Matt_ORATS
Sponsor
No, we cover US equity options back to 2007 including VIX, SPX cash indexes, ETFs, ADRs and stocks.
Here's what an output report looks like:
Options strategy backtester
- Thread starter Aquarians
- Start date
Here's what an output report looks like:
Hey Matt,on your output report,is there any way to see relative performance of the option strategy vs position in the underlying instrument?? Would like to see equivalent holding periods versus one another..
No, we cover US equity options back to 2007 including VIX, SPX cash indexes, ETFs, ADRs and stocks.
Here's what an output report looks like:
No, we cover US equity options back to 2007 including VIX, SPX cash indexes, ETFs, ADRs and stocks.
Here's what an output report looks like:
Matt_ORATS
Sponsor
Yes. Thanks for the question. I just put up a blog on this.
You can view the relative performance of the options strategy in a backtest to those of the underlying instrument by downloading the report.
You will get a downloaded zip file. Open StockStats:
Do the same for StrategyStats. Add them to the spreadsheet and put a formula in as the stock return minus the options return.
You can now see how the options strategy fared versus the stock.
More here
Using Gold mining as an example. You have the mining tools but do you know where to dig for Gold? You won't find Gold if you are not digging where the Gold is.
There are literary millions of options out there and everyday millions of new ones are created/updated.
I am not discouraging you, after all I am just a mom and pop retail. I happen to think you have a wonderful tool, the next step is to know where to search or develop a searching tool to allow you to test the right derivatives.
I know you are very smart and have been working very hard. You deserve a break. Good luck and best wishes.
Definitely.
I've tested estimatively 100s strategies. And by that I don't mean literally option combinations like say "iron condors", which are useless without a model behind them which tells you that you are right and the market price is wrong. I mean the models (indicators) behind those option strategies and as Dunning–Kruger biased I might be, I think there's some objective truth in my self-appreciation as being competitive in the hardcore quantitative areas. I'm skilled enough to realize what I know but also how imensely much I don't know and the effort to grasp those subjects to a level where I would stand a chance in a competition for a job with international math olympics kind of applicants.
So one very hard psychological wall to cross is accepting that I'll never be strong enough to win a job competition with these guys. I'm realizing, a bit philosophically, that I'm mediocre and far from being the optimum point, best of both extreme worlds, I'm actually in the worst position. If I were truly dumb and incompetent, I'd be happily living in my bubble, either not even daring/caring of making a breakthrough in finance or thinking whatever stupid crap I'm doing places me on top of this world. Conversely if I was truly one of those guys that either through sheer genius or sheer effort (on top of not dumb), cling to the top of this finance world, I'd be making breakthroughs after breakthroughs, at least as reflected by my paycheck, bonus and benefits.
Instead I'm too stupid to compete in Premier League and at the same time too talented to be happy or even mentally reconciled with holding a Series C goalkeeper position.
Thanks for the kind words, dare I say Ironchef, you are a good man. Or woman, or not binary defined or suggested by your name. I speak 18k+ words in your language but still live in a (part of the) world where 1+1=2 so may I be excused if not properly grasping the currently accepted PC vocabulary in the US
Anyways, I'm planning a vacation (from all this hard work), but first I wanna get my damn PhD in mathematics after pushing the due date to it's legal limits, and that's not only because I'd have to pay back the money that the state has invested in me for this endeavour. In contrast to the US, here the state pays you to attend university essentially for free (and upper levels but not the PhD), instead of you doing it. And it's obviously wrong since it's effectively betting on other guy's money, the drive to recover the investment is not nearly as hard as even in Western Europe, let alone cutthroat US, but if the state wouldn't do it we'd all be living in trees as we speak, if not already exterminated by people with more drive for studying.
Thing's with a PhD in math or without a PhD in math from the "Babes University" (yes, I know what it sounds in English but take a look at the whereabouts here: ), I still will not get a f***ing job in fu***ng finance. And by this point I don't even ***king want one.
Not to say I don't fu**i*g want to be rich, as I always wanted. For me rich means:
1) Freedom
2) Power
3) #3
And by "wanna get my damn PhD in mathematics" I mean I got several interesting things lined up, which have zero chance of making a breakthrough in math but stand some solid-state-physics chances of making it in pure gold. Not sure if I told you but there's two universities in town, the "theoreticians" and the "engineers", I'm an engineering graduate >
The reason I infiltrated the anti-party is not as much to show them they're imbeciles for insisting on stupid minute details (which take years to develop) rather than going straight for the money, and even though we're engineers and not pure mathematicians this doesn't know we don't know what a countour integral of a partial derivative stands for and how we can compute it. Truth be told, in engineering school we wuz like 95 men and 5 girlz. One of my friends had a sister at the Babes university though and confidentially though him and his sister (
) I found out the ratio was effectively 2 guys there. In the entire graduation year, more than 100 if you want to know.This:
When applying for jobs, I think the following: Would the Bill Jobs of today, solely on technical knowledge, pass an interview with an ignorant smug who not only thinks all he knows is all there is, but has the power of life and death upon you with the little shitty piece of universe he knows, admittedly, well. No he wouldn't. He'd end like the last emperor of China at best. Would the emperor of China be forced to play at the same ground level they let their subjects play on. Now I won't be so evil as to say "enforce their subjects play on" because that's not true. The game is what it is and after losing it enough times in the quest of making it better for everyone you eventually realize it's OK to drop the dream and just make it better for you and everyone near to you.