{"id":4803,"date":"2020-08-10T11:11:26","date_gmt":"2020-08-10T09:11:26","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=4803"},"modified":"2024-08-18T09:16:47","modified_gmt":"2024-08-18T07:16:47","slug":"backtestovani-v-excelu-vba-vii","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=4803","title":{"rendered":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 VII."},"content":{"rendered":"

\u00a0\u00a0 Napsat jednoduch\u00e9 makro pomoc\u00ed jazyka VBA, vyplnit jej skripty, kter\u00e9 um\u00ed \u010d\u00edst hodnoty z bun\u011bk nebo je form\u00e1tovat, mazat \u010di p\u0159en\u00e1\u0161et na jin\u00e9 m\u00edsto v excelovsk\u00e9m listu, tvo\u0159it prom\u011bnn\u00e9 a vybavovat je hodnotami, zajistit cyklick\u00e9 na\u010d\u00edt\u00e1n\u00ed dat, um\u011bt formulovat z\u00e1kladn\u00ed logick\u00e9 a rozhodovac\u00ed funkce a vytvo\u0159it n\u00e1stroj na z\u00e1m\u011bnu cel\u00e9 datab\u00e1ze bylo p\u0159edm\u011btem minul\u00fdch \u010dl\u00e1nk\u016f. Na t\u00e9to \u00farovni pozn\u00e1n\u00ed jazyka VBA ji\u017e lze pravd\u011bpodobn\u011b vyhodnotit, \u017ee pouze pozn\u00e1n\u00ed jeho z\u00e1klad\u016f m\u016f\u017ee v\u00fdrazn\u011b urychlit pr\u00e1ci s daty a vytv\u00e1\u0159et anal\u00fdzy nejr\u016fzn\u011bj\u0161\u00edch obchodn\u00edch n\u00e1pad\u016f. Proto\u017ee sm\u011bruji k vyu\u017eit\u00ed VBA k n\u011bjak\u00e9mu zevrubn\u00e9mu testov\u00e1n\u00ed op\u010dn\u00edch obchod\u016f, budu se v dne\u0161n\u00edm \u010dl\u00e1nku zab\u00fdvat pr\u00e1v\u011b prvn\u00edm mo\u017en\u00fdm zapojen\u00edm op\u010dn\u00edch kontrakt\u016f do vytv\u00e1\u0159en\u00fdch anal\u00fdz.<\/p>\n

\u00a0\u00a0 Nechci v \u017e\u00e1dn\u00e9m p\u0159\u00edpad\u011b vytv\u00e1\u0159et dojem, \u017ee pozn\u00e1n\u00ed programovac\u00edch mo\u017enost\u00ed jazyka VBA je jak\u00fdsi \u201evy\u0161\u0161\u00ed level\u201c pr\u00e1ce s Excelem a nelze se bez n\u011bj obej\u00edt. N\u011bkter\u00e9 procedury v\u0161ak v Excelu prost\u011b nevytvo\u0159\u00edte, n\u011bkter\u00e9 z nich jsou zase ve VBA zbyte\u010dn\u011b slo\u017eit\u00e9, nap\u0159\u00edklad oproti n\u011bjak\u00e9mu jednoduch\u00e9mu vzorci um\u00edst\u011bn\u00e9mu v excelovsk\u00e9 bu\u0148ce. Dobr\u00e9 tak je zvolit n\u011bjak\u00fd p\u0159ijateln\u00fd kompromis, aby zadan\u00fd analyzovan\u00fd \u00fakol dob\u0159e na po\u010d\u00edta\u010di b\u011b\u017eel, abych jeho zpracov\u00e1n\u00ed rozum\u011bl a abych jej byl tak\u00e9 schopen jednodu\u0161e ovl\u00e1dat \u010di upravovat. Takov\u00e1 konstelace mi pak umo\u017e\u0148uje b\u00fdt dostate\u010dn\u011b efektivn\u00ed a pru\u017en\u011bji se p\u0159izp\u016fsobovat m\u00fdm \u201eanalytick\u00fdm po\u017eadavk\u016fm\u201c. V dne\u0161n\u00edm \u010dl\u00e1nku bych cht\u011bl takov\u00e9 spojen\u00ed klasick\u00fdch excelovsk\u00fdch vzorc\u016f a VBA skriptu pou\u017e\u00edt na vy\u0159e\u0161en\u00ed jednoduch\u00e9ho obchodn\u00edho zad\u00e1n\u00ed, kter\u00e9 se v\u00fdjime\u010dn\u011b nyn\u00ed nebude zab\u00fdvat prac\u00ed s historick\u00fdmi daty um\u00edst\u011bn\u00fdmi v po\u0159\u00edzen\u00e9 datov\u00e9 tabulce, ale bude zpracov\u00e1vat re\u00e1ln\u00e1 data<\/strong>, kter\u00e9 mi poskytuje m\u016fj broker Interactive Brokers. Tento \u010dl\u00e1nek pak bude rozv\u00edjet poznatky z \u010dl\u00e1nku \u017div\u00e1 data z IB do Excelu<\/a><\/strong><\/span> a Syntetick\u00e9 pozice \u2013 I.<\/a><\/strong><\/span>. Co bude tedy k \u0159e\u0161en\u00ed? Avizovan\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti v kombinac\u00edch Conversion a Reversal<\/a><\/strong><\/span>, tedy vytvo\u0159en\u00fdch diskrepanc\u00edch mezi nab\u00eddkou a popt\u00e1vkou po op\u010dn\u00edch kontraktech na obou stran\u00e1ch op\u010dn\u00edho \u0159et\u011bzce sestaven\u00fdch do t\u011bchto dvou formac\u00ed z akci\u00ed a opc\u00ed na stejn\u00e9m strike, jako bezrizikov\u00e9 kombinace, kter\u00e9 jsem ji\u017e na tomto webu mnohokr\u00e1t popisoval. Jak bych tedy mohl tyto obchodn\u00ed p\u0159\u00edle\u017eitosti vyhodnotit n\u011bjak\u00fdm m\u00edrn\u011b automatizovan\u00fdm syst\u00e9mem bude n\u00e1pln\u00ed dal\u0161\u00edho textu spole\u010dn\u011b s konkr\u00e9tn\u00edm obchodem na m\u00e9m obchodn\u00edm \u00fa\u010dtu.<\/p>\n

