It is not easy, but it is better than wasting your time to figure out the "configuration" in options that can make you money ..
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This Forum overtrades options
- Thread starter bwolinsky
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It is not easy, but it is better than wasting your time to figure out the "configuration" in options that can make you money ..
Quote from DontMissTheBus:
As a CFA charterholder (who thinks CFA is worth little), please shut the f* up.
<i>I'm a whiny, jealous type who does not like to promote the integrity and competence or strive to improve the integrity and competence of CFA charterholders and candidates.</i>
Get lost. I can probably report that but it'll be removed.
I have been a professional since 2006.
Quote from BeatingtheSP500:
you must be selling the teenies and those 5% losers must be whoppers. or maybe you're not profitable 95% of the time.
Upon completing my optimizations all of my trail stops happen 20 or greater ticks away and even over 100 ticks for oil from the entry price then they usually fall to somewhere below their MFE but above for a profit, obviously.
Quote from atticus:
You can't apply delta1 backtesting to products with many orders of convexity. Px & vol; delta, gamma, theta, vega, rho; vanna, vomma, charm... the modality of delta alone would be a bitch.
Knowing what is absurdly obvious to everyone here; why not simply backtest the underlying?
The rationale for trading vol is the convexity. Coincidentally, it's also the reason that you don't backtest vol.
We <b>were </b>backtesting the underlyings.
The synthetic continuous option I know doesn't exist but if you took IV and knew delta, you could analyze historically what those might have been in the past and create an approximation for volatility on your position.
Surely you must look at charts at least when you're trading Atticus? No? Just numbers Vola, Vega, theta and rho? That's all you need?
Quote from sle:
Actually, no, you can't.
So you can't estimate from the moves in the underlying what percentage change the option will move from historical IV and if you know delta?
Yes, you can. You only need to know what delta was at the time and even if this can't be automated I know that that is how most people would approach it or how I would.
Quote from sle:
I do, actually, and I have reasonable doubts that your are as successfull as you claim to be.
Oh, I'm just starting, and I've never said I'm that succesful. My models are, and that's all I'm saying. They will equal billions in the end for me unless I project too much and get knocked off by a looney before I have enough money to pay for a body guard.
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