Hi!, wanted to ask a few question about back-testing the system...
I have collected 2yr IEOD data (of index), and i am primarily trading in NIFTY options, but cannot come to a conclusion wrt profit/loss calculation, how did you calculate it?
Should I assume delta of 1 and calculate? cant seen to think of any other method, but taking delta as 1 will not produce accurate results for short term trades involving near ITM option, which i usually trade with.
and what other greeks are important while back-testing?
plz experienced system trader give your guidance about developing the system for trading index options, i am using Amibroker.
-Aditya
I have collected 2yr IEOD data (of index), and i am primarily trading in NIFTY options, but cannot come to a conclusion wrt profit/loss calculation, how did you calculate it?
Should I assume delta of 1 and calculate? cant seen to think of any other method, but taking delta as 1 will not produce accurate results for short term trades involving near ITM option, which i usually trade with.
and what other greeks are important while back-testing?
plz experienced system trader give your guidance about developing the system for trading index options, i am using Amibroker.
-Aditya
