Recent content by Quantify_This

I just realized this is much easier to see as a log plot.

I appreciate having my assumptions challenged, because it forces me to think more deeply. I think part of the rationale for discrete time slices rather than tick data is convenience of being able to process things more quickly. But that does not tell us anything about the adequacy of 15 minute...

As I see it, the only reason would be to optimize entry rules, adjustment rules (balancing delta or vega, for example) or exit rules. Sure, you could do this with EOD data, but then you would be ignoring the intra-day market whipsaws, which could trigger adjustments or exits, but would not show...

If you are getting in and out in the same day, I see your point. On the other hand, if your game is primarily theta or vega plays (symmetrical Iron Condors, Iron Butterflies, Calendars, Double Diagonals etc.) you need to stay in the market days rather than minutes, and touch the position as...

Do you mean you don't need intra-day data, or that 15 minutes is not sufficient granularity for your needs? I think for covered calls, LEAP strategies, etc., EOD is perfectly adequate for backtesting. But for someone who trades weekly options, intraday data historical data is essential. Some...

I think this might be what you're looking for: http://forums.quantycarlo.com/index.php?threads/where-does-the-data-come-from.44/