Recent content by taotree

I have read several articles about it. Sufficient that I wrote code to backtest it. However, I haven't seen anything analyze or explain exactly how one can control results by fiddling the parameters (eg. days to expiration for entry and exit, exact delta and other greeks, etc.). I've tried a few...

I'm investigating setting up leveraged positions for equities without borrowing, so using options or such. I've read about Zebras and familiar with them. I have run backtests with rolling ZEBRAS (2 long + 1 short calls for a delta of around .9 or 1) on SPY and the overall shape mostly matches...

I want to do some analysis on daily prices of stocks in the S&P 500 over the last 10-20 years. Most datasets I have found only contain the stocks in the S&P 500 right now, but analyzing only that list is subject to survivorship bias. I found a dataset for the list of components in the past. Now...

Thank you! I figured it was something like that, but didn't see it specifically confirmed like that. I just realized, that's probably what the prospectus is for... Yep, here it is on page 75 (77 in viewer): "The regular quarterly ex-dividend date for Units is the third (3rd) Friday in each of...

My broker's API provides historical dividends dates, but not the next one, which I need. Is there some way to calculate or a source (programmatically accessible) to get the next ex-date for SPY?

polygon.io: only goes back 5 years (according to their pricing page). tickdatamarket.com: I couldn't find SPY in their list of data. tickdata.com: option data only back to 2020-11-16, though that's quote data and maybe they have trade data back farther. I stumbled across thetadata.net. They...

Thank you for the replies. I had looked at Orats briefly but missed that the 2 minute data went back to 2015. I should have mentioned that I do not need greeks or IV, so that's fine. I'll give that some thought. I'm not finding intraday options data on historicaloptionsdata.com

I'm looking for the following historical intraday options data: - primarily just for SPY (but might be interested in a few others, but just SPY would be fine) - preferably at least 30 minute (1 hour would be ok) increments - preferably since 2010 or at 10 years of data - up to the past half...

I have seen one or two indicators that display scheduled economic calendar events that may affect the market. But the ones I have seen don't work historically, which I want so I can test. I'm working in Ninjatrader on ES/MES and want to be able to access these events in advance from an automated...

I'm pretty sure they do it because of storage space. I have a reasonably compact format (specified to the bit level, though not compressed), and that takes 10-20 MB per day not including level 2 data, I think. I have been timestamping in NT but I should have the API set up soon.