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??? it's double diagonal, it's not conflict

now it is more clear to me as well. i understand moneyness and i will insert it in my database. how can i normalize the DTE ? i have theta, it's simply decreasing the value of theta from the option price, or something else ?

if i normalize everything including IV i will get what you wrote - price that is unusual, out of ordinary and i want something else - i want a measure to put the price in perspective. to see how much it is higher comparing to the last year. yes, it will probably be in correlation with high IV...

cvds16 - thank you for your inputs. i would like to develop an idea, maybe it will fail and maybe it will succeed. i don't need people to put me down by telling me all the time how much my ideas are foolish. There is no innovation and creativity without failure. Period [Brene Brown]

not fully accurate - i don't want to compare option of symbol 1 with option of symbol 2 i want to create a price rank (like IV rank/percentile that we saw in TastyTrade). but the idea is to take moneyness, normalize the DTE, (and i think without normalized the IV !) and check the price...

it's not fully clear to me too, it was a shot-in-the-dark idea, very preliminary.

stepandfetchit - i will be glad to look at it.

you can look at the current IV value, and compare it to the IV of the last year, just to get a sense of how high/low it is. it does NOT says it cannot go even higher/lower, but it will most likely do that (as mean reversion) and as TastyTrade showed again and again, the IV Rank was a game...

yes, i will look at once i buy the data, this is the reason i put it on the side right now, continuing with other stuff, and i will be back to it when i buy the data and i will see what they are offering Shay

yes, i know about the skew. it doesn't answer my question, i want to compare 10 point OTM put with other 10 point OTM put at different day and i hope with different DTE, and if i could compare 10 point OTM with 5 points it will be great (although might be difficult due to the skew) i will...

Hi, i want to develop an idea - price percentile (or price rank) like the concept of IV Percentile (or IVRank) where we are looking for the current IV, and compare it to the IV of the last year, checking in which percentile the IV is now (high IVR is much more profitable with TastyTrade...

very nice test i think there is a bug there - i am getting a lot of errors like - Notice: Undefined offset: 1770 in C:\Apache24\htdocs\report.php on line 92 and "Daily Sharpe Ratio Last Two Years" is 100% in all my tests (even when i choose only the right charts) is there an improve version...

sysdevel99 - yes, the BPE is the margin (regular). Max BPE - 4671$ Avg BPE - 3511$ PnL per day - 2.13$ ROC (for all the period) - 119% ROC per day (0.04%) i prefer to look at "ROC Per Day" and not just the "ROC", because then you can compare system that run 2 years with system that run 4 years

as promised - my results (after correcting my bug in expiration) i use Bid/Ask (and not Mid Price) for : Selling Straddles Enter 1st Trading Day of the month, around 45 DTE Held until Expiration 56 trades from 01/01/2010 until 30/09/2014 PnL : 5595$ # of Wins : 33/56 Biggest Loss : -1584$...

a few updates. i got the detailed trade list from TT, so i could compare each trade. there were some problems that i saw - 1. i had a mistake when closing the trade at expiration (i didn't calculate it correctly) 2. they are using Mid price, while i used Ask/Bid. meaning - every single trade...

i agree that some metric like this may be important to some people, but for this specific test, i don't have such value.

stepandfetchit - # consecutive winners - system #1 = 6, system #2 = 7 # consecutive losers- system #1 = 1, system #2 = 1 max DrawDown - system #1 = -175, system #2 = -150

regarding Sharpe Ratio, looks nice, but - it has some disadvantages - http://www.futuresmag.com/2013/02/01/sortino-ratio-a-better-measure-of-risk

botpro - it's not an actual system ! sorry if i misled you. i just entered some values in excel, so i should get the same PnL, same profit %, ... and i wanted to here what else should i check, for future back test so we will know better how to compare systems.

Gimpyron - Avg Win Vs. Avg Loss - doesn't say a lot here, system#1 Avg Win = 25, Avg Loss = -125 system#2 Avg Win = 20.2, Avg Loss = -93.75 sysdevel99 - Avg Profit per trade is the same in both systems, because both systems have Avg profit of 5 (let me know if you wanted to calculate it...