Strategy/spread scanning

S

Surgo

Interactive Brokers TWS has a solid strategy scanning tool in the Strategy Builder. It's pretty straightforward: you put in your forecast and it optimizes available strategies for you given the current pricing data. It's great, especially for a free tool. It feels pretty limited though -- it is only capable of optimizing across one dimension. I can say I expect price or IV to do X by a given date (which corresponds to an expiration), but I can't do it for multiple expirations at once, or have a logical OR of combinations, or target dates that aren't expiration dates.

Thus, is there any software that has this sort of functionality that TWS does but far more comprehensively?
 
It's not magic, if that's what you're implying. It just optimizes in the sense that if there's a strategy with break-even at points (x, y) and one with break-even at points (x-a, y+b), it's going to show you the latter (simplifying a lot here by ignoring variables like downside risk etc., but you should get the picture). It can run over all combations of all strikes for an underlying in a few seconds whereas for me to do it by hand would take me hours.
 
Surgo said:
It's not magic
More...

I was a real question. I have used option scanners myself including LiveVolPro. I have had clients use equity scanners. It's not clear to me that they provide value. So I'm just asking if they have been profitable to anyone. TWS or any other one. Do they help provide an edge?

They did not for me.

Bob
 
I can't say if the TWS scanner has made me money or not. What I can say though is it's stopped me from entering trades where the risk-adjusted upside wasn't nearly what I thought it was due to incorrect or mistaken assumptions on my part. That was very valuable for me.
 
rmorse said:
I was a real question. I have used option scanners myself including LiveVolPro. I have had clients use equity scanners. It's not clear to me that they provide value. So I'm just asking if they have been profitable to anyone. TWS or any other one. Do they help provide an edge?

They did not for me.

Bob
More...

I can't see any reason to use this, you either have a Trading Plan going in that has your edge or you fumbing around with "what ifs"?
 
You must log in or register to reply here.
Back
Top