold positions for
> periods of days to weeks.
>
> Bob Fulks
>
|