In reality you can't get out of options trades so easily. Even if you always use the mid of Bid/Ask your order may sit for quite a while. Then price can start to move away from you. Especially if things are moving quickly. This is something you will learn on a forward test. Reality is much different than theoritcal in options when you use such short time frames.
With them it would work, but I think they are just data feeds without any brokerage services. Ie. then I would need to simulate the market again myself, only difference would be realtime data vs. GBM data... You all see: it's not that easy to do... :-(
Of course I was curious and did a test by holding the positions at least 40 minutes. The result was about 650% p.a. This shows me that the shorter the timeframe the better the results. It can also explain the HFT craze and the demand for submillisecond execution speeds, colocation at the exchange etc...
Actually there is a typo in the params, sorry. It should be: MinWaitSecondsBetweenTrades = 300 MinHoldSeconds = 300 <-- this one
As said in a previous posting, this system does not depend on immediate fill or execution; after 45 sec the order gets cancelled, and the situation re-evaluated, possibly a new close-order with a new limit sent out.
This really can't be overemphasized enough...The ability to actually enter/exit trades at a given price is not a given...Many times, even a modestly sized order will be broken up into pieces, it's a liquidity vacuum...15 years ago, I'd have given better odds of trading this system with SOES, etc...I saw much better options liquidity back in 99-00.
The system limits itself to about $8k to $25k with each position, so this should have not an impact on the particular instrument. There are many positions (10+), each using a different instrument.
100 years of forwardtesting: Code: Setup / Params : conservative, ie. using less risky params InitialAV : 1000000 (ie. 1M) MaxInitialPosSize: $10k, upto max $25k depending on actual AV Runs : 100x forwardtesting 1 year using 1-minute GBM data (ie. simulated data) and max 80 bots, totalling 100 years The annual results are independent of each other. # PL PLpct AV avgRTT/d MDDpct -------------------------------------------------------- 1 7079612.30 707.96 8079612.30 21.85 -1.81 2 5923785.42 592.38 6923785.42 20.69 -2.05 3 6818833.91 681.88 7818833.91 21.02 -4.77 4 7707676.62 770.77 8707676.62 22.97 -6.64 5 6306536.06 630.65 7306536.06 20.49 -5.55 6 7402506.05 740.25 8402506.05 21.73 -2.08 7 6421807.52 642.18 7421807.52 19.60 -3.50 8 6698048.31 669.80 7698048.31 20.84 -2.79 9 6720526.30 672.05 7720526.30 20.88 -4.69 10 5678735.74 567.87 6678735.74 18.60 -4.05 11 8629647.43 862.96 9629647.43 21.29 -2.00 12 6532892.70 653.29 7532892.70 20.40 -1.76 13 7064098.87 706.41 8064098.87 21.21 -2.37 14 6467302.00 646.73 7467302.00 20.13 -5.73 15 6141941.37 614.19 7141941.37 19.41 -3.04 16 7655298.57 765.53 8655298.57 21.70 -3.34 17 7254110.92 725.41 8254110.92 21.52 -2.23 18 5946006.26 594.60 6946006.26 19.22 -4.11 19 6579499.15 657.95 7579499.15 20.16 -2.14 20 15565555.65 1556.56 16565555.65 24.21 -2.55 21 6035354.54 603.54 7035354.54 19.38 -2.79 22 7077880.79 707.79 8077880.79 21.77 -2.13 23 5937467.60 593.75 6937467.60 19.05 -3.26 24 6780222.78 678.02 7780222.78 20.75 -2.07 25 6213696.11 621.37 7213696.11 19.91 -5.98 26 6749543.22 674.95 7749543.22 