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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
>
>
>
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