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\u00a0\u00a0 Streamov\u00e1n\u00ed dat vyu\u017eit\u00edm API do m\u00e9ho excelovsk\u00e9ho se\u0161itu jsem popisoval v \u010dl\u00e1nku \u017div\u00e1 data z IB do Excelu<\/a><\/strong><\/span>\u00a0a nebudu ji\u017e nyn\u00ed tyto z\u00e1klady rozeb\u00edrat, dotknu se pouze z\u00e1kladn\u00edch v\u011bc\u00ed. Beru ji\u017e za vy\u0159e\u0161en\u00e9, \u017ee jsem schopen pomoc\u00ed funkcionality RTD<\/strong> (Real-Time-Data) na\u010d\u00edtat do excelovsk\u00fdch bun\u011bk hodnoty cen jednotliv\u00fdch akciov\u00fdch titul\u016f a op\u010dn\u00edch kontrakt\u016f na nejr\u016fzn\u011bj\u0161\u00edch strike a v\u00a0nejr\u016fzn\u011bj\u0161\u00edch expirac\u00edch. Nem\u011blo by pak b\u00fdt obt\u00ed\u017en\u00e9, z\u00a0takto na\u010dten\u00fdch cen akci\u00ed a opc\u00ed vyhodnotit, jestli se na takto z\u00edskan\u00fdch cenov\u00fdch \u00fadaj\u00edch nevyskytuje n\u011bjak\u00e1 v\u011bt\u0161\u00ed abnormalita, kter\u00e1 by mohla v\u00e9st k\u00a0n\u011bjak\u00e9mu smyslupln\u00e9mu obchodu. Toto je sice pravda a takto jednodu\u0161e si to mohu p\u0159edstavit pro jednotliv\u011b ru\u010dn\u011b zadan\u00fd titul do excelovsk\u00e9 bu\u0148ky, ale p\u0159i n\u011bjak\u00e9m \u201ehromadn\u011bj\u0161\u00ed zpracov\u00e1n\u00ed\u201c se vyroj\u00ed k\u00a0\u0159e\u0161en\u00ed mnoho ne\u010dekan\u00fdch probl\u00e9m\u016f, se kter\u00fdmi je nutno si poradit. \u201eAmerick\u00fd\u201c form\u00e1t dat p\u0159it\u00e9kaj\u00edc\u00ed do m\u00e9ho se\u0161itu, variabilita a dostupnost strike, chybov\u00e9 hl\u00e1\u0161ky serveru a \u010dasov\u00e1 prodleva s\u00a0na\u010dten\u00edm hodnot jsou ty nejv\u00fdrazn\u011bj\u0161\u00ed z\u00a0nich. \u0158e\u0161en\u00ed hled\u00e1n\u00ed p\u0159\u00edle\u017eitosti na Conversion a Reversal pak bude spojen\u00edm vyu\u017eit\u00ed vlastnost\u00ed excelovsk\u00fdch bun\u011bk v\u00a0listu formou klasick\u00e9 pr\u00e1ce s\u00a0bu\u0148kami a n\u00e1stroji zabudovan\u00fdmi do Excelu a napsan\u00fdm skriptem ve VBA, kter\u00fd bude tento nastaven\u00fd excelovsk\u00fd list postupn\u011b z\u00e1sobovat jednotliv\u00fdmi daty.<\/p>\n

Nastaven\u00ed Excelu<\/strong><\/span><\/h1>\n

\u00a0\u00a0 M\u016fj excelovsk\u00fd se\u0161it, vytvo\u0159en\u00fd pro \u0159e\u0161en\u00ed tohoto \u00fakolu je ke sta\u017een\u00ed z tohoto m\u00edsta<\/a><\/strong><\/span>, bude m\u00edt t\u0159i listy<\/p>\n

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\u00a0\u00a0 Na listu \u201eStart\u201c<\/strong> bude op\u011bt jak\u00e9si zad\u00e1vac\u00ed rozhran\u00ed<\/strong> \u2013 p\u0159\u00edstrojov\u00e1 deska, kter\u00e1 bude slou\u017eit k ovl\u00e1d\u00e1n\u00ed z\u00e1kladn\u00edch parametr\u016f analyzovan\u00e9ho \u00fakolu. Na listu \u201eTickers\u201c<\/strong> budu m\u00edt seznamy akciov\u00fdch titul\u016f<\/strong>, pro kter\u00e9 chci vyhledat obchodn\u00ed p\u0159\u00edle\u017eitosti (nap\u0159\u00edklad tickery S&P500, DJ Industrial, NASDAQ 100..) a na t\u0159et\u00edm listu \u201eResult\u201c<\/strong> budu zapisovat<\/strong> vyhledan\u00e9 a vypo\u010d\u00edtan\u00e9 \u00fadaje. Budu se tak pohybovat mezi listy jednoho se\u0161itu. Z pohledu klasick\u00e9 pr\u00e1ce s Excelem budou nejd\u016fle\u017eit\u011bj\u0161\u00ed vlastnosti a nastaven\u00ed listu \u201eStart\u201c<\/p>\n

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\u00a0\u00a0 Na obr\u00e1zku mohu vypozorovat excelovsk\u00fd list s nachystan\u00fdm nastaven\u00edm pro \u010derp\u00e1n\u00ed \u017eiv\u00fdch dat akci\u00ed a op\u010dn\u00edch kontrakt\u016f od m\u00e9ho brokera Interactive Brokers. Na obr\u00e1zku jsou \u010dervenou kurz\u00edvou vyzna\u010deny vzorce v bu\u0148k\u00e1ch, kter\u00e9 toto za\u0159izuj\u00ed. Pomoc\u00ed funkce =RTD(ProgID, Server, p\u0159edm\u011bt dotazu1, p\u0159edm\u011bt dotazu2…..)<\/strong> <\/em>pak mohu \u010derpat p\u0159i spu\u0161t\u011bn\u00e9 platform\u011b TWS data do vybran\u00fdch bun\u011bk podle zadan\u00fdch parametr\u016f. Argumentem funkce =RTD<\/em><\/span><\/strong> s n\u00e1zvem ProgID<\/strong> je ozna\u010den\u00ed serveru poskytuj\u00edc\u00edho data a m\u00e1 pro ka\u017ed\u00fd vzorec stejnou pevnou hodnotu<\/strong> (tws.twsrtdserverctrl<\/span>) vepsanou do bu\u0148ky A1 (1)<\/strong><\/span>, druh\u00fd argument s n\u00e1zvem Server<\/strong> je pak pr\u00e1zdn\u00e1 hodnota<\/strong> (neuv\u00e1d\u00ed se). Zbyl\u00e9 argumenty pak p\u0159edstavuj\u00ed zad\u00e1n\u00ed \u201eTickeru\u201c<\/strong> (ozna\u010den\u00ed akciov\u00e9ho titulu), burzy, ze kter\u00e9 chceme data \u010derpat \u201eExchange\u201c<\/strong>\u00a0a cenov\u00e9 akce<\/strong>, kterou chci zobrazit v bu\u0148ce (\u201eLast\u201c\u2026) (2)<\/strong><\/span>. V p\u0159\u00edpad\u011b op\u010dn\u00edch kontrakt\u016f<\/strong> mus\u00edm dotaz vylep\u0161it o uveden\u00ed informace, \u017ee chci op\u010dn\u00ed data (\u201eOPT\u201c<\/strong>), jakou po\u017eaduji expiraci (\u201e20200821\u201c<\/strong> je p\u00e1tek 21.8.2020), zda m\u00e1m z\u00e1jem o Call (\u201eC\u201c<\/strong>) nebo Put (\u201eP\u201c<\/strong>) op\u010dn\u00ed kontrakty a samoz\u0159ejm\u011b na jak\u00e9m strike<\/strong>, toto v\u0161e mus\u00edm prolo\u017eit p\u0159esn\u00fdm po\u010dtem lom\u00edtek a pospojovat znaky ampersand (3)<\/strong><\/span>. Dotaz na po\u017eadovan\u00fd typ op\u010dn\u00ed ceny<\/strong> do bu\u0148ky pak mus\u00edm vyj\u00e1d\u0159it v posledn\u00edm argumentu (\u201eLast\u201c nap\u0159\u00edklad) (4)<\/strong><\/span>. Toto v\u0161e je podrobn\u011bji pops\u00e1no v \u010dl\u00e1nku \u017div\u00e1 data z IB do Excelu<\/a><\/strong><\/span>. Pokud p\u0159i spu\u0161t\u011bn\u00e9 obchodn\u00ed platform\u011b TWS m\u00e1m takto zad\u00e1no nastaven\u00ed, mohu pozorovat na\u010d\u00edt\u00e1n\u00ed \u017eiv\u00fdch dat do bun\u011bk m\u00e9ho excelovsk\u00e9ho listu \u201eStart\u201c.<\/p>\n

