关于main pain

istock

看到各位老大贴出来的main pain 程序， 非常感谢
不知道这一理论到底应该应用在什么情况下
下图是偶曾经做的一张PCLN 的 daily的main pain vs. price，感觉不是很effective
 - OE day 价格倾向于 converge 到 main pain， 还是倾向于converge到某个整数？
 - 是不是某些ticker对max pain 比较敏感？

偶的图是用Excel + Access manual分析的，当时花了一整天。哪位老大有比较强的scripting background, 我可以把08年的几个月的historical 的option 数据发给你。看看能不能很快的backtest任一只股票。数据所有的ticker都有，stock, ETF...

人之初

沙发

yager

不过，很有意义。数据格式是什么？假如是统一的数据格式，我可以试试。你上载一个SPY的我看看吧。谢谢！

istock

sent you a note about the data. even extracting a ticker is a daunting task... as there is a file for every EOD data

istock

you are right. there are some mapping I used in Access/SQL where the numbers are real, not integers. I believe there is something wrong for some data points but I hadn't figure out why.

yager

backtest程序没有问题了。数据量3GB，需要一定的时间处理。

火锅

胖哥能不能帮大家做个统计，比如最近1-2年，MAX PAIN和 OE DAY CLOSE PRICE 比较吻合的股票和ETF啥的，最好比如能不同年份的同月也能比较下，搞个LIST

比如有超过65-70%的吻合，再加上OPTION  的同期 接近 CLOSE 价格的STRIKE 的量价的分布。 这样更具有操作的价值

 

如果能搞个程序就最棒了

yager

现在任一只股票从一月到八月都可以自动出图了。和我想的差不多。

yager

程序当然是有了。数据也有，该出的都能出。不过我发现有些人太酸了，不想那这个来刺激别人了。

yager

回头讨论。

dd_xu

是否这个更有效些那？ zt Current Pain is an improved estimation, compared to Option Pain, of the stock price manipulator's target. While Option Pain is calculated based on all outstanding options in the market, Current Pain is derived only from options sold since last option expiration. Options sold several months ago are less relevant to the current market condition. Therefore, Option Pain may be misleading. Current Pain is derived only from options sold since the last option expiration date. It is more relevant to the current market condition and could be a more accurate proxy for the stock manipulator's price target.

hatwin

AAPL and GOOG比较走max pain 你可以对比一下aaple的OE price和max pain

dashxia

I had tried 200 stocks and ETF for 6 months.It does not work as we expected.

Fan8an

向高手们学习!

yager

括号里面是OE前一天的数值。结果显示的是OE的价格和max pain数值以及相对误差。图就先不给了。
D:\Projects\MaxPain backtest>python extract.py maxpain.dat spy
2008-01-18 close=132.06(133.43) maxpain=141.01(142.99) error=6.78%
2008-02-15 close=135.14(135.17) maxpain=136.99(136.99) error=1.37%
2008-03-21 close=132.08(132.08) maxpain=136.99(137.00) error=3.72%
2008-03-31 close=131.97(132.08) maxpain=133.01(137.00) error=0.79%
2008-04-18 close=138.48(137.05) maxpain=134.99(134.99) error=2.52%
2008-05-16 close=142.66(142.53) maxpain=139.00(139.00) error=2.57%
2008-06-20 close=131.58(134.42) maxpain=139.99(139.00) error=6.39%
2008-07-18 close=125.98(125.20) maxpain=127.01(127.99) error=0.82%
2008-08-15 close=130.17(129.54) maxpain=128.99(128.99) error=0.91%

D:\Projects\MaxPain backtest>python extract.py maxpain.dat dia
2008-01-18 close=120.57(121.77) maxpain=129.00(127.01) error=6.99%
2008-02-15 close=123.33(124.01) maxpain=125.01(124.00) error=1.36%
2008-03-21 close=123.11(123.11) maxpain=127.00(124.99) error=3.16%
2008-03-31 close=122.40(123.11) maxpain=121.00(124.99) error=1.14%
2008-04-18 close=127.86(126.70) maxpain=126.00(124.00) error=1.45%
2008-05-16 close=129.60(130.05) maxpain=130.00(127.99) error=0.31%
2008-06-20 close=118.24(120.63) maxpain=125.01(125.00) error=5.73%
2008-07-18 close=114.95(114.14) maxpain=117.00(115.99) error=1.78%
2008-08-15 close=116.53(116.41) maxpain=117.00(115.00) error=0.40%

