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Search: Posts Made By: BlueRoo
Forum: Options July 5th, 2014, 12:56 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Progressing...

Cafe,


Well essential you can have as many sections or headers as you like and have the same position listed in more than one section. It would be just an issue of managing it which is why...
Forum: Options July 3rd, 2014, 01:48 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Adding Greeks and Aggregate Greeks

CafeGrande,

I have been working on this in a number of different ways. I currently have the track sheet working in a category or group manner. See the screen shot below. The groups here a based...
Forum: Options June 25th, 2014, 05:20 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
I have all the greeks in a version of the span...

I have all the greeks in a version of the span file that can be easily added from the option trading workbook that is available free on the net it has all the greek functions and can be easily added...
Forum: Options June 4th, 2014, 08:14 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
The EOD files decompressed for me are about 66mb....

The EOD files decompressed for me are about 66mb. Therefore a years worth of data would be 250 x 66 = 16,500mb. So you do need some storage capacity.

Once the files are downloaded...it takes about...
Forum: Options June 4th, 2014, 02:11 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Yes all data is derived from the SPAN files....

Yes all data is derived from the SPAN files. Generates chart in a few clicks based on your selected date range. It does not calculate HV. HV and IV are the fields named as such in the SPAN...
Forum: Options June 4th, 2014, 11:44 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Code in draft...IV dashboard (not shown) and then...

Code in draft...IV dashboard (not shown) and then you can generate a vol chart with price on the fly...
https://futures.io/attachment.php?attachmentid=148373
Forum: Options May 15th, 2014, 06:30 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Draft Tracker customisation

Here is a screen shot of the popup box you get when you right click on anywhere in the tracker spread sheet. This work by left click a row you wish to modify and then right clicking. You can then...
Forum: Options May 14th, 2014, 01:45 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Dudetooth, The new time series decay chart...

Dudetooth,

The new time series decay chart code is almost identical to that for the option chain chart in the file I sent you.

Yes, I had though about archiving snapshots in csv files. But if...
Forum: Options May 13th, 2014, 06:56 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
CafeGrande, Interesting resource for excel...

CafeGrande,

Interesting resource for excel at www.rtrand.com. (Free probability AddIn).

Function Reference - NtRand (http://www.ntrand.com/function-reference/#local_distributionFunctions)
...
Forum: Options May 13th, 2014, 01:18 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Not sure what you mean by archiving the chart. Is...

Not sure what you mean by archiving the chart. Is that something you do on futures.io (formerly BMT)?

Yes it is the standard theory time decay curve that got me frustrated once because it did not...
Forum: Options May 13th, 2014, 12:43 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Finally the chart I have been dreaming of...

So from the historic sheet I have coded the ability to create the attached chart on the fly.

https://futures.io/attachment.php?attachmentid=146636
Forum: Options May 13th, 2014, 02:34 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Update to Normal and LogNormal Standard...

Update to Normal and LogNormal Standard Deviations. See screen shot below.
For Normal my formula is - =EXP(($E$8)*SQRT($E$6/365)*-1*NORMSINV(C25))*$E$5
For LogNormal my formula is -...
Forum: Options May 12th, 2014, 05:55 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
CafeGrande, The hoadley formulas in my...

CafeGrande,

The hoadley formulas in my sheet have expected return as zero. My Hoadley is over 10 years old as well. Might be the reason for the slight differences?!?!
My formulas for lognormal...
Forum: Options May 11th, 2014, 09:06 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
CafeGrande, I appreciate the post and your...

CafeGrande, I appreciate the post and your insight. Without your post I would not be pushed to review and learn. Thanks for the suggestions. As a result I have done the following...

See the new...
Forum: Options May 11th, 2014, 07:04 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
I didn't think you were dismissing the ideas at...

I didn't think you were dismissing the ideas at all. As I said earlier if I can contribute I am more than happy to do so. Had a look at the backtesting code and can see where you are going. I have...
Forum: Options May 10th, 2014, 05:18 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Appreciate the new file. It is considerably...

Appreciate the new file. It is considerably larger and with a quick look at the code there is a bit to take in.

I feel that I should apologize. I see my suggestions where redundant. You are doing...
Forum: Options May 9th, 2014, 09:17 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Track Spread Code

Okay I see you have removed the input boxes. Now you simply need to select the vertical cels for the spread you wish to trade and click track spread. This great.

The code I have goes the next...
Forum: Options May 9th, 2014, 09:13 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
The optionValue Function is what I was missing. ...

The optionValue Function is what I was missing.

I will test the Listpas2Files Procedure. It is similar to the code for the same task that I posted earlier. But it actually reports the date range...
Forum: Options May 9th, 2014, 06:46 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Missing Function

Your modified calcMargin has a call to a new function called optionvalue. Could you post this missing code.

Yes I am happy to share what I am doing with my shell code optionanalysis.xls. I will...
Forum: Options May 9th, 2014, 01:02 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
I have not modified any of the code in my copy of...

I have not modified any of the code in my copy of your file. Can you post how you fixed the code so Col F is not modified by calMargin(3,0).

Yes, I am interested in getting the code you have for...
Forum: Options May 9th, 2014, 02:24 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Updating all spreads in tracker with one click

Selecting track spread allows the user to select the two legs of a spread through input boxes and then calculates the combined result. If there are several spreads in tracker it seems that this...
Forum: Options May 8th, 2014, 01:41 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Function that collects the date range for saved risk files

I have this code in my shell file. When I choose to set a date range for generate historic data, the getRiskFileDates returns the date range for saved risk files.




Function getRiskFileDates()...
Forum: Options May 8th, 2014, 11:22 AM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Yes it helps. As I download risk files my list of...

Yes it helps. As I download risk files my list of previous downloaded dates update. I have not coded it so that the user is informed whether or not the selected date range is within that of the...
Forum: Options May 7th, 2014, 08:47 PM
Replies: 608
Sticky: PC-SPAN
Views: 118,791
Posted By BlueRoo
Date Range for Historic

I don't know why but I could not get "Begin + Days" or "Begin - End" to fill the F Column with dates.

So I changed the procedure as follows:

Sub ChangeDate2() '140206*** New date tool for...
Showing results 1 to 24 of 24

Would you sell your system, and for how much?

 

 
 


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