\u00a0\u00a0 Pokud skryji na listu \u201eStart\u201c nepot\u0159ebn\u00fd sloupec \u201eA\u201c, kde m\u00e1m uvedeny pouze \u201et\u011bla dotaz\u016f\u201c, kter\u00e9 nepot\u0159ebuji pro \u017e\u00e1dn\u00e1 dal\u0161\u00ed vyhodnocen\u00ed, mohu vypozorovat rozm\u00edst\u011bn\u00ed jednotliv\u00fdch prvk\u016f, kter\u00fdmi budu ovl\u00e1dat a specifikovat pot\u0159ebnou anal\u00fdzu, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku. Ka\u017ed\u00fd prvek pak p\u0159edstavuje nastaven\u00ed a \u0159e\u0161en\u00ed d\u00edl\u010d\u00edho probl\u00e9mu s\u00a0p\u0159it\u00e9kaj\u00edc\u00edmi daty do m\u00e9ho excelovsk\u00e9ho se\u0161itu.<\/p>\n

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Form\u00e1t a volba strike<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Na obr\u00e1zku je patrn\u00e9, \u017ee jsem si p\u0159ipravil t\u0159i odd\u00edly<\/strong> pro strike,<\/strong> kter\u00e9 budu cht\u00edt na\u010d\u00edtat do m\u00e9ho se\u0161itu, ozna\u010deno (1)<\/strong><\/span>, (2),<\/strong><\/span> a (3)<\/strong><\/span>. Za pov\u0161imnut\u00ed stoj\u00ed zejm\u00e9na \u201eamerick\u00fd tvar\u201c<\/strong> jednotliv\u00fdch \u010d\u00edseln\u00fdch \u00fadaj\u016f. Mus\u00edm si jednodu\u0161e pro tuto anal\u00fdzu nastavit prost\u0159ed\u00ed<\/strong> m\u00e9ho po\u010d\u00edta\u010de na americk\u00fd form\u00e1t dat, proto\u017ee p\u0159i volb\u011b strike 42,50 s\u00a0desetinnou \u010d\u00e1rkou nevr\u00e1t\u00ed server \u017e\u00e1dnou odpov\u011b\u010f, vn\u00edm\u00e1 toti\u017e \u010d\u00edsla pouze ve form\u00e1tu s\u00a0desetinnou te\u010dkou, tedy strike 42.50. toto za\u0159\u00edd\u00edm tak, \u017ee v\u00a0nastaven\u00ed m\u00e9ho po\u010d\u00edta\u010de (Windows 10) zvol\u00edm volbu \u201e\u010cas a jazyk\u201c<\/strong><\/p>\n

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\u00a0\u00a0 V\u00a0tomto v\u00fdb\u011bru pak vyb\u00edr\u00e1m v\u00a0menu \u201eSouvisej\u00edc\u00ed nastaven\u00ed\u201c<\/strong><\/p>\n

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\u00a0\u00a0 Potvrzen\u00edm \u201eDatum, \u010das a m\u00edstn\u00ed form\u00e1t\u201c<\/strong> mohu vyb\u00edrat z\u00a0jazykov\u00fdch verz\u00ed pro form\u00e1tov\u00e1n\u00ed \u010d\u00edsel m\u00fdch aplikac\u00ed.<\/p>\n

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\u00a0\u00a0 Volbou \u201eAngli\u010dtina (Spojen\u00e9 st\u00e1ty)\u201c<\/strong> pak zam\u011bn\u00edm form\u00e1tov\u00e1n\u00ed \u010d\u00edsel na pot\u0159ebn\u00fd tvar s\u00a0desetinnou te\u010dkou nam\u00edsto \u010d\u00e1rky, toto nastaven\u00ed pak ponech\u00e1m pro celou mou prov\u00e1d\u011bnou anal\u00fdzu. Mohu se pak vr\u00e1tit k\u00a0obr\u00e1zku s\u00a0t\u0159emi sekcemi strike v\u00fd\u0161e a vypozorovat, \u017ee u t\u011bchto \u010d\u00edseln\u00fdch hodnot strike (a tak\u00e9 ostatn\u00ed \u010d\u00edseln\u00e9 hodnoty v\u00a0obr\u00e1zku) m\u00e1m nam\u00edsto desetinn\u00fdch \u010d\u00e1rek te\u010dky. Pro\u010d<\/strong> m\u00e1m tedy t\u0159i sekce strike?<\/strong> Z\u00e1kladn\u00edm probl\u00e9mem pro mou anal\u00fdzu a streamov\u00e1n\u00ed op\u010dn\u00edch dat je skute\u010dnost, \u017ee ka\u017ed\u00fd titul m\u016f\u017ee m\u00edt listov\u00e1ny nejr\u016fzn\u011bj\u0161\u00ed strike na nejr\u016fzn\u011bj\u0161\u00edch \u00farovn\u00edch. Obecn\u011b plat\u00ed, \u017ee akciov\u00e9 tituly s\u00a0hodnotou do 100 USD maj\u00ed jednotliv\u00e9 strike na hodnot\u011b cel\u00fdch dolar\u016f, Na obr\u00e1zku je akcie XOM s\u00a0aktu\u00e1ln\u00ed cenou 43.42 USD, kter\u00e1 m\u00e1 v\u00a0prvn\u00ed sekci viditeln\u00e9 Call i Put strike na hodnot\u00e1ch 41, 42, 43, 44 a 45 a k\u00a0nim na\u010dten\u00e9 ceny op\u010dn\u00edch kontrakt\u016f Put i Call (1)<\/strong><\/span>. Mohu ale jednodu\u0161e zjistit, \u017ee tituly, kter\u00e9 maj\u00ed cenu vy\u0161\u0161\u00ed ne\u017e 100 USD ji\u017e maj\u00ed tento \u201ekrok\u201c v hodnot\u00e1ch strike po 2.50 USD. Na obr\u00e1zku n\u00ed\u017ee je takov\u00e1 situace zn\u00e1zorn\u011bna.<\/p>\n

