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PC-SPAN
Updated: Views / Replies:50,936 / 478
Created: by ron99 Attachments:113

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PC-SPAN

  #331 (permalink)
Market Wizard
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Dudetooth View Post
I didn't want to keep making new posts for the fixes, but I can no longer edit my previous post and I can't manage attachments on the quick summary post. If there is a better way to manage the file please let me know.

Here is the fixed version of 04c:
-Risk module date reference for Scanner
-Grain price

Thank you for the fix.

I believe Big Mike was changing forum software yesterday and that is probably why you couldn't add the new spreadsheet to post#2.

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  #332 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
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Here are some mods I made to the new XLS-SPAN. I added columns AI:AM to the HistData tab. The 3 in cell AI1 is my excess factor. 3 for IMx3. (note the report blanks anything you put in cells AI2+ so you need to leave them blank.)

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I then added columns, B, D, F & G, to the HistPivot tab.

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Delta gives you the net delta for a position. Formula is =F2*Q2*-1 for cell AJ2 and then copy and paste for all rows that have data.

Premium$ gives you the correct number. Position Net Val had a wrong number for the first date. Formula is =U2*F2*-1

Draw down and Acct Bal for IM were new columns I use when analyzing a position.
Draw Down formula is =IF(ISBLANK(AG2),0,AG2/(AB2*AI$1))
Acct Bal for IM formula is =IF(ISBLANK(AG2),0,(AC2+(AG2*-1))/(AB2*AI$1))

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  #333 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
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ron99 View Post
Position Net Val had a wrong number for the first date.

Found the issue. The sub for copying the entry data on the first day had two lines that shouldn't be in there.

If you go to the sub AddToPortfolio in the Risk module, towards the bottom you will see the lines:
Range("X" & x) = Range("V" & x) * -(Range("E" & x))
Range("AB" & x) = Range("Z" & x) * -(Range("E" & x))

Remove both and you should lines and you should no longer see that issue with the first day's Pos Net Val.

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The following 2 users say Thank You to Dudetooth for this post:
 
  #334 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
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ron99 View Post
Here are some mods I made to the new XLS-SPAN. I added columns AI:AM to the HistData tab. The 3 in cell AI1 is my excess factor. 3 for IMx3. (note the report blanks anything you put in cells AI2+ so you need to leave them blank.)

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


I then added columns, B, D, F & G, to the HistPivot tab.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Delta gives you the net delta for a position. Formula is =F2*Q2*-1 for cell AJ2 and then copy and paste for all rows that have data.

Premium$ gives you the correct number. Position Net Val had a wrong number for the first date. Formula is =U2*F2*-1

Draw down and Acct Bal for IM were new columns I use when analyzing a position.
Draw Down formula is =IF(ISBLANK(AG2),0,AG2/(AB2*AI$1))
Acct Bal for IM formula is =IF(ISBLANK(AG2),0,(AC2+(AG2*-1))/(AB2*AI$1))

Hi,
first: thanks Dudetooth for new spreadsheet and Ron for update.
One question:
On 2015.09.02. there are such numbers:
IM for calendar spread ESX5 P1990 (-1)/ESV5 P1890 (+1) = 1203 $
IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) = 990 $
Is thats correct?

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  #335 (permalink)
Elite Member
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uuu1965 View Post
Hi,
first: thanks Dudetooth for new spreadsheet and Ron for update.
One question:
On 2015.09.02. there are such numbers:
IM for calendar spread ESX5 P1990 (-1)/ESV5 P1890 (+1) = 1203 $
IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) = 990 $
Is thats correct?

Yes ... the extra P1740 does provide that much coverage which is why there isn't much of a drop in the margin.

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  #336 (permalink)
Trading for Fun
Riga Latvia
 
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Dudetooth View Post
Yes ... the extra P1740 does provide that much coverage which is why there isn't much of a drop in the margin.

But HistPivot sheet shows 1978.9$ IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) on 2015.09.02. (when I use "Trach Historic" function from 2015.08.10 to 2015.09.02)

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  #337 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
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Thanks: 26 given, 240 received


uuu1965 View Post
But HistPivot sheet shows 1978.9$ IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) on 2015.09.02. (when I use "Trach Historic" function from 2015.08.10 to 2015.09.02)

I'm not sure what happened for you ... I just ran those positions for those days and am not sure where $1978.9 would have come from. Do all of the positions for that spread have the same number in the F column?

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  #338 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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I have found that if I don't clear the tracker sheet before rerunning something on Tracker I sometimes get numbers that are incorrect. I don't know the pattern yet of when it is OK and when it is not.

Or maybe it was when I didn't clear the HistData sheet.

I do remember it was after rerunning spreads with slight changes.

Sorry I should have kept track of what happened when I saw problems.


Last edited by ron99; September 3rd, 2015 at 09:11 AM.
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  #339 (permalink)
Trading for Fun
Riga Latvia
 
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Favorite Futures: commodyties
 
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Thanks: 314 given, 69 received


Dudetooth View Post
I'm not sure what happened for you ... I just ran those positions for those days and am not sure where $1978.9 would have come from. Do all of the positions for that spread have the same number in the F column?

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

O, sorry, there was something wrong with my computer (after restart all is OK).
But anyway I`m suprised about IM decrease for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1). For calendar ratio spread I always use the same IM as for calendar spread (in this case ESX5 P1990 (-1)/ESV5 P1890 (+1)).

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  #340 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,648 since Jul 2011
Thanks: 766 given, 4,567 received
Forum Reputation: Legendary



uuu1965 View Post
O, sorry, there was something wrong with my computer (after restart all is OK).
But anyway I`m suprised about IM decrease for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1). For calendar ratio spread I always use the same IM as for calendar spread (in this case ESX5 P1990 (-1)/ESV5 P1890 (+1)).

The 1740 long decreases the possible loss below 1740. So a lower IM because of reduced possible loss.

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