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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,612 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old September 2nd, 2015, 09:56 AM   #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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Old September 2nd, 2015, 10:41 AM   #332 (permalink)
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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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Old September 2nd, 2015, 06:44 PM   #333 (permalink)
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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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Old September 3rd, 2015, 07:02 AM   #334 (permalink)
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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.)

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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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Old September 3rd, 2015, 07:36 AM   #335 (permalink)
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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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Old September 3rd, 2015, 08:08 AM   #336 (permalink)
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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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Old September 3rd, 2015, 09:09 AM   #337 (permalink)
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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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Old September 3rd, 2015, 09:55 AM   #338 (permalink)
Market Wizard
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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 10:11 AM.
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Old September 3rd, 2015, 10:07 AM   #339 (permalink)
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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?

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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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Old September 3rd, 2015, 10:20 AM   #340 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
Posts: 2,330 since Jul 2011
Thanks: 634 given, 3,910 received



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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