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\u00a0\u00a0 Volbou akcie MMM s\u00a0aktu\u00e1ln\u00ed cenou 158.01 USD mohu pozorovat, \u017ee pro strike 158 se objevuje nam\u00edsto ceny op\u010dn\u00edch kontrakt\u016f hl\u00e1\u0161ka serveru o neexistenci takov\u00e9ho kontraktu (1)<\/strong><\/span>. Ov\u0161em v\u00a0sekci, kde jsou strike v\u00a0kroc\u00edch<\/strong> po 2.50 USD<\/strong> ji\u017e vid\u00edm ceny v\u00a0po\u0159\u00e1dku na\u010dteny (2)<\/strong><\/span>. Proto\u017ee budu zkoumat tituly s\u00a0nejr\u016fzn\u011bj\u0161\u00edmi cenami, mus\u00edm o\u0161et\u0159it pr\u00e1v\u011b tento probl\u00e9m s\u00a0volbou strike nejbl\u00ed\u017ee aktu\u00e1ln\u00ed cen\u011b postupn\u00fdmi dotazy (v n\u00e1sledn\u00e9m VBA skriptu) na jednotliv\u00e9 sekce podle strike a na existuj\u00edc\u00ed na\u010dten\u00e9 ceny op\u010dn\u00edch kontrakt\u016f. T\u0159et\u00ed sekce excelovsk\u00e9ho listu \u201eStart\u201c s\u00a0krokem<\/strong> strike po 5 USD<\/strong> je pak ur\u010dena pro akciov\u00e9 tituly s vy\u0161\u0161\u00ed cenou, kter\u00e9 nemaj\u00ed listov\u00e1ny op\u010dn\u00ed kontrakty nejen po jednotliv\u00fdch dolarech, ale tak\u00e9 ani po 2.50 USD, p\u0159\u00edkladem pak m\u016f\u017ee b\u00fdt tato situace.<\/p>\n

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\u00a0\u00a0 Titul AMZN se obchoduje za cenu p\u0159esahuj\u00edc\u00ed t\u0159i tis\u00edce dolar\u016f a jeho strike nejbl\u00ed\u017ee aktu\u00e1ln\u00ed cen\u011b 3162 USD pak le\u017e\u00ed na hodnot\u00e1ch 3160 USD. Jak dostanu pro ka\u017edou na\u010dtenou hodnotu akciov\u00e9ho titulu pot\u0159ebn\u00e9 sady mo\u017en\u00fdch strike je patrn\u00e9 na obr\u00e1zku n\u00ed\u017ee.<\/p>\n

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\u00a0\u00a0 Zaokrouhlovac\u00ed funkce =MROUND (\u010d\u00edslo; z\u00e1klad pro zaokrouhlen\u00ed)<\/strong><\/em> mi umo\u017en\u00ed vytv\u00e1\u0159et takov\u00e9 sady strike velmi pohodln\u011b. Podle na\u010dten\u00e9 Last ceny akciov\u00e9ho titulu (43.42 USD) po zad\u00e1n\u00ed vzorce =MROUND(G3;2.5)<\/em><\/span> vyrob\u00ed excelovsk\u00fd vzorec pro zaokrouhlen\u00ed v\u00a0p\u0159\u00edslu\u0161n\u00e9 bu\u0148ce \u010d\u00edslo zaokrouhlen\u00e9 pr\u00e1v\u011b na hledan\u00fd krok strike 2.50 USD (42.50). Ostatn\u00ed strike okolo tohoto ATM strike ji\u017e vytvo\u0159\u00edm p\u0159i\u010d\u00edt\u00e1n\u00edm a ode\u010d\u00edt\u00e1n\u00edm hodnoty +\/-2.50 od takto zaokrouhlen\u00e9ho \u010d\u00edsla (1)<\/strong><\/span>. Ve stejn\u00e9m smyslu pak hled\u00e1m zaokrouhlen\u00ed na z\u00e1klad 5 USD pro nejdra\u017e\u0161\u00ed tituly pomoc\u00ed zaokrouhlovac\u00ed funkce =MROUND(G3;5)<\/em><\/span> v\u00a0t\u0159et\u00ed sekci strike (2)<\/strong><\/span>. Na\u010dten\u00ed jak\u00e9hokoliv akciov\u00e9ho titulu pak povede k\u00a0vytvo\u0159en\u00ed t\u0159\u00ed sad strike podle jednotliv\u00fdch krok\u016f s\u00a0t\u00edm, \u017ee m\u00e1m zaru\u010deno, \u017ee alespo\u0148 v\u00a0jedn\u00e9 z\u00a0t\u011bchto sekc\u00ed uvid\u00edm hledan\u00e9 op\u010dn\u00ed ceny na nejbli\u017e\u0161\u00edch strike k\u00a0aktu\u00e1ln\u00ed cen\u011b, kter\u00e1 se mi na\u010detla do excelovsk\u00e9ho se\u0161itu.<\/p>\n

Prodleva v\u00a0na\u010d\u00edt\u00e1n\u00ed dat<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Zcela z\u00e1sadn\u00edm probl\u00e9mem, se kter\u00fdm je t\u0159eba se poprat, je prodleva na\u010dten\u00ed dat ze serveru Interactive Brokers. Pokud zad\u00e1m do takto p\u0159ipraven\u00e9ho excelovsk\u00e9ho listu \u201eStart\u201c do bu\u0148ky pro ticker po\u017eadovan\u00fd akciov\u00fd titul, odesl\u00e1n\u00ed po\u017eadavku na data a jejich sta\u017een\u00ed do p\u0159ipraven\u00fdch bun\u011bk nen\u00ed ihned, ale trv\u00e1 n\u011bjakou dobu, kter\u00e1 je z\u00e1visl\u00e1 na mnoha faktorech, rychlosti m\u00e9ho po\u010d\u00edta\u010de, vyt\u00ed\u017eenosti datov\u00e9ho serveru, kvalit\u011b internetov\u00e9ho p\u0159ipojen\u00ed atd. Mus\u00edm proto mezi jednotliv\u00fdmi postupn\u00fdmi na\u010dten\u00edmi jednotliv\u00fdch titul\u016f dop\u0159\u00e1t cel\u00e9mu vyroben\u00e9mu n\u00e1stroji \u010das, aby data do excelu zcela kompletn\u011b nahr\u00e1l a teprve potom mohu tyto sta\u017een\u00e1 data vyu\u017e\u00edt pro dal\u0161\u00ed v\u00fdpo\u010dty. Na obr\u00e1zku n\u00ed\u017ee je ozna\u010dena bu\u0148ka, do kter\u00e9 bude zanesena velikost pauzy mezi jednotliv\u00fdmi zpracov\u00e1n\u00edmi<\/p>\n

