??? it's double diagonal, it's not conflict
now it is more clear to me as well. i understand moneyness and i will insert it in my database. how can i normalize the DTE ? i have theta, it's...
if i normalize everything including IV i will get what you wrote - price that is unusual, out of ordinary and i want something else - i want a...
cvds16 - thank you for your inputs. i would like to develop an idea, maybe it will fail and maybe it will succeed. i don't need people to put me...
not fully accurate - i don't want to compare option of symbol 1 with option of symbol 2 i want to create a price rank (like IV rank/percentile...
it's not fully clear to me too, it was a shot-in-the-dark idea, very preliminary.
stepandfetchit - i will be glad to look at it.
you can look at the current IV value, and compare it to the IV of the last year, just to get a sense of how high/low it is. it does NOT says it...
yes, i will look at once i buy the data, this is the reason i put it on the side right now, continuing with other stuff, and i will be back to it...
yes, i know about the skew. it doesn't answer my question, i want to compare 10 point OTM put with other 10 point OTM put at different day and i...
Hi, i want to develop an idea - price percentile (or price rank) like the concept of IV Percentile (or IVRank) where we are looking for the...
very nice test i think there is a bug there - i am getting a lot of errors like - Notice: Undefined offset: 1770 in...
sysdevel99 - yes, the BPE is the margin (regular). Max BPE - 4671$ Avg BPE - 3511$ PnL per day - 2.13$ ROC (for all the period) - 119% ROC per...
as promised - my results (after correcting my bug in expiration) i use Bid/Ask (and not Mid Price) for : Selling Straddles Enter 1st Trading Day...
a few updates. i got the detailed trade list from TT, so i could compare each trade. there were some problems that i saw - 1. i had a mistake...
i agree that some metric like this may be important to some people, but for this specific test, i don't have such value.
stepandfetchit - # consecutive winners - system #1 = 6, system #2 = 7 # consecutive losers- system #1 = 1, system #2 = 1 max DrawDown - system #1...
regarding Sharpe Ratio, looks nice, but - it has some disadvantages - http://www.futuresmag.com/2013/02/01/sortino-ratio-a-better-measure-of-risk
botpro - it's not an actual system ! sorry if i misled you. i just entered some values in excel, so i should get the same PnL, same profit %,...
Gimpyron - Avg Win Vs. Avg Loss - doesn't say a lot here, system#1 Avg Win = 25, Avg Loss = -125 system#2 Avg Win = 20.2, Avg Loss = -93.75...
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