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OV Beta

Discussion in 'OptionVue Forum' started by DukeB, Dec 3, 2015.

  1. DukeB

    DukeB Guest

    Just got this from Ken at OV..
    We have been testing the program in-house, but as yet have received very little feedback on the modeling and Greeks in the Beta version. We have made some changes to some parts of the program to fix some minor issues (but no change to the modeling between this release and the previous Beta version).
    You can get the new release by downloading and running the installer from this link
    This will install right over the previous beta version and will not change any settings you have made.
    When reporting issues related to the modeling/valuation/Greeks we can only fix things if we can recreate them here. Helpful information for doing so would be sending us the files that you are using, which can be done by selecting Help | Send files to tech support from the main menu. When reporting an issue it is helpful to include:

    1) A summary of the problem
    2) Steps needed to recreate the problem
    3) Sending the asset file being used (i.e. RUT.INX, CL.CDY etc.)
    4) The account files that contain any positions that are affected
    5) If not in real time, the date(s) and time(s) in BackTrader being used (including the time zone you are in)
    Although I am backtesting I am not the most qualified due to my limited exposure to options as compared to everyone else on this forum.
    Of those others that are backtesting or have knowledge of results from backtesting what is the general consensus as it relates to the numerous problems that have been discussed on this forum? Have any of the problems been solved (other than the interface)? Any gotten worse? Anyone change their minds from negative to positive or visa versa as it relates to OV?


     
  2. Scott Slivnik

    Scott Slivnik Well-Known Member

    Here is a M3 Butterfly comparison among three OV versions. I played with the 7.8 beta today for a bit and 7.8 is an improvement compared to 7.72 in my opinion. I used Large extends and checked combined call/put skew for all three.
     

    Attached Files:

  3. DukeB

    DukeB Guest

    Thanks Scott....
    In your opinion is this a usable product?
    I have been backtesting and comparing strikes/deltas with TOS. The strike prices have been very close. Actually so have the deltas.
    Tomorrow I will configure a trade in OV and place it in TOS for comparison. I will compare P/L, greeks, IV etc.
    One thing that is of concern is in OV if I switch from one day where the deltas are, say, -15.6 and then come back to that same day, the deltas are now different.
    The -15.6 can change to -13.2 or -18.9 or ??. I am trying to convince Ken that the deltas should remain constant. I will try again tomorrow.
     
  4. Scott Slivnik

    Scott Slivnik Well-Known Member

    As far as backtesting using OV is concerned, definitely use 7.8 beta.

    I know OV re-calculates the greeks anytime you move forward or backwards in time. I am not sure why the greeks can vary a bit for the same snapshot but as far as I am aware, OV has always had that behavior. It is a bit annoying but not a huge deal as the greeks are theoretical anyway.
     
  5. Jay Winger

    Jay Winger Active Member

    Although I am backtesting I am not the most qualified due to my limited exposure to options as compared to everyone else on this forum.
    Of those others that are backtesting or have knowledge of results from backtesting what is the general consensus as it relates to the numerous problems that have been discussed on this forum? Have any of the problems been solved (other than the interface)? Any gotten worse? Anyone change their minds from negative to positive or visa versa as it relates to OV?


    [/QUOTE]
    You don't really need any specialized knowledge to begin testing the beta. Beyond looking at the internal mechanics of their model, what really matters is how it does where the rubber meets the road. Probably the best way to test it is to roll up your sleeves and go into backtrader. Start backtesting your normal positions month after month:
    1. Are you finding yourself surprised by the price projections the T+0 makes vs. what actually happens?
    2. Are you adjustments fairly consistent (even though they will likely be different absolute adjustment points than before if you're using delta/greek adjustments) or are you finding biases and a pattern to those biases?
    3. Are you seeing any obvious anomalies in the T+0 or greeks?
    If yes to any of these, take screenshots and notes, and send them on to OV. They told me they've received very little feedback from users so far. I'm not sure TOS vol smile should be the go-to metric for determining a solid model... we gotta get in there and get our hands dirty and see how tradeable this model is.
     