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\u00a0\u00a0 M\u00e1m nastaveno na hodnotu +5 sekund<\/strong> a bude to znamenat, \u017ee mezi jednotliv\u00fdmi po\u017eadavky bude p\u011btivte\u0159inov\u00e1 pauza na sta\u017een\u00ed akciov\u00fdch a op\u010dn\u00edch dat nebo p\u0159\u00edslu\u0161n\u00fdch varovn\u00fdch upozorn\u011bn\u00ed do m\u00e9ho excelovsk\u00e9ho se\u0161itu. Tuto prodlevu pak mohu samoz\u0159ejm\u011b upravovat podle pot\u0159eby nebo kvality a podm\u00ednek stahovan\u00fdch dat.<\/p>\n

Datov\u00e9 sady<\/strong><\/span><\/h2>\n

\u00a0\u00a0 K\u00a0testov\u00e1n\u00ed hled\u00e1n\u00ed p\u0159\u00edle\u017eitost\u00ed si mus\u00edm vytvo\u0159it seznam akciov\u00fdch titul\u016f, kter\u00e9 chci do anal\u00fdzy zapojit. Bude se jednat o \u0159ady akciov\u00fdch ticker\u016f, kter\u00e9 budu postupn\u011b dopl\u0148ovat do excelovsk\u00e9ho listu a o\u010dek\u00e1vat sta\u017een\u00ed akciov\u00fdch a op\u010dn\u00edch dat k\u00a0tomuto titulu. Na listu \u201eStart\u201c<\/strong> bude ka\u017ed\u00e1 \u0159ada reprezentov\u00e1na \u010d\u00edslem sloupce<\/strong>, ve kter\u00e9m se p\u0159\u00edslu\u0161n\u00fd seznam ticker\u016f nach\u00e1z\u00ed<\/strong> na listu \u201eTickers\u201c<\/strong>.<\/p>\n

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\u00a0 V\u00a0obr\u00e1zku je ozna\u010den\u00ed datov\u00e9 \u0159ady \u010d\u00edslem \u201e2\u201c. Znamen\u00e1 to, \u017ee nyn\u00ed budu cht\u00edt testovat akciov\u00e9 tickery z\u00a0listu \u201eTicker\u201c<\/strong> ve sloupci \u201eB\u201c<\/strong><\/p>\n

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\u00a0 Mohu pak vypozorovat, \u017ee v\u00a0druh\u00e9m sloupci<\/strong> m\u00e1m data akciov\u00e9ho indexu Dow Jones Insdustrial Average<\/strong>, tato data pak budou postupn\u011b do lisu na\u010d\u00edt\u00e1na. Mohu si tak\u00e9 v\u0161imnout p\u0159ipraven\u00fdch sloupc\u016f pro akciov\u00e9 tituly zahrnut\u00e9 do indexu S&P 500<\/strong> (sloupec \u010d.4), Russell 2000<\/strong> (sloupec \u010d.6) nebo Nasdaq 100<\/strong> (sloupec \u010d.8). Mohu si vytv\u00e1\u0159et pochopiteln\u011b libovoln\u011b sv\u00e9 vlastn\u00ed sloupce se seznamy akciov\u00fdch titul\u016f podle vlastn\u00edho uv\u00e1\u017een\u00ed, nap\u0159\u00edklad importovat v\u00fdsledky n\u011bjak\u00e9ho webov\u00e9ho screeneru, preferovat vlastn\u00ed sestaven\u00fd v\u00fdb\u011br apod. Z\u00e1kladn\u00edm pravidlem pro sestaven\u00ed takov\u00e9ho seznamu je pak zji\u0161t\u011bn\u00ed, jestli se dan\u00fd ticker obchoduje prost\u0159ednictv\u00edm m\u00e9ho brokera a poskytuje alespo\u0148 akciov\u00e1 data. Mus\u00edm proto (nap\u0159\u00edklad datov\u00e1 \u0159ada pro Russell 2000) takov\u00e9 \u0159ady nejd\u0159\u00edve upravit o odstran\u011bn\u00ed titul\u016f, pro kter\u00e9 nedisponuje IB \u017e\u00e1dn\u00fdmi daty, analytick\u00fd n\u00e1stroj by pak zastavoval b\u011bh procedury v p\u0159\u00edpad\u011b, \u017ee by se takov\u00e9 tituly v datov\u00e9 \u0159ad\u011b nach\u00e1zely.<\/p>\n

\u00a0\u00a0Expirace a Po\u010d\u00edtadlo<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Pro hled\u00e1n\u00ed obchodn\u00edch p\u0159\u00edle\u017eitost\u00ed pro kombinace Conversion a Reversal na ATM strike mus\u00edm samoz\u0159ejm\u011b pro pot\u0159eby stahov\u00e1n\u00ed op\u010dn\u00edch dat datov\u00e9mu serveru sd\u011blit, o jakou expiraci<\/strong> op\u010dn\u00edch kontrakt\u016f m\u00e1m z\u00e1jem. Toto zad\u00e1m do p\u0159\u00edslu\u0161n\u00e9 bu\u0148ky na listu \u201eStart\u201c n\u00e1sledovn\u011b.<\/p>\n

