It is not easy, but it is better than wasting your time to figure out the "configuration" in options that can make you money ..
Upon completing my optimizations all of my trail stops happen 20 or greater ticks away and even over 100 ticks for oil from the entry price then they usually fall to somewhere below their MFE but above for a profit, obviously.
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We <b>were </b>backtesting the underlyings. The synthetic continuous option I know doesn't exist but if you took IV and knew delta, you could analyze historically what those might have been in the past and create an approximation for volatility on your position. Surely you must look at charts at least when you're trading Atticus? No? Just numbers Vola, Vega, theta and rho? That's all you need?
There isn't a single doubt now for me that you do not know how to create automated trading algorithms, let alone artificially intelligent ones.
So you can't estimate from the moves in the underlying what percentage change the option will move from historical IV and if you know delta? Yes, you can. You only need to know what delta was at the time and even if this can't be automated I know that that is how most people would approach it or how I would.
Oh, I'm just starting, and I've never said I'm that succesful. My models are, and that's all I'm saying. They will equal billions in the end for me unless I project too much and get knocked off by a looney before I have enough money to pay for a body guard.