Recent content by rossmedia

Thanks all for the PM's.

At the prompting of several members, I finally started a blog. Its content is broader than just trading, but today's blog deals with market context and the assumptions traders make. Comments welcome. http://writeinvestment.blogspot.com/ R

That is what I thought, but I was not certain. Thank you much! R

Jack, No it's not a trick question at all. A serious one actually. So are you saying that my return would actually be -2.622 if adjusted for LIBOR that month (which is what I meant in my first question, deduct libor from return to get my net). That means someone with 10mm cash could have...

Is everyone asleep already? R

Assume a strategy's gross return is designed to deduct the money would have earned if it was not invested and instead sat in a bank earning the current LIBOR monthly rate. Follow the link below (It's a chart of historical LIBOR) and tell me what would have been the return for an investment...

I hear you sys. If one utlizes the closing bid/ask spread and assumes you bought the offer and sold the bid would not that make the back testing more similar to testing stocks...ofcourse we have the IV mean, deltas and everything but if you are only going off of EOD data as your consistent buy...

Wow, no one with EOD historical index options data that can back test a strategy?...Maybe I'm posting in the wrong forum. R

You would need to have domestic market data in your data base. R

HoCK, PM me your contact info so I can explain what I need and the parameters involved. Thx.

EOD data is all that should be needed. R

Need quant (or trader with deep understanding of derivatives trading) to backtest a strategy. Please PM me for more info if you have the acumen and systems for this project. Will pay. R