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\u00a0\u00a0 \u00dadaj 20200821 (1)<\/span><\/strong> pak znamen\u00e1 datum expirace v\u00a0p\u00e1tek 21.8.2020, p\u0159esn\u011b v\u00a0takov\u00e9m tvaru RRRRMMDD mus\u00edm aplikaci pro stahov\u00e1n\u00ed sd\u011blit po\u017eadovan\u00e9 expira\u010dn\u00ed datum. D\u00e1le m\u00e1m na listu \u201eStart\u201c um\u00edst\u011bno Po\u010d\u00edtadlo<\/strong>, kter\u00e9 reprezentuje \u0159\u00e1dek<\/strong> sady Ticker\u016f z\u00a0listu \u201eTickers\u201c, kter\u00fd po\u017eaduji zpracovat. Toto \u010d\u00edslo mi pak pom\u00e1h\u00e1 jednak pozorovat pr\u016fb\u011bh zpracov\u00e1n\u00ed anal\u00fdzy, proto\u017ee se po ka\u017ed\u00e9m zpracovan\u00e9m tickeru zvedne o hodnotu jedna a tak\u00e9 pom\u00e1h\u00e1 v\u00a0p\u0159\u00edpad\u011b probl\u00e9m\u016f vypozorovat, na kter\u00e9m \u0159\u00e1dku datov\u00e9 sady ticker\u016f je n\u011bjak\u00e1 chyba v\u00a0na\u010d\u00edt\u00e1n\u00ed, kterou je zapot\u0159eb\u00ed opravit. P\u0159eru\u0161en\u00ed b\u011bhu aplikace se stavem po\u010ditadla 248 p\u0159i zpracov\u00e1n\u00ed titul\u016f zahrnut\u00fdch do indexu S&P 500 mi pak \u0159\u00edk\u00e1, \u017ee jsem v\u00a0polovin\u011b zpracov\u00e1van\u00e9ho procesu a chybu mi generuje pr\u00e1v\u011b \u0159\u00e1dek 248 ve sloupci 4.<\/p>\n

V\u00fdsledek anal\u00fdzy<\/strong><\/span><\/h2>\n

\u00a0\u00a0 V\u00fdsledky ka\u017ed\u00e9ho zpracov\u00e1n\u00ed dat jsou p\u0159en\u00e1\u0161eny na list \u201eResult\u201c<\/strong><\/p>\n

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\u00a0\u00a0 Po zpracov\u00e1n\u00ed ticker\u016f n\u00e1le\u017eej\u00edc\u00edch do indexu DJIA (kter\u00e9 trvalo necel\u00e9 t\u0159i minuty) mohu vypozorovat, \u017ee na listu \u201eResult\u201c (1)<\/span><\/strong> m\u00e1m vypln\u011bn\u00e9 \u0159\u00e1dky s\u00a0v\u00fdsledky zpracov\u00e1n\u00ed pro ka\u017ed\u00fd akciov\u00fd ticker z\u00a0t\u00e9to datov\u00e9 sady. Podle nadepsan\u00e9 hlavi\u010dky p\u0159ehledu pak mohu vedle tickeru v\u00a0ka\u017ed\u00e9m \u0159\u00e1dku vypozorovat o jakou expiraci se jedn\u00e1 (2)<\/strong><\/span> a jak\u00fd je Ask a Bid pro dan\u00fd akciov\u00fd titul pro danou chv\u00edli zpracov\u00e1n\u00ed (3)<\/strong><\/span>. Prvn\u00ed sekce sloupc\u016f (4)<\/strong> <\/span>ozna\u010duje v\u00fdsledek v\u00a0p\u0159\u00edpad\u011b, \u017ee anal\u00fdza nalezla ceny op\u010dn\u00edch kontrakt\u016f v\u00a0sekci op\u010dn\u00edch strike s\u00a0krokem jeden dolar a ud\u00e1v\u00e1 hodnotu nalezen\u00e9ho ATM strike a ji\u017e vypo\u010d\u00edtanou hodnotu Conversion a Reversal pro na\u010dten\u00e9 ceny op\u010dn\u00edch kontrakt\u016f Call i Put v\u00a0kombinaci s\u00a0akciov\u00fdmi Ask a Bid (princip d\u00e1le v\u00a0textu popisu skriptu VBA). Pokud jsou jednotliv\u00e9 bu\u0148ky podbarveny zelen\u011b, znamen\u00e1 to, \u017ee s\u00a0takov\u00fdm v\u00fdsledkem by se dala p\u0159\u00edle\u017eitost zobchodovat v\u00a0m\u016fj prosp\u011bch v\u00a0danou chv\u00edli anal\u00fdzy a mohla by si tak zasluhovat n\u011bjakou d\u00e1vku m\u00e9 pozornosti a dal\u0161\u00edho podrobn\u011bj\u0161\u00edho zkoum\u00e1n\u00ed. Dv\u011b n\u00e1sledn\u00e9 skupiny sloupc\u016f pak zobrazuj\u00ed tot\u00e9\u017e, ale pro nalezen\u00e9 op\u010dn\u00ed kontrakty s\u00a0krokem jin\u00fdm ne\u017e jeden dolar, tedy 2.50 USD (5)<\/strong> <\/span>a 5.00 USD (6)<\/strong><\/span>, jak pops\u00e1no v\u00fd\u0161e v\u00a0textu.<\/p>\n

\u00a0\u00a0 Pro takto prozkouman\u00fd a p\u0159ipraven\u00fd excelovsk\u00fd se\u0161it pro hled\u00e1n\u00ed p\u0159\u00edle\u017eitost\u00ed na ATM Conversion a Reversal pro jak\u00e9koliv akciov\u00e9 tituly kter\u00e9 m\u011b jenom mohou napadnout, pak mohu uk\u00e1zat napsan\u00fd VBA skript<\/strong>, kter\u00fd bude tento p\u0159ipraven\u00fd excelovsk\u00fd se\u0161it plnit sta\u017een\u00fdmi daty a zapisovat jednotliv\u00e9 v\u00fdsledky.<\/p>\n

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\u00a0\u00a0 VBA skript a \u201eN\u00e1vod k\u00a0pou\u017eit\u00ed\u201c<\/strong><\/span><\/h1>\n

\u00a0\u00a0 M\u00fdm konkr\u00e9tn\u00edm \u00fakolem bude nyn\u00ed otestovat t\u0159icet akciov\u00fdch titul\u016f z\u00a0akciov\u00e9ho indexu DJIA<\/strong> a zjistit, jestli se na ATM strike nenach\u00e1z\u00ed v\u00fdrazn\u00e1 obchodn\u00ed p\u0159\u00edle\u017eitost k\u00a0po\u0159\u00edzen\u00ed Conversion<\/strong> a Reversal<\/strong> za pou\u017eit\u00ed op\u010dn\u00edch kontrakt\u016f s\u00a0expirac\u00ed<\/strong> v\u00a0p\u00e1tek 21.8.2020<\/strong>. Znamen\u00e1 to, \u017ee budu z\u00a0listu \u201eTickers\u201c vyb\u00edrat ze druh\u00e9ho sloupce<\/strong> seznamu ticker\u016f.<\/p>\n

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\u00a0 \u00a0Ve sloupci \u201eB\u201c<\/strong> reprezentuj\u00edc\u00ed seznam ticker\u016f DJIA je prvn\u00edm tickerem MMM<\/strong>, seznam kon\u010d\u00ed titulem DIS<\/strong>. V seznamu chyb\u00ed akciov\u00fd titul CSCO, kter\u00fd p\u0159i zpracov\u00e1n\u00ed vykazuje chybu, a to takovou, kterou dokonce popisuje koment\u00e1\u0159 k po\u017e\u00edv\u00e1n\u00ed RTD serveru na str\u00e1nk\u00e1ch IB.<\/p>\n

