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Agreed. However the point remains that the Black Scholes framework does not allow you to predict the future in any sense. The framework may indeed tell you that given assumptions in the market today regarding volatility the option is priced more or less "correctly". What is does not tell you is...

Unfortunately as we know Black Scholes assumes stock returns are normally distributed, which they are not. It's an art not a science. All of it. If we live in a deterministic universe maybe precision will be possible eventually, using AI. However even if this proves to be the case we know that...

Exactly. You need a far longer term analysis. EG here are the winning accounts for 2008. Here are the winning accounts for 2009. Did any survive? All the published data out there is riddled with survivorship bias.

Here is a simple trend following system based on simply reversing the Mean Reversion system posted previously. Provision is made for slippage and commission but position sizing is still not fixed fractional. The latter however is easily coded if desired.

It would be very interesting to know whether anyone has conducted an updated survey of trading accounts. It has always been said that 95% + of accounts lose money. What about the 5% who were profitable at that last survey date? Are they still around? Are they still profitable?

I think providing a product to other traders is the key. People like Simons at Renaissance have made their success out of providing liquidity and profiting from the bid offered spread. And of course it is said the HFT guys may be able to gauge what orders are out there and trade accordingly?

They do. But in the end the people who profit most are the suppliers of equipment not the traders, as in the days of the Gold Rush. Sell picks and axes and shovels don't prospect for gold?

"to determine if IV is expensive or cheap" Rather like with PER (to high? too low?) or any other facet of the markets this is not something which is ultimately determinable.

The following are free: Quandl Alpha Vantage Both are excellent. I access both using Python but there are other options. You can still use Yahoo easily enough if you are adept in Python using the following library: import fix_yahoo_finance as yf

By the way, my gist has a number of options related Jupyter Notebooks, including ones designed to cope with the extremely difficult task of reading cboe options Data, cleaning it, and making concatenated series of options prices given a choice of expiry and strike. By way of example:

You might want to think about creating your own theoretical options data. A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models. Given that you can pay a small fortune for each option series you purchase from the CBOE, it occurred to me...

Generating Theoretical Option Prices A while ago I put a lot of work and effort into looking at Black Scholes and various other option pricing models. Given that you can pay a small fortune for each option series you purchase from the CBOE, it occurred to me that you may as well back test on...

The entries are made at the open following the close at which the moving average is calculated. IE the next day. Regarding commission and slippage, as I said in the opening paragraph, these provisions are easily included.

Thanks for looking! Its no fun designing all this stuff unless you get some feed back and interaction. I hope to post quite a few more systems here as I go along. all comments and criticisms welcome.

A Simple Mean Reversion System I have back tested and traded relatively simple systems using daily data for almost 20 years now. For many years I relied on two excellent but ultimately limiting commercially available packages: Trading Blox and Mechanica. I then branched out into using Python...

Mine is very much single purpose. But it certainly does the job. These days I prefer to work in Jupyter Notebook and have single purpose systems right in front of my eyes with DataFrames that I can print out and analyse with Excel. As you are probably aware the big, big problem with options is...

Undoubtedly the best way is to code your own. Same with back testing engines. Neither rouite mean you will necessarily make any money out of trading. But it will certainly educate you in the markets.

Make your own. I have quite a bit of detail on my GitHub and some samples based on Vix Options. Ultimately I believe this is your best way to go. Create your own thing in python. https://gist.github.com/AnthonyFJGarner You will find details in Jupyter Notebook form, of how to read in CBOE data...

Yes, agreed. Paradoxically of course the one thing we all rely on for our pensions is "trend" but without the market timing element. And of course this is "buy and hold". The tendency of stock markets for the last few hundred years to trend upwards over time. Covel just wanted a quick buck...

Trading Blox was very good software. For one thing it enabled people to see just how outdated the original short term 20 day breakout really is. Faith and his partner and childhood friend did a very good job. Sadly, it looks like the Tradingblox forum is dead. There used o be some bright and...