Posted by falcon5678 on 19th of May 2011 at 11:29 am
Tumbler, how did you generate the option prices. Did
you get actual end of day and opening bid/ask prices for all of
them? The would have been a lot of work!
Falcon, yes I got actual prices for each day/trade (closing and
opening prices). Yes, alot of work but worth it.
By the way, I updated the google doc. It has multi-entry data
for stock and options trades. The stock trades are a lift from
Matt's data. The last trade is included.
Posted by falcon5678 on 19th of May 2011 at 12:36 pm
Well my apologies then! I assumed you generated prices
based on a ramdom pricing model but if you based the trades on
actual bid/ask prices that is fantastic work! The vol
levels don't matter then for your results. I
suppose they matter in a general sense since anyone trading
options should be aware of those risks but as far as your results
are concerned - great work! Thanks for doing this. You
are right that the risks are mitigated by the average trade
length. Bottom line is - when a system is correct on 9 out of
10 directional trades you're going to make money trading options,
no matter how much the vols are moving.
Newsletter
Subscribe to our email list for regular free market updates
as well as a chance to get coupons!
Tumbler, how did you generate
Feedback
Posted by falcon5678 on 19th of May 2011 at 11:29 am
Tumbler, how did you generate the option prices. Did you get actual end of day and opening bid/ask prices for all of them? The would have been a lot of work!
Falcon, yes I got actual
Posted by tumbler on 19th of May 2011 at 11:58 am
Falcon, yes I got actual prices for each day/trade (closing and opening prices). Yes, alot of work but worth it.
By the way, I updated the google doc. It has multi-entry data for stock and options trades. The stock trades are a lift from Matt's data. The last trade is included.
https://spreadsheets.google.com/ccc?key=0Aozz_o09dO3mdEpVcC1lNzY4cEU1MnEwWkVNYzBzcFE&hl=en&authkey=CN3ZlJEJ#gid=0
tumbler , does your historical data
Posted by perthx on 19th of May 2011 at 12:47 pm
does your historical data give you the high and low for an option each day too?
perthx, unfortunately it doesn't. I
Posted by tumbler on 19th of May 2011 at 01:54 pm
perthx, unfortunately it doesn't. I know that would make your project much easier.
thx tumbler
Posted by perthx on 19th of May 2011 at 02:16 pm
yeah i my just have to go ahead and pay the $250 for a single month for such data.
Tom-think or swim appears to offer closing data only.
I think it has Open,
Posted by tom on 19th of May 2011 at 03:18 pm
I think it has Open, High, Low, Close
Well my apologies then! I
Posted by falcon5678 on 19th of May 2011 at 12:36 pm
Well my apologies then! I assumed you generated prices based on a ramdom pricing model but if you based the trades on actual bid/ask prices that is fantastic work! The vol levels don't matter then for your results. I suppose they matter in a general sense since anyone trading options should be aware of those risks but as far as your results are concerned - great work! Thanks for doing this. You are right that the risks are mitigated by the average trade length. Bottom line is - when a system is correct on 9 out of 10 directional trades you're going to make money trading options, no matter how much the vols are moving.