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\u00a0\u00a0 Data t\u00fdkaj\u00edc\u00ed se CSCO tak mus\u00edm o\u017eelet a pouze na okraj uv\u00e1d\u00edm, \u017ee dal\u0161\u00edch podobn\u00fdch titul\u016f z\u00a0obrovsk\u00e9 plej\u00e1dy mo\u017en\u00fdch ticker\u016f se takov\u00e9 upozorn\u011bn\u00ed t\u00fdk\u00e1 opravdu jen mal\u00e9 hrstky (zmi\u0148ovan\u00fd MSFT z\u00a0textu z\u00a0obr\u00e1zku v\u00fd\u0161e nap\u0159\u00edklad ji\u017e \u017e\u00e1dn\u00e9 probl\u00e9my ned\u011bl\u00e1)<\/p>\n

\u00a0\u00a0 Anal\u00fdzu tedy zapo\u010dnu tak, \u017ee do bu\u0148ky pro ticker na listu \u201eStart\u201c<\/strong> zap\u00ed\u0161u pr\u00e1v\u011b hodnotu prvn\u00edho titulu (MMM<\/strong>) a nastav\u00edm dal\u0161\u00ed parametry<\/strong>.<\/p>\n

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\u00a0\u00a0 Z\u00e1pis tickeru MMM (1)<\/span><\/strong> na\u010dte data pro akcie a op\u010dn\u00ed kontrakty pro tento prvn\u00ed titul v\u00a0datov\u00e9 sad\u011b ticker\u016f, a to pro vybranou expiraci 21.8.2020 (20200828) (2)<\/span><\/strong>. Zvol\u00edm tickerovou sadu DJIA (3)<\/span><\/strong> nach\u00e1zej\u00edc\u00ed se ve druh\u00e9m sloupci na listu \u201eTickers\u201c (3)<\/strong><\/span>. Pauzu mezi zpracov\u00e1n\u00edm ponech\u00e1m na p\u011bti sekund\u00e1ch (4)<\/span><\/strong>. Z\u00e1pis hodnoty 2 do bu\u0148ky Po\u010ditadlo (5)<\/span><\/strong> znamen\u00e1, \u017ee chci po z\u00e1pisu hodnot prvn\u00edho tickeru (MMM) pokra\u010dovat zpracov\u00e1n\u00edm n\u00e1sleduj\u00edc\u00edho druh\u00e9ho tickeru ve zvolen\u00e9 datov\u00e9 \u0159ad\u011b. Toto zad\u00e1n\u00ed pak vlastn\u011b vykresluje celou logiku napsan\u00e9ho skriptu postupn\u00e9ho na\u010d\u00edt\u00e1n\u00ed ticker\u016f v \u010dasov\u00fdch prodlev\u00e1ch zadan\u00fdch nyn\u00ed na hodnot\u011b 5 sekund. Mezi ka\u017ed\u00fdm z\u00e1pisem tickeru s na\u010dten\u00edm nov\u00fdch hodnot bude p\u011btisekundov\u00e1 prodleva p\u0159ed zpracov\u00e1n\u00edm na\u010dten\u00fdch v\u00fdsledk\u016f. V p\u0159\u00edpad\u011b prvn\u00edho tickeru MMM a zad\u00e1n\u00edm takov\u00e9 v\u00fdchoz\u00ed konstelace anal\u00fdzy na listu \u201eStart\u201c pak t\u011bchto p\u011bt sekund jist\u011b ub\u011bhne. Na obr\u00e1zku jsou tak\u00e9 vid\u011bt t\u0159i dal\u0161\u00ed tla\u010d\u00edtka (6)<\/span><\/strong>, kter\u00e9 budou proceduru zpracov\u00e1n\u00ed spou\u0161t\u011bt, zastavovat a mazat zpracovan\u00e1 data p\u0159ed dal\u0161\u00edmi anal\u00fdzami. Z uveden\u00e9ho pak vypl\u00fdv\u00e1, \u017ee krom\u011b samotn\u00e9ho analyzuj\u00edc\u00edho makra budou v m\u00e9m se\u0161itu dal\u0161\u00ed t\u0159i makra, kter\u00e1 budu spou\u0161t\u011bt pomoc\u00ed t\u011bchto tla\u010d\u00edtek.<\/p>\n

\u00a0\u00a0 Vlastn\u00ed hlavn\u00ed skript (makro) jsem si nazval Stream<\/strong> a jeho skript nen\u00ed nijak v\u00fdznamn\u011b rozs\u00e1hl\u00fd. Budu postupovat op\u011bt po jednotliv\u00fdch logick\u00fdch \u010d\u00e1stech k\u00a0pochopen\u00ed v\u00fdznamu jednotliv\u00fdch \u0159\u00e1dk\u016f skriptu.<\/p>\n

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\u00a0\u00a0 VBA skript za\u010d\u00edn\u00e1 jako obvykle deklarac\u00ed prom\u011bnn\u00fdch<\/strong>, kter\u00fdch budu ve skriptu vyu\u017e\u00edvat. Je patrn\u00e9, \u017ee jsem zvolil \u00fasporn\u011bj\u0161\u00ed mo\u017enost z\u00e1pisu v\u00edce prom\u011bnn\u00fdch na jeden \u0159\u00e1dek. V\u00a0\u010d\u00e1sti skriptu (1)<\/strong> <\/span>jsem nadeklaroval prom\u011bnn\u00e9, kter\u00e9 budou m\u00edt tvar desetinn\u00e9ho \u010d\u00edsla (As Double<\/strong><\/span><\/em>) a bude se jednat o prom\u011bnn\u00e9 nesouc\u00ed hodnoty Ask a Bid pro na\u010dten\u00e9 akciov\u00e9 ceny (StockAsk, StockBid), hodnotu ATM strike pro ka\u017edou sadu strike podle jednotliv\u00fdch krok\u016f mezi hodnotami sousedn\u00edch strike (Strike1, Strike2_5 a Strike5) a hodnoty op\u010dn\u00edch kontrakt\u016f Call i Put na t\u011bchto strike v obou mo\u017enostech Long a Short, nap\u0159\u00edklad pro ATM strike v \u010d\u00e1sti, kde je krok strike jeden dolar budu m\u00edt nadeklarov\u00e1ny prom\u011bnn\u00e9 LongCall1, ShortCall1, LongPut1 a ShortPut1, obdobn\u011b pak d\u00e1le pro strike s jin\u00fdmi kroky strike (2.50 USD a 5 USD). V \u010d\u00e1sti skriptu (2)<\/strong><\/span> m\u00e1m nadeklarov\u00e1ny prom\u011bnn\u00e9, kter\u00e9 budou m\u00edt podobu textu (As String<\/strong><\/em><\/span>) \u00a0a prom\u011bnn\u00e9, kter\u00e9 budou cel\u00fdmi \u010d\u00edsly (As Integer<\/strong><\/em><\/span>). Posledn\u00ed odstavec skriptu (3)<\/strong><\/span> je nastaven\u00edm pou\u017e\u00edvan\u00fdch list\u016f v m\u00e9m excelovsk\u00e9m se\u0161itu, do jeho\u017e jednotliv\u00fdch list\u016f budu do p\u0159\u00edslu\u0161n\u00fdch bun\u011bk zapisovat nebo \u010derpat nejr\u016fzn\u011bj\u0161\u00ed \u00fadaje.<\/p>\n

