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Favorite Futures: Mainly NG and GC, Futures option selling. Spread researcher currently
Posts: 443 since May 2013
Thanks: 369 given,
170
received
backtesting futures option strategies - any tools
TOS can use Thinkback for Stocks (go back in time and allow to create a simulated strategy) and walk forward with adjustments - this does not work for futures options
No way in IB Risk navigator i know of> I changed the date to past in what If but that didnt give me any accurate info
What abt CQG Qtrader or other tools where we can do backtesting for futures option strategies?
I think so, but only temporarily. My cycle analysis timed the bottom perfectly, and indicates a 2 week rally to Friday Feb. 5th, then a resumption of the decline.
In my opinion and 30 years of trading experience, high volatility is actually the absolute best time to be selling options, as premiums are very inflated.
The following 3 users say Thank You to Warren534 for this post:
Hey Ron I hope you're doing well. I wanted to put together a quick test to see how your two trading methods Would hold up during this latest market downturn.
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As you can see, the naked position actually held up a whole lot better than the spread. But neither one of them would have forced an exit although the spread came precariously close a few days ago.
The spread is the column on the right. So this raises a rather interesting question. Over the past six months there have been two market moves that have put both methods of trading to the test. In one scenario, the naked put fails and in the other scenario the spread fails..... for the sake of this argument let's just assume that's what happened instead of hitting 97% initial margin.
Is there any scenario where you would consider using the naked puts as opposed to the spread going forward?
/rsm005/
The following user says Thank You to rsm005 for this post:
Favorite Futures: Mainly NG and GC, Futures option selling. Spread researcher currently
Posts: 443 since May 2013
Thanks: 369 given,
170
received
Thanks finally getting this working but macros not working
@Ron and others: I seem to have some issues running the macros by clicking the buttons but can run the macros manually. Can someone help to give me the sequence. So far I can
- Run 'Track Selected' to populate the tracker sheet
- Run 'CleanHistData' which clears the HistData tab
- Run 'Historic_Track' which popoulates the HistData tab
Now I am stuck
What macros and in what sequence should i run to populate the HistPivot Tab
What is high volatility though ? People think volatility is high end of 2007, mid to high 20's VIX. Then came the 30's and it must be very high ? From 20's all the way upto 80's I'm sure people were selling "high volatility", and most got murdered. We're only in the 20's range at the moment. If Soros is correct in predicting a 08 crash, then we are actually at low end of volatility at the moment.
The following 2 users say Thank You to k20a for this post:
true, without question. Actually there's so much already written to this allover the web, so I just add a daily $VIX - Chart I'm using as a reference to find a good day to sell options. On the one hand there's an average volatility reflecting the market over longer time period. This can be 20's, 30's or whatever. On top of that there are vola-spikes. I defined some rules for me when to sell the vola giving me the chance to enter at a stage where vola is rather decreasing instead of increasing even more. But it happens, hence never all in the first occurence. By checking the vola in the neighborhood there are many Low-Vola-Days where I would not want to sell options on ES. Some occurences are marked.
Last edited by PK 1; January 25th, 2016 at 07:16 AM.
