PC-SPAN

September 3rd, 2015, 10:17 AM

ron99

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.

It's the PivotTable. I haven't played that much with them, but if you made the change that I mentioned earlier about changing the display of the value to be the Sum of the position instead of the Average, and you run multiple Historical Tracks any options that have the same S1 value will have their values summed for those dates.

If you want to run multiple Historical Tracks and have them all displayed in the Pivot Table you should be able to keep things separated by making sure each spread has a different S1 value ... so, if you test 3 spreads on you first Historical Track, you use 1-3 in the S1 column. When you Historically Track the next 3 spreads use 4-6 in the S1 column.

September 3rd, 2015, 10:47 AM

ron99

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

I just finish research for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) during last big drop.
1. No Margin Call during 227,70 point drop of ES
2. Option Value continue to rise (loss increase) while ES price is higher (1938.3) then on 08/24 (1862,3)

I don`t understand this moment....

September 3rd, 2015, 10:52 AM

Dudetooth

It's the PivotTable. I haven't played that much with them, but if you made the change that I mentioned earlier about changing the display of the value to be the Sum of the position instead of the Average, and you run multiple Historical Tracks any options that have the same S1 value will have their values summed for those dates.

If you want to run multiple Historical Tracks and have them all displayed in the Pivot Table you should be able to keep things separated by making sure each spread has a different S1 value ... so, if you test 3 spreads on you first Historical Track, you use 1-3 in the S1 column. When you Historically Track the next 3 spreads use 4-6 in the S1 column.

Yes I know about and used different S1 numbers for each run. Or I clear the HistData sheet before the next run.

September 3rd, 2015, 11:53 AM

ron99

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.

No changes made to forum.

Attachments are not allowed in quick summary posts. Instead, just post the new attachment in a regular post, then link to it in post #2.

Mike

September 3rd, 2015, 12:00 PM

Big Mike

No changes made to forum.

Attachments are not allowed in quick summary posts. Instead, just post the new attachment in a regular post, then link to it in post #2.

Mike

???

There are attachments in there now.

September 3rd, 2015, 12:17 PM

uuu1965

I just finish research for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) during last big drop.
1. No Margin Call during 227,70 point drop of ES
2. Option Value continue to rise (loss increase) while ES price is higher (1938.3) then on 08/24 (1862,3)

I don`t understand this moment....

Oct long prices are dropping faster than Nov short prices.

September 3rd, 2015, 12:21 PM

ron99

???

There are attachments in there now.

Best I can tell, the attachments are only LINKED in quick summary post #2. They aren't actually attached to that post.

It's the same as I was suggesting, just post them elsewhere, then link to them.

Mike

September 20th, 2015, 08:30 PM

djay

@Dudetooth, Thank you for responding back. I am trying to get the margin requirement of a particular futures contract without position. I am hoping I will find a way to get that in PC-SPAN.

Apart from that, I am also unable to create Portfolio in PC-SPAN. I get a error "Attempted an unsupported operation" when I tab into Positions tab in "New Portfolio"

@djay

If you happened to be running the 64-bit version of PC-SPAN v5.88, try uninstalling it and installing the 32-bit version. I have a 64-bit machine/OS and could not get the 64-bit version of PC-SPAN to work ... kept getting the error "Attempted an unsupported operation". The 32-bit version works just fine.

September 21st, 2015, 05:46 PM

Here's the latest version of the XLS-SPAN spreadsheet.

Thanks to @ron99 who had the idea to reduce the CME pa2 files to only the products that someone would be interested in to reduce the scan time when backtesting. He also got the code started ... I just put the finishing touches on the code and added it to the spreadsheet.

Section 2 on the Setup tab covers the details ... just let me know if you have any questions.

September 29th, 2015, 11:59 AM

Is there a way to programmatically export the Period Delta report into excel without actually manually running the report in PC-SPAN

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