Recent content by ospkfne

How about using IQFeed or eSignal? They both provide a free trial.

dratsum, thank you for pointing that out, weak RNG could be a possibility. It would be a good question for botpro: is your system exploiting default_random_engine generator?

Oh, really? Can you be specific and tell us which flaws are already in GBM? Yeah, this particular trade is obviously very profitable, you made 35.73% in 4 days. We all understand that options can sometimes make 2x, 5x, or 10x, some OTM 100x. What you need to change in your thinking though is...

When you introduced yourself you wrote that you were a math researcher, so I thought you would be able to comprehend the theoretical reasoning behind what I am trying to explain to you. I even tried to build the simple program for you that would demonstrate and confirm my arguments. Anyway, I...

It's very simple and I am repeating it all the time! You claim that your system can produce profits while tested in a simulated environment using 100% efficient, unbiased, and fair pricing algorithms GBM and BSM. That is impossible in theory. You are basically claiming that you can make money by...

It's only 2000 records per year, one record per roundtrip trade. That should not be a problem to process with my program to check if buy and sell price of options match. Trust me I am pretty good at judging other's programs. Very often a fresh pair of eyes finds a bug that original developer...

OK, glad you tried my program and it looks like you agree that buying and selling any single option at any time has ~0 expected profit if the option is priced using GBM and BSM. Now why don't you verify profitability of your sys13 as follows: 1.) Your sys13 generates N trades that give you...

OK, I reviewed your options pricing code and it looks good too. Now having both GBM and BSM algorithms available I can try to show you why using them you can't demonstrate a profitable option trading system. The short answer is both GBM and BSM are designed to be fair and unbiased, which makes...

I checked you GBM code and it looks good. Now we need to review your option pricing code and verify that you applied the same parameters (volatility, drift, time structure dt, etc.) that you used to in GBM. Would you mind publishing your option pricing algorithm? If you used the standard...

Maybe you could publish the specific code that you use to generate the brownian data and to price the corresponding options and someone might help you find a bug. If everything was correct in your model, then the black-scholes formula would calculate fair (or risk-neutral) price of options...

You might have some discrepancy between the data you generate and the parameters in the option calculation. For example the Excel spreadsheet you refer to shows volatility 0.07 and drift 0.1 while the black-scholes formula you refer to shows volatility 0.3 and no drift. Are you sure the data you...

Man, it is impossible to make a profitable trading from truly random data. Unless it's something goofy like I could beat the roulette if I could double my bet infinitely until I make my initial $1 bet back. You must have a flaw in your model, my feel is you misprice the options somehow - for...