Search results

Hi JHarmon, regarding the survivorship bias - you are correct that I do not consider current membership in the S&P500, which is a criterion in Clenow's original strategy. Also, the list of instruments is incomplete, I use about 200 of the top liquid instruments while Clenow used the full...

Hi Qlai, good question. I unfortunately cannot legally redistribute my historical data. The project includes data setup files for the instruments used in the demos (and I just added setup files for a few ETFs used in the showcases). With these setup files, TuringTrader will pull data from...

Thanks for the suggestions Mark, I'll have a look at these. My list was by no means intended to be complete; I simply chose some publicly available algorithms, to showcase TuringTrader's capabilities. Is there a specific technique in the books you mentioned, that you would like to see...

As a showcase for TuringTrader's capabilities, I have implemented the algorithms described in the following books: Muscular Portfolios, by Brian Livingston Dual Momentum Investing, by Gary Antonacci The Ivy Portfolio, by Mebane T. Faber Stocks on the Move, by Andreas F. Clenow See this blog...

Hi InvBox, I understand your pain in regards to porting your code to a new platform. But as you've probably already noticed while doing this manually: it is not trivial. This implies that writing a tool to do so is going to be even more complicated. While NinjaTrader and MultiCharts both run...

well, at least XSP is alive and kicking. http://www.cboe.com/products/stock-index-options-spx-rut-msci-ftse/s-p-500-index-options/mini-spx-index-options-xsp

There is a semi-mathematical explanation. Black-Scholes gives the so-called arbitrage-free pricing; a price point at which random trades will average out to break-even. By using Black-Scholes backwards, the implied volatility is calculated; the volatility that would explain the prices observed...

It's their own creation. Overall, it is as verbose as Pascal, but also as loose as Basic. It lacks a lot of the more advanced features, like user-defined data types, pointers. In return, it adds mechanisms for processing time-series data. Cheers, Felix

Yes, it does matter if you're in a bull or bear market when selling puts. Selling puts is generally a bullish strategy, and the risks of your puts expiring ITM rises. For your specific strategy with less than 7 DTE, maybe not so much. For a longer time horizon, you would need to somehow adjust...

In general the nature of options trading is to create a nice and smooth equity curve, until that one event strikes, that results in a sharp drawdown. Some math helps in understanding the chances of making money. When comparing VIX to historical volatility, you will find that in general VIX is...

Hi RVSW, I am the maintainer of TuringTrader, which is an open-source backtester for equities and options written in C#. I am successfully using it for simulating equity portfolios, and option trades on daily bars. Here is a quick list of features: simple Windows Desktop UI for interactive...