Hi all, Let's say I saw some other traders' tradelog on Internet and want to learn from him, what software can mostly efficiently help me go into the details of historical intra-day data to review his trades? Example: 6/17/2008 .AAOSJ SOLD TO CLOSE 49 CONTRACTS OF OPTION .AAOSJ AT $2.30 ($68.32) $0.00 $11,201.68 6/17/2008 .AAOSJ SOLD TO CLOSE 21 CONTRACTS OF OPTION .AAOSJ AT $2.30 ($26.28) $0.00 $4,803.72
It's debatable whether you can reverse engineer a system by looking at past trades that system has made. It naturally depends on the type of system though so I'm not going to enter into that debate. That aside, your example seems to be referring to options trading. Backtesting software for options has always been on the weak side - at least for retail traders. The main contenders were OptionVue and Optionetics, though I haven't looked at them for several years. The thinkorswim platform had some rudimentary option back testing capabilities last time I checked, which I'm sure will be improved upon in months to come. Part of the problem is getting hold of good quality and complete options data. The sheer volume of options data is mind boggling and only set to increase. Some data vendors supply options data with pre-calculated greeks but getting good intra-dat options data was hard to do last time I tried (several months ago). There really isn't any reason why the software for this kind of thing isn't more readily available, it's not necessarily THAT complicated but I guess there hasn't been much of a demand up till now. Options trading for retail traders is probably one of the fastest growing areas so I suspect we'll see some better options related software in the near future. I guess you're wanting to take a look at a range of variables at the particular instant a trade was made e.g. stock price, option price, IV, greeks, time to expiration, smile, perhaps some standard TA indicators etc. Then compare those variables with how they looked when the trade was closed. Using the above two you might be able to deduce some logic for why the trade was opened and what criteria was used to close the trade. The problem is, you have no idea what kind of variables were taken into account for opening and closing the trades.
Thanks a lot! That's exactly what I am interested in. I think we just need option price at tick level at that time, and the implied volatility reading at that time, we can backout all the remaining greeks. That's no problem. I am looking for a software platform that can replicate all the relevant info on that date and at that moment. For example, you wouldn't want all the prices, the prices of the similar stocks, the fundamentals, the news, and the events. Then we could back out those technical indicators ourselves based on own programming and calculation. That's no problem. I am looking for such "past-replicating" software platform. Hopefully TradeStation and WealthLab can do that.
I think I can see what you're getting at. You basically want a time machine that has a dashboard for a given underlying. I've never come across anything that can do what you're looking for. Especially if you need to incorporate options data AND news. I think another poster mentioned on another thread - it's probably more about historical data. Does your historical data provider offer all of the data you need at any given point in time including the options data, fundamentals and news? If it does, then that is a large part of your problem solved. Software to then display that data is then relatively straight forward to put together - as long as you don't need it to do anything else! It can simply aggregate the relevant data from the historical data feed and display it some way. You're right, the greeks and TA indicators can be derived on-demand as required as long as the other data is there to derive from. I don't think Tradestation or Wealthlab can do what you want - they might be able to do 70% but not all. As mentioned, very few platforms that I'm aware of offer the ability to drill into historical options data. I'm sure you know that, at any given time you have entire options chains for multiple expirations per underlying. There are tens of thousands of OPRA quotes every second to store for historical purposes. If the options data is not so important, you might be able to find a platform that meets your needs. I suspect though, you want to reverse engineer one of these dodgy options autotrader outfits on the net that rarely post honest, audited, accurate trading results and advertise big percentage returns in big bold flashing letters. Good luck.