backtesting

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    Dummies guide to back testing in ONE (OptionNet Explorer)

    A collection of things you may find useful: Overview of platform (3min 22 sec to 43 min 45 sec): Backtesting 101 (17min to 29 min): Backtesting with probability cones and integrating price charts (34 min, 46 sec to 39 min, 30 sec): Forecasting greeks and T+ lines (43 min, 30 sec to...
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    Large Down Moves

    More useful dates for back testing... Aug 2015 - down 11.24% in 5 days / VIX up by 40 points (back test from Aug 12th) Apr-Jun 2010 - down 11.9% in 8 days, down 11.3% in 9 days, and down 10.7% in 9 days Jan-Mar 2009 - down 14.8% in 10 days, down 15.2% in 10 days, down 14.5% in 7 days Oct-Nov...
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    Backwardation dates

    Here are the dates from vixcentral where we enter backwardation (e.g. below the red line). Maybe useful to assist with backtesting. Backwardation (F1-F2): 2012, Dec 28th 2013, Feb 25th 2013, Apr 15th 2013, Jun 20th 2013, Oct 8th 2013, Oct 15th 2013, Dec 13th to 17th 2014, Jan 24th 2014, Jan...
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