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When a company distributes a special dividend or there is other corporate action, it affects the deliverable of the option contracts. Thus, the option is adjusted and becomes special. For example, a standard option contract is on 100 shares of ABC. The company goes through a corporate action (including special dividends), and the deliverable now is 90 ...


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This site used to be a good free source. I'd be surprised if you find a good source with daily LIBOR rates for major currencies with easy automatic download.


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Your prayers were heard ;-) The following article gives you all you need, especially the function getOptionQuote() which lets you download option chains for any ticker symbol with one line of code! You find the article here (with full R code): ...


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You have to be careful when saying "I would have done this". It's too easy in backtesting to make this mistake. From your description of the data, you have no way of knowing it was in a downtrend, until the downtrend was over or ,at least already in full swing. Nathan S's answer and radpin's comments are exactly what you have to do. I didn't answer just ...


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The mean of bid and ask for a fill is not realistic and this will impact your analysis a lot in options. The market maker is quoting the spread because that's how they intend to get paid for the risk if you bring them one leg. Use the worst pricing assumption on this, even though you should probably still rest orders in practice for anything that has a ...


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It all depends to me on whether your system can categorize a price series as "upward trending." I want objective, programmed rules. If my system includes a market condition filter then not only can I ignore cases that would not pass it, but I must ignore them to measure the system. If I invent the rule to optimize performance that ran cold in some tested ...



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