RE: Re[2]: need some ideas to (dis)prove an assumption

["pierre.orphelin" <pierre.orphelin@xxxxxxxxxxxxxx>]

Here it is...

You could take a chance to visit the new web site.
I'm currently action to post realtime SAFIR-X results  updated several time
a day.
Next month , I hope

Pierre Orphelin
www.sirtrade.com
TradeStation Technologies representative in France



OPTION CODE STARTS HERE:
=======================


	pas(25),	{Pas de l'echelon du premium
			 [ex: 25 points sur CAC40].}

	ech(1),	{Nombre de mois entre deux echeances d'options
			[ex: 1 mois sur CAC40, 3 mois sur notionnel].}

	jour(15),	{Jour du dernier  mois au dela duquel on travaille sur l'echeance
suivante
			pour laisser un minimum de valeur temps.}

	jour_fin(31),{Quantieme du jour de fin de l'option
			[0= fin du mois, sinon mettre le jour].}

	{CHOIX de la strategie d'options:
	___________________________
	Call & Put:  A la monnaie # = 5; # <5 En dedans; # >5 en dehors}

	CstrikeL(5),	{# du strike du call le + pres de la monnaie}
	CstrikeH(7),	{# du strike du call le + en dehors}
	PstrikeL(5),	{# du strike du putl le + pres de la monnaie}
	PstrikeH(7),	{# du strike du put le + en dehors}

	Cqlow(1),		{quantite de call "CstrikeL" achetee en entree si>0, vendue
si<0. }
	Cqhigh(1),		{quantite de call "CstrikeH" achetee en entree si>0, vendue
si<0}
	Pqlow(1),		{quantite de puts "PstrikeL" achetee en entree si>0, vendue
si<0. }
	Pqhigh(1),		{quantite de puts "PstrikeH" achetee en entree si>0, vendue
si<0}

				{[Cqlow=0 ou Cqhigh=0] ET [Pqlow=0 ou Pqhigh=0] : strategie simple
d'options}

	facvola(1),		{Facteur multiplicatif de la volatilite historique.}

	recvola(30),	{Recul en jours pour le calcul de la volatilite historique}

	taux(8),		{Taux d'interet : en % annuel}

	greeks(1),		{1 = calcul des derivees B&S}

	ASCII(1);		{<>0 = impression ASCII au format Portana dans c:\portfile.txt.
				ASCII = valeur du point en "$" soit 200 pour CAC40]}


AND 2500 LINES LATER ENDS HERE:
==============================


if annees<>0 then peryear=return/annees;

print(" ");
print("////////////////////////////SUMMARY\\\\\\\\\\\\\\\\\\\\\\\\\");
print(" ");

print("Total profit = ",ecu[ctr+1]:2:3," Points       Total # of  trades =
",ctr:1:0);
print(" ");
print("OpenPosition = ", openp:10:3, " Points");
print("Winning trades = ",ctrw:1:0, "     Losing trades = ",ctrl:1:0);
print("Percentage profitable = ",win:1:2, "%");
print("Max consec. winners = ",qmax:1:0, "      Max consec. losers =
",qmin:1:0);
print(" ");
print("Max Drawdown [Closed out] = ",ddm:1:3, " Points");
print("Max Drawdown [Intraday      ] = ",maxidd:1:3, " Points");
print(" ");
print("Return on account (All trades) = ",return:21:2, "  %");
print("Return on account (Yearly average) = ",peryear:10:2, "  %");
print(" ");
print("////////////////////////////////_\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\\");


if ascii<>0 then begin
print(file("c:\summary.txt")," ");
print(file("c:\summary.txt"),"////////////////////////////SUMMARY\\\\\\\\\\\
\\\\\\\\\\\\\\");
print(file("c:\summary.txt")," ");

print(file("c:\summary.txt"),"Total profit = ",ecu[ctr+1]:2:3," Points
Total # of  trades = ",ctr:1:0);
print(file("c:\summary.txt")," ");
print(file("c:\summary.txt"),"OpenPosition   = ", openp:5:3, " Points");
print(file("c:\summary.txt"),"Winning trades = ",ctrw:1:0, "     Losing
trades = ",ctrl:1:0);
print(file("c:\summary.txt"),"Percentage profitable = ",win:1:2, "%");
print(file("c:\summary.txt"),"Max consec. winners = ",qmax:1:0, "      Max
consec. losers = ",qmin:1:0);
print(file("c:\summary.txt")," ");
print(file("c:\summary.txt"),"Max Drawdown [Closed out] = ",ddm:4:3, "
Points");
print(file("c:\summary.txt"),"Max Drawdown [Intraday ]  = ",maxidd:4:3, "
Points");
print(file("c:\summary.txt")," ");
print(file("c:\summary.txt"),"Return on account (All trades)     =
",return:10:2, "  %");
print(file("c:\summary.txt"),"Return on account (Yearly average) =
",peryear:10:2, "  %");
print(file("c:\summary.txt")," ");
print(file("c:\summary.txt"),"////////////////////////////////_\\\\\\\\\\\\\
\\\\\\\\\\\\\\\\\\\");
end;
end;


> -----Message d'origine-----
> De : Mark Brown [mailto:markbrown@xxxxxxxxxxxxx]
> Envoye : samedi 26 mai 2001 22:30
> A : OmegaList@xxxxxxx Com
> Objet : Re[2]: need some ideas to (dis)prove an assumption
>
>
> Hello  pierre.orphelin,
>
> po> For your information, I have programmed this 5 years ago for
> a french bank.
>
> oh  yea,  well  i'll  belive it when i see it..  showme yours and i'll
> show you mine.   if there is interest right, can we say franc?
>
> po> Sincerely,
>
> po> Pierre Orphelin
> po> www.sirtrade-A-NOT.com
> po> TradeStation FUNKnologies regurgitated in FrenchLand
>
> Have a Great Day, Mark
>
>
>