D:\Projects\MaxPain backtest>python extract.py maxpain.dat qqqq
2008-01-18 close=45.35(45.41) maxpain=47.00(47.01) error=3.64%
2008-02-15 close=43.82(43.97) maxpain=45.01(45.01) error=2.72%
2008-03-21 close=43.09(43.09) maxpain=42.01(45.01) error=2.51%
2008-03-31 close=43.72(43.09) maxpain=44.00(45.01) error=0.64%
2008-04-18 close=46.71(45.27) maxpain=44.01(44.01) error=5.78%
2008-05-16 close=50.01(49.97) maxpain=47.01(47.01) error=6.00%
2008-06-20 close=47.42(48.77) maxpain=49.01(49.00) error=3.35%
2008-07-18 close=44.59(45.64) maxpain=47.00(47.00) error=5.40%
2008-08-15 close=48.16(48.25) maxpain=45.99(45.99) error=4.51%

D:\Projects\MaxPain backtest>python extract.py maxpain.dat aapl
2008-01-18 close=161.36(160.89) maxpain=140.00(140.01) error=13.24%
2008-02-15 close=124.63(127.46) maxpain=135.01(135.01) error=8.33%
2008-03-21 close=133.27(133.27) maxpain=125.00(125.00) error=6.21%
2008-04-18 close=161.04(154.49) maxpain=140.01(140.01) error=13.06%
2008-05-16 close=187.62(189.73) maxpain=170.01(170.00) error=9.39%
2008-06-20 close=175.27(180.90) maxpain=179.99(179.99) error=2.69%
2008-07-18 close=165.15(171.81) maxpain=164.99(160.01) error=0.10%
2008-08-15 close=175.74(179.32) maxpain=164.99(164.99) error=6.12%

D:\Projects\MaxPain backtest>python extract.py maxpain.dat goog
2008-01-18 close=600.25(600.79) maxpain=599.99(599.99) error=0.04%
2008-02-15 close=529.64(532.25) maxpain=529.99(529.99) error=0.07%
2008-03-21 close=433.55(433.55) maxpain=429.99(440.01) error=0.82%
2008-04-18 close=539.41(449.54) maxpain=450.01(450.01) error=16.57%
2008-05-16 close=580.07(581.00) maxpain=549.99(540.00) error=5.19%
2008-06-20 close=546.43(560.20) maxpain=550.01(550.01) error=0.66%
2008-07-18 close=481.32(533.44) maxpain=539.99(540.01) error=12.19%
2008-08-15 close=510.15(505.49) maxpain=499.99(490.00) error=1.99%

D:\Projects\MaxPain backtest>python extract.py maxpain.dat xlf
2008-01-18 close=25.50(25.80) maxpain=29.99(29.99) error=17.61%
2008-02-15 close=26.83(26.41) maxpain=27.00(27.00) error=0.63%
2008-03-21 close=26.32(26.32) maxpain=27.00(26.99) error=2.58%
2008-04-18 close=26.47(25.90) maxpain=25.01(25.01) error=5.52%
2008-05-16 close=26.39(26.50) maxpain=26.00(26.00) error=1.48%
2008-06-20 close=22.18(22.77) maxpain=25.00(25.00) error=12.71%
2008-07-18 close=20.67(20.26) maxpain=21.00(21.00) error=1.60%
2008-08-15 close=21.36(21.21) maxpain=20.99(20.99) error=1.73%

hatwin

赞，不但辛劳能干，还非常热心。

dd_xu

看了一下图，maxpain基本沿着MA30线.  还是明显对大盘走势有影响的：(图中红的短线是MAXpain)
SPY

QQQQ

istock

看来Max Pain基本上不怎么有效 又看了一下GOOG的数据。4/17和7/17是ER, 第二天的走向和Option Pain 相反。