Discussion in 'OptionVue Forum' started by DavidF, Mar 5, 2016.

  1. DavidF

    DavidF Well-Known Member

    I finally got the backtesting function on OV (got lot of help from Ken Dole getting the files onto my Mac).

    All is good except when I convert trades or make an adjustment the P/L is almost always way off when I covert the trade e.g., I adjust a butterfly and suddenly I´m down $10,000 after converting. Even when I enter the initial trade I´m immediately down a few $k (don´t have slippage on).

    It´s not the R column (all checked) and I have the "G/L to include previous G/L" ticked. Also tried moving time back and fore by half an hour to see if it was just a temporary mispricing.

    Anyone know how to sort this? Fortunately it´s never in my favour so if I can finish a trade with less than max loss I know it´s performed well.
  2. Roger

    Roger Member

    Hi David, are you correctly assigning a letter to each trade in the TLog?
  3. DavidF

    DavidF Well-Known Member

    Thanks for your reply Roger, yes the t-log R column is in order (use same number on all trades). Also noted that it's not been an issue in SPX, only RUT. Have started just writing down what the price should be and calculating P/L at end of trade.
  4. Bruno

    Bruno Moderator Staff Member

    Have you tried opening a report and closing it ? It seems to be a good fix for that bug.
  5. DavidF

    DavidF Well-Known Member

    Thanks for the suggestion Bruno, I tried that but didn´t help. For some reason I don´t get the issue in the SPX, only RUT.
  6. Rick

    Rick Active Member

    David - You wrote " yes the t-log R column is in order (use same number on all trades)"

    Forgive me if this what I mention below is obvious, but your problem needs some digging into.
    I wanted to clarify that "all trades" means every entry in the account so in the account you are testing you only have one R code assigned throughout the entire account and you update the new trades as you enter them. If not then the following may apply to your problem:
    see my post #88 (and others):
    "Len: the above works until I make a trade, open the TLog, and enter the assigned character into the R Column for the new trade. Then upon closing the TLog the "Ex-Pos Included" reverts back to "ALL".
  7. DavidF

    DavidF Well-Known Member

    Rick, firstly thanks a lot for your input, good that your clarified this. I think I´m doing this correctly, I assign a single number to all trades in each account, e.g., all trades in an April M3 are marked with the number 1 in the R column.
  8. Rick

    Rick Active Member

    ok, If April M3 has its own account with a single R code as John Locke does, then the "Ex-Pos Included" reverts back to "ALL" issue doesn't apply.
    Currently I am using an April M3 account that I paper trade live and assign those trades R=1. Then as JL discusses his web trade on Monday AM, I enter his trades in the same account as R=2. This way I can go day-by-day to review and quickly compare the two by alternating the R codes and hopefully learn from the differences.

    However, as mentioned above when I enter a trade OV combines R1 and R2 into "ALL" so both trades show in the Matrix and Analysis. I then manually have to uncheck the one I'm not trying to observe at that time.
  9. DavidF

    DavidF Well-Known Member

    Thank you Rick.
    I´m doing something similar using R1 and R2, just established that the capital efficient M3 weekly calls suffered more than monthly DITM calls at twice the price taken through last August 19th-25th using that function (keeping them at delta 9 with roll downs). Of course an even worse hit would have favoured the weeklies but reassuring to know how well the monthly calls held up. Going to spending a lot of time on this in the months ahead and should have done it before.

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