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The acceptable way for someone knowing the basics of statistics is to explore via simulation the entire sample space (a universe of plausible sample paths). The backtesting story, imho, is some nonsense put forward by someone with little understanding of stats, and unfortunately, the herd just...

About the option: ES FOP 20220729 2800 P GLOBEX 50 E-mini S&P 500 [EWN2 P2800, 542609194, mult: 50] which we observed to have a spread worth $2.5K, you can see now that approaching RTH, the spread becomes more acceptable ($625) and even the layer PNL turns positive...

is this for real or a social experiment :-) ? (-100) - (-200) -------------- 100 = 50 % abs(-200)

IB API has full support to trade a structure (advisor) with any number of linked accounts. In practice under 1 login (port number), you will see all the managed accounts. You can trade them individually, or you can trade them all at the same time from the Fxxx (Advisor) account, by defining one...

mine is the best. Of course :-)

Nope. Anything can be done via software. You can superpose any number of opposite positions in your software and just trade the algebraical result. And not only you can superpose opposite positions in one layer, but you can also do it on multiple layers.

lol. this indeed sounds like attaching a caravan to a disassembled Ferrari :-)

Today we reached another PNL peak, with ES rising above 4000. PNL touched actually $ 85.4K, while at the moment is $ 77.6K (about 116 days elapsed). The options that we "transferred" (rolled) yesterday: ES FOP 20220624 2800 P GLOBEX 50 → ES FOP 20220819 2750 P GLOBEX 50 ES FOP 20220617 2400...

Today we broke our last high-water mark, by touching 75.7K PNL. Currently, our net PNL is 74.2K (115 days so far), and we have also spent almost 10K in commissions. ES has been slowly moving upward, which clearly help to crash our options prices: Today I have rolled a couple of layers...

Week ending with an even more marked decline of the S&P, with exception of the very few last minutes on Friday closing, where there was a (relatively) remarkable bounce: Last prices arrived: 3902/3902.5 Not the easiest market to trade, but we are still holding on fine in the bear market...

Quite busy doing some more enhancements (I will explain below) and monitoring all my "investors" (everybody in profit). Anyway, let's take a look at what is doing our ET "illustration". Es has been recovering a bit since the last time we looked at it on Friday: Global situation of the...

It turns out it wasn't a too bad decision to free margins as the market has been going further down: The fact that we keep "distant" allows us to enjoy relatively smaller volatility and still grab decay which protects us from large dd: and actually, our PNL even increased with respect to...

Starting our 100th day of trading. The mkt has been going down during the last few weeks: Folio situation: With 63,6% of current funds usage (PNL 61K currently). All our options are pretty "far" and essentially on the "green zone" of our new risk gauge. Except for this one which is in...

A straightforward way to make an intuitive assessment of the "riskiness" of an option could be based on the distance between the strike price and the price of the underlying. But, of course, it must also depend on the remaining days until expiry. For instance, say that we have 30 days to...

3 of those are just non-sense (imho).

This evening I have been working on another little visual improvement. I have added a small indicator of the "riskiness" of an option. A riskiness gauge for each option. This is pretty useful to see the situation just with one simple glance when one is rushing to supervise the folio or many...

Every player will have its own DD (as large as it gets). Actually, most of the time a player exists in DD only. Because as soon as it makes its profit, he "dies" and is even forgotten by the scalping/hedging engine. Sad destiny. Almost metaphor for our human lives :)

There are "no trades". (I told you to remove from your mind that notion. It's a "naive" point of view that does not help with algorithms. More abstract thinking is needed here.) Players can only either end their "life" in profit or remain in an "open" state forever (there is no "stop-loss", or...

You have an immediate example in the screenshot in the previous post, where we start with a sell followed by a buy at a higher price:

You have (time is immaterial): SELL 20 @ 4 (open a sell player of size 20) BUY 10 @ 12 (open a buy player of size 10) First of all, remove from your mind the image of this sequence as a "trade". You do not have to look at this as a "trade", but as 2 individual players waiting to be closed...