  6. Jay Winger

    Jay Winger Active Member

    You don't really need any specialized knowledge to begin testing the beta. Beyond looking at the internal mechanics of their model, what really matters is how it does where the rubber meets the road. Probably the best way to test it is to roll up your sleeves and go into backtrader. Start backtesting your normal positions month after month:
    1. Are you finding yourself surprised by the price projections the T+0 makes vs. what actually happens, are you finding biases and a pattern to those biases??
    2. Are you adjustments fairly consistent (even though they will likely be different absolute adjustment points than before if you're using delta/greek adjustments) or are you finding biases and a pattern to those biases?
    3. Are you seeing any obvious anomalies in the T+0 or greeks?
    If yes to any of these, take screenshots and notes, and send them on to OV. They told me they've received very little feedback from users so far. I'm not sure TOS vol smile should be the go-to metric for determining a solid model... we gotta get in there and get our hands dirty and see how tradeable this model is.[/QUOTE]
     
  7. Jay Winger

    Jay Winger Active Member

    I've made a Skype room for both OptionNetExplorer and OptionVue Beta Users. My hope is it will be used by people to contribute their observations/experiences from their backtests and live trading, to share any notes they've made or communications they've had with ONE or OV, hopefully leading to a more collaborative effort to get to a better model for everyone. Click on the below link to join if you want to help the effort:

    https://join.skype.com/v1LuW5eBEPNP
     
  8. ACS

    ACS Well-Known Member

    I'm attaching screen shots I sent to OV of an old position in OV pre-7.71 and the new Beta. This looks quite good. OVBeta.png OVOld.png
     
  9. tom

    tom Administrator Staff Member

    Those are pretty close. Thanks for sharing Andrew!
     
  10. Kevin Lee

    Kevin Lee Well-Known Member

    V7.80 has finally launched ! :)

    I beta tested it for a week and found that v7.80 is definitely much more accurate than v7.72. I also compared v7.80 beta with v7.64 (the old version). The greeks were quite close, not exactly the same but close. I traded my live M3 position for the past few days using all 3 versions. I actually think v7.80 might come even closer to reality than the old v7.64.

    One example was yesterday, my delta was slightly negative on v7.80 but slightly positive on v7.64. We know market went down slightly yesterday. So if I look at v7.64 greeks, given a negative vega and positive delta, my position P&L should have down because both vega and delta hurts the position. But instead my P&L went up ! Therefore, the only conclusion I can make is delta should have been negative, which is what makes v7.80 closer to reality.

    But - this is just one of a few data points I managed to observe over the past few sessions. Probably need to play around with it more to be sure.

    This situation is actually quite familiar to me - very similar to what I found out as I transitioned from ONE/TOS to OV. Yesterday my position delta was way-too positive on TOS and the P&L graph points upwards to the right (looks scary). If I have traded using ONE/TOS, I definitely would have flatten my delta like I did before and when the market runs back up, the position will lose big time because the real delta would have been too negative.
     
    TheSpeculator152 likes this.
  11. DavidF

    DavidF Well-Known Member

    I´ve been same, if I´d trusted EIOIO on an Jan SPX position I have with short calls/puts at 2050 I would have adjusted way too early and by way too much. Just updated to new OV version, having to constantly update asset file, data frequently missing from the vertical skew chart (as in pic). But when I do get data I notice a much better fit on skew curve which bodes well.
     

    Attached Files:

    Last edited: Dec 9, 2015
  12. Kevin Lee

    Kevin Lee Well-Known Member

    David,
    I had the same issue with missing data initially with the beta. Try a clean installation into a separate folder without deleting or uninstalling your original. Then copy the "Records" folder over to the new location. The records folder stores all your accounts.

    Hope this helps.
     
  13. DavidF

    DavidF Well-Known Member

    Thanks Kevin, tried but unfortunately something went way wrong (didn´t recognise records and went to older version when I reinstalled from their site), will have to contact OV and get remote help, all over the place now (technotard used to IOS using parallels to operate OV on windows, something had to go wrong o_O)
     
  14. Kevin Lee

    Kevin Lee Well-Known Member

    Oops! Sorry to hear that. Did you install into a new folder?

    That worked for me. I literally have 4 versions of ov in different folders in my pc.
     
  15. DavidF

    DavidF Well-Known Member

    Hi Kevin, yes I did but when I transferred the records the software didn´t recognise them when I opened the matrix (even if I could see them in record folder). Then the content of files was somehow erased when I moved them back to C drive (they appeared on desktop) so lot of folders empty, including records. Have basically started whole thing from scratch with new installation, manually feeding all trades into T-log etc and reconfiguring software (lot of issues with default windows settings like currency and decimal points). Deltas still all over place (also with EIOIO which can go from +100 to minus 50 just by opening and closing matrix several times) and requires asset update all the time. At breaking point with this software now.

    Anyway, thanks for trying to help.
     
    Last edited: Dec 9, 2015

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