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The equity curve generation options backtest engine with configurable
combinations, entry/exit strategies and volatility plays is complete using
a theoretical options price engine using binomial, BS and Bjerk-Stens.
The alpha "options data base look up engine" has been developed.
It has been very interesting to actually "test" some strategies extolled
by individuals. (I have not done a dispersion engine yet)
As expected, the theoretical pricing models need layered distributions
and skews to adequately correlate to reality. There is a lack of literature
on correlating models to actual data (amazing to me) and all the options
modelers
I've talked to acknowledge that the models don't reflect reality well at all
and have
looked to me to calibrate them with embedded distributions I empirically
generate.
This is a project in itself so I am asking the community if anybody (for
sale) has a calibrated
Binomial (100 layers) or Bjerk-Stens model that reflects reality verified by
error metrics
(SPX, OEX and S&P futures to start)
OR
Is anybody interested in a "paid" project to complete this?
Thanks,Mike
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