20.10 -2.36 27 6602897.92 660.29 7602897.92 21.05 -1.88 28 7744025.93 774.40 8744025.93 22.96 -4.33 29 6902696.71 690.27 7902696.71 19.73 -2.75 30 5905292.49 590.53 6905292.49 19.19 -2.02 31 6682134.91 668.21 7682134.91 20.23 -3.84 32 5618654.77 561.87 6618654.77 18.98 -2.93 33 5744518.32 574.45 6744518.32 19.26 -3.03 34 6974346.24 697.43 7974346.24 20.68 -2.98 35 6802635.63 680.26 7802635.63 22.15 -2.07 36 6603454.52 660.35 7603454.52 21.39 -3.24 37 6496165.87 649.62 7496165.87 21.33 -4.27 38 7314204.54 731.42 8314204.54 21.77 -13.14 39 5453109.60 545.31 6453109.60 18.86 -5.15 40 6450739.30 645.07 7450739.30 21.44 -2.32 41 6922173.23 692.22 7922173.23 21.81 -2.69 42 7128564.99 712.86 8128564.99 22.13 -4.09 43 5957294.67 595.73 6957294.67 18.33 -3.33 44 6362365.09 636.24 7362365.09 20.54 -3.61 45 6773122.24 677.31 7773122.24 20.77 -2.39 46 6889195.15 688.92 7889195.15 21.07 -1.91 47 6506844.24 650.68 7506844.24 19.60 -3.16 48 7225741.66 722.57 8225741.66 22.76 -1.77 49 5790021.81 579.00 6790021.81 19.98 -4.96 50 6743790.28 674.38 7743790.28 21.03 -5.44 51 7207566.14 720.76 8207566.14 21.58 -3.09 52 7082298.59 708.23 8082298.59 21.39 -3.06 53 5998732.78 599.87 6998732.78 20.71 -4.77 54 7313818.12 731.38 8313818.12 21.58 -1.81 55 5410240.75 541.02 6410240.75 19.14 -2.33 56 7880122.79 788.01 8880122.79 23.29 -2.27 57 6637636.63 663.76 7637636.63 19.98 -1.75 58 7095856.47 709.59 8095856.47 22.56 -2.15 59 6538266.57 653.83 7538266.57 20.59 -3.26 60 6613773.14 661.38 7613773.14 20.03 -2.49 61 6392005.48 639.20 7392005.48 20.22 -2.61 62 12555392.45 1255.54 13555392.45 24.34 -2.67 63 6830947.93 683.09 7830947.93 21.30 -4.43 64 7295320.93 729.53 8295320.93 21.83 -3.02 65 7211281.89 721.13 8211281.89 22.57 -2.88 66 6002408.30 600.24 7002408.30 20.21 -2.81 67 7719712.51 771.97 8719712.51 23.52 -3.67 68 5975617.04 597.56 6975617.04 20.85 -2.42 69 6255723.95 625.57 7255723.95 19.50 -2.70 70 8130207.48 813.02 9130207.48 23.52 -2.53 71 6426603.43 642.66 7426603.43 20.34 -4.01 72 8060886.37 806.09 9060886.37 23.32 -3.72 73 5991764.39 599.18 6991764.39 19.25 -2.79 74 7147973.34 714.80 8147973.34 21.96 -2.02 75 7717375.18 771.74 8717375.18 22.88 -2.14 76 6685304.42 668.53 7685304.42 22.16 -3.37 77 5476166.97 547.62 6476166.97 18.92 -5.33 78 5639223.34 563.92 6639223.34 19.08 -2.29 79 5933377.99 593.34 6933377.99 19.22 -2.31 80 7481486.29 748.15 8481486.29 21.46 -1.91 81 5340155.65 534.02 6340155.65 18.72 -2.83 82 7300779.58 730.08 8300779.58 22.57 -2.36 83 6073970.94 607.40 7073970.94 19.40 -2.29 84 7754269.89 775.43 8754269.89 22.27 -4.60 85 7660111.63 766.01 8660111.63 22.15 -2.86 86 6438420.14 643.84 7438420.14 20.68 -1.99 87 7117129.01 711.71 8117129.01 20.85 -3.00 88 6311730.75 631.17 7311730.75 20.21 -2.23 89 6540129.25 654.01 7540129.25 20.94 -2.82 90 8025724.45 802.57 9025724.45 22.89 -2.45 91 5427624.87 542.76 6427624.87 18.34 -2.81 92 7356334.54 735.63 8356334.54 22.69 -6.62 93 6555261.14 655.53 7555261.14 20.66 -3.99 94 7155475.80 715.55 8155475.80 21.82 -4.12 95 6944955.14 694.50 7944955.14 21.02 -6.05 96 6919827.87 691.98 7919827.87 22.03 -2.88 97 6198454.74 619.85 7198454.74 19.91 -2.87 98 6262273.42 626.23 7262273.42 19.62 -5.03 99 6774950.74 677.50 7774950.74 20.21 -3.10 100 6479712.20 647.97 7479712.20 21.86 -3.78 Analysis: Mean: 6843269.60 684.33 7843269.60 20.92 -3.28 StdDev: 1257842.27 125.78 1257842.27 1.36 1.54