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\u00a0\u00a0 VBA skript pokra\u010duje na\u010dten\u00edm hodnoty n\u011bkter\u00fdch prom\u011bnn\u00fdch. Prom\u011bnn\u00e1 \u201eChyba\u201c (4)<\/span><\/strong> bude m\u00edt tvar hl\u00e1\u0161ky \u201eTwsRtdServer error: No security definition has been found for the request\u201c, proto\u017ee toto je p\u0159esn\u00e9 zn\u011bn\u00ed ozn\u00e1men\u00ed serveru, \u017ee na zadan\u00e9m strike nen\u00ed mo\u017en\u00e9 nal\u00e9zt p\u0159\u00edslu\u0161n\u00fd investi\u010dn\u00ed n\u00e1stroj, tedy v m\u00e9m p\u0159\u00edpad\u011b neexistuje listovan\u00e1 opce na tomto strike pro tuto expiraci. Seznam t\u011bchto chybov\u00fdch hl\u00e1\u0161en\u00ed i s popisem co znamenaj\u00ed m\u016f\u017eete nal\u00e9zt zde<\/a><\/strong><\/span>. Dal\u0161\u00ed prom\u011bnn\u00e9 budou na\u010dteny z\u00a0p\u0159\u00edslu\u0161n\u00fdch bun\u011bk listu \u201eStart\u201c<\/p>\n

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\u00a0\u00a0 P\u011bti \u0159\u00e1dk\u016fm skriptu (5)<\/strong><\/span> pak odpov\u00eddaj\u00ed hodnoty z\u00a0bun\u011bk z\u00a0listu \u201eStart\u201c ozna\u010den\u00e9 \u010derven\u00fdmi \u0161ipkami. V\u00a0m\u00e9m p\u0159\u00edpad\u011b pro prvn\u00ed zpracov\u00e1van\u00fd titul bude hodnota prom\u011bnn\u00fdch Exchange = SMART, Ticker = MMM, Expiration = 20200821, StockAsk = 158.33 a StockBid = 158.03. Po t\u00e9to operaci \u010dten\u00ed skriptu s\u00a0na\u010dten\u00edm prvn\u00edch prom\u011bnn\u00fdch pro prvn\u00ed ticker MMM dojde k\u00a0prvn\u00edmu z\u00e1pisu t\u011bchto na\u010dten\u00fdch hodnot do listu \u201eResult\u201c<\/strong> pomoc\u00ed n\u00e1sleduj\u00edc\u00edch \u0159\u00e1dk\u016f skriptu<\/p>\n

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\u00a0\u00a0 Zn\u00e1m\u00e1 procedura hled\u00e1n\u00ed hodnoty prom\u011bnn\u00e9 VolnyRadek (6)<\/span><\/strong> bude m\u00edt za \u00fakol nal\u00e9zt hodnotu prvn\u00edho pr\u00e1zdn\u00e9ho \u0159\u00e1dku na listu \u201eResult\u201c v\u00a0prvn\u00edm sloupci. Tuto prom\u011bnnou VolnyRadek pak vyu\u017eiji pro z\u00e1pis ji\u017e zn\u00e1m\u00fdch hodnot prom\u011bnn\u00fdch pro ticker MMM do listu \u201eResult\u201c do prvn\u00edho voln\u00e9ho \u0159\u00e1dku. Prom\u011bnn\u00e9 Ticker, Expiration, StockAsk a StockBid pro MMM pak budou zaps\u00e1ny takto.<\/p>\n

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\u00a0\u00a0 Po zaps\u00e1n\u00ed t\u011bchto hodnot prom\u011bnn\u00fdch do listu \u201eResult\u201c za\u010dne skript vyhodnocovat na\u010dten\u00e9 hodnoty op\u010dn\u00edch kontrakt\u016f na ATM strike a pokus\u00ed se je sestavit do kombinace Conversion a Reversal spole\u010dn\u011b s\u00a0cenami akci\u00ed. Pro prvn\u00ed ticker MMM pak mus\u00edm konstatovat, \u017ee s\u00a0dostupnost\u00ed cen op\u010dn\u00edch kontrakt\u016f na jednotliv\u00fdch strike je to takto:<\/p>\n

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\u00a0\u00a0 MMM jako dra\u017e\u0161\u00ed titul nedisponuje strike s\u00a0krokem jeden dolar, proto mohu vypozorovat u prvn\u00ed skupiny strike nejbl\u00ed\u017ee aktu\u00e1ln\u00ed cen\u011b (strike 158) chybovou hl\u00e1\u0161ku, \u017ee datov\u00fd server nemohl naj\u00edt takto listovan\u00e9 op\u010dn\u00ed kontrakty. Chybov\u00e1 hl\u00e1\u0161ka v\u00a0bu\u0148k\u00e1ch u cen Ask i Bid pro Call 158 i Put 158 vypl\u00fdv\u00e1, \u017ee odsud \u017e\u00e1dn\u00e9 ceny do sv\u00e9ho se\u0161itu nena\u010dtu, proto se mus\u00edm p\u0159en\u00e9st do dal\u0161\u00ed sekce se strike s\u00a0krokem po 2.50 USD. tady ji\u017e vid\u00edm na strike 157.50<\/strong> v\u0161echny pot\u0159ebn\u00e9 ceny op\u010dn\u00edch kontrakt\u016f<\/strong>, proto na\u010dtu prom\u011bnn\u00fdm hodnoty z\u00a0t\u00e9to sekce. Jak jsem si s\u00a0t\u00edmto poradil ve VBA je patrn\u00e9 n\u00ed\u017ee<\/p>\n

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\u00a0\u00a0 Vyu\u017eil jsem rozhodovac\u00ed funkce If\u2026ElseIf\u2026Else<\/strong><\/span><\/em>, abych prozkoumal, zda se v\u00a0bu\u0148k\u00e1ch o kter\u00e9 m\u00e1m z\u00e1jem, neobjevuje<\/strong> chybov\u00e1 hl\u00e1\u0161ka serveru na\u010dten\u00e1 do prom\u011bnn\u00e9 Chyba<\/strong>. Mohu tuto podm\u00ednku vid\u011bt zapracovanou do dotazu v\