Hi everyone (though likely mostly for Cone to answer),
Excited that there is the upcoming Options Backtesting and Trading Webinar coming up. Will that be recorded for watching later? (I will likely be swamped at work at that time/date).
Second question... Is there a data source that Wealthlab can access that provides Options Backfill (historical data, preferably intra-day although daily would be acceptable too), including for expired options? I get it that providing that kind of data becomes immense with so many permutations of strikes and expirations for every underlying, but would help backtesting immensely. Alternatively, is there a way to prospectively collect that data on our own with WL8?
Thanks,
-bd
Excited that there is the upcoming Options Backtesting and Trading Webinar coming up. Will that be recorded for watching later? (I will likely be swamped at work at that time/date).
Second question... Is there a data source that Wealthlab can access that provides Options Backfill (historical data, preferably intra-day although daily would be acceptable too), including for expired options? I get it that providing that kind of data becomes immense with so many permutations of strikes and expirations for every underlying, but would help backtesting immensely. Alternatively, is there a way to prospectively collect that data on our own with WL8?
Thanks,
-bd
Rename
QUOTE:I don't see why not.
Will that be recorded for watching later?
QUOTE:Definitely not expired. But Interactive Brokers is the best I know of - using Midpoint pricing (vs. Trades) for a complete of the series throughout the day. I'll cover this at the webinar.
Is there a data source that Wealthlab can access that provides Options Backfill.... for expired options?
For backtesting synthetic contracts are probably your best bet anyway. It's too much of a headache to keep up with all the contracts even for one company - and you can't get expired anyway.
QUOTE:
Will that be recorded for watching later?
I don't see why not.
Awesome! As stupid as it sounds, I will probably watch it multiple times after the webinar to get it all down. (In my older years, things don't stick as well the first time through)
QUOTE:
QUOTE:
Is there a data source that Wealthlab can access that provides Options Backfill.... for expired options?
Definitely not expired. But Interactive Brokers is the best I know of - using Midpoint pricing (vs. Trades) for a complete of the series throughout the day. I'll cover this at the webinar.
For backtesting synthetic contracts are probably your best bet anyway. It's too much of a headache to keep up with all the contracts even for one company - and you can't get expired anyway.
Ok. I had that thought also that calculating synthetic contracts would be the next best available possibility. Only problem is that to calculate the synthetic contract, you need the implied volatility, which can have some amount of fluctuation from time to time, especially near earnings season. Assuming the IV is constant (using current IV to back-calculate a synthetic option from another date) can sometimes lead to fallacious analysis. The other opportunity (only for SPX/SPY/etc) is to use VIX (which would be available on other time frames and "expired" time periods) as your measure of IV, though that also makes the assumption of 30-days to expiration and (I believe) at-the-money strikes. There are some data companies that provide the expired historical backfill, though I'm not sure I want to pay for it (and have to manually input IV), and I couldn't figure out how to get Quotemedia (or dxfeed) to fill data into WL8 via Medved Trader plugin.
Thanks again for all your work on this feature. As I see it, trading options seems to be the most capital-efficient means of working the market ("the sharpest knife"). I just need more experience and backtesting to limit how much I'm getting cut!
VIX by itself won't work for IV because every instrument (and every instrument's expiration) has a different IV. But you can use HV/100.0 to get some reasonable numbers on a per symbol basis. You have to find the HV parameters to get you close.
Depending on your trade's time frame, synthetics be a reasonable approximation when calculating a difference between entry and exit. In electrical terms, if the "DC level" is off by $1, it doesn't matter for a trade that enters at $5.25 and exits at $6 if the actual values of the contract would have entered at $4.25 and exited at $5. The difference is $0.75 for both. If you're holding to expiration, then obviously there's a big difference.
Depending on your trade's time frame, synthetics be a reasonable approximation when calculating a difference between entry and exit. In electrical terms, if the "DC level" is off by $1, it doesn't matter for a trade that enters at $5.25 and exits at $6 if the actual values of the contract would have entered at $4.25 and exited at $5. The difference is $0.75 for both. If you're holding to expiration, then obviously there's a big difference.
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