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can you give examples or good links for continously hedging

i opened a new thread on general backtest, i hope all of you will join it too - http://www.elitetrader.com/et/index.php?threads/backtest-variables-compare-between-two-systems.298294/#post-4255294

Hi, what do you think we should check when doing backtest ? Total PnL % Profit trades Largest Loss Largest Win Therotical % Profit what else ? here are two examples Both systems has - total PnL 150 % profit 87% Largest Loss -150 Largest Win 25...

i didn't resolved the IV Rank yet. i will check this issue once i buy the data. i didn't want to waist time on things that i might get with the data, maybe i will put B&S calculations or not, it depends if the data i will buy will be sufficient for me or not. so i decided to leave it a side...

TT answered - We only use EOD data. We only use intraday data when the study is focusing on intraday stuff.

OK, i got answers from TT research team - they replied - I didn't run the study back then, so I just ran the same study again. Here is my results: Total PnL:$5,510 Win: 35 Max Loss: -1,445 My numbers are actually in between yours and our previous study. And the max loss is even smaller. I...

Great answer !

thanks for your input Diamond Geezer. yes, i saw the test with GLD and TLT, i went over all the shows with SPY, and i looked just for tests of SPY only, and only in the years i have (i currently have only from 2008, and not from 2005 like some of the tests they have). so i have only 5 tests to...

stepandfetchit - Great work ! 35 wins in 56 trades with final PnL of $5,925- ok, we are getting closer to TT can you export each trade somehow - date, prices, PnL ? Shay

i wrote to TT, and i hope i will get an answer soon (hopefully a detailed answer). i will keep you posted. i agree with stepandfetchit - i don't know the time of the day, and i am using EndOfDay data. botpro is also right about backtesting, and i will keep in mind those things. Shay

i know i can take random numbers and check with them. but i want to compare apples to apples, i already have data, and i wrote backtest code, now i want to check if my code is ok, and the best way to do that, is to take known results and see if i get similar results with my code. this is why i...

they don't show the tradelist. only the summary that you can see in the slides. i checked avg(Bid, Ask), and the results are : PnL :6064$ # of Wins : 34/56 (still, too much missing winning trades) Biggest Loss : -1531$ i don't have "last" in my data. i hope someone can do the same backtest...

Hi, i have SPY data that i purchased from iVolatility i inserted the data to MSSQL database, so i could do backtests easily i checked some strategies, and i am trying to compare the results to what i see in TastyTrade. and the results are different, and i wonder why. the reasons can be - 1...

can you tell us what kind of option trading have you done in the last two years ? Did you Buy Options or Sell ? ATM or OTM ? Naked or spreads ? Shay

stepandfetchit - yes, i know about the IVs in TOS, and i know there are some VIX like for other symbols (but not for all !) but as i said, i want all the data exported to MSSQL so i want to calculate the data, so every symbol will have IV Rank and not just those with VIX like. ivolatility and...

this is why i want to test it myself :-)

just an example you can see with TOS ThinkBack : JPM on 24/02/2015 the price was 60.82 you could buy the 70 call Sep15 (206 days) in 0.58 on 18/05/2015 the price was 66.42 and you could sell your call at 0.97 Shay

i agree that the calculation is problematic, but the results they presents over and over again, with or without IVRank, are very different in favor of using IVRank.

by the way, i asked the research team of TastyTrade, and they said - "We use the IV of the underlying, not of a specific strike. This IV is what is used for the IV Rank Calculation". Shay

stepandfetchit - thanks for your answer, yes, i want to get specific. as Tastytrade said, IV Rank was a game changer for them, and i want to see it myself, i want to do backtests, and see if they are right (i don't like the tests they did where the starting year is 2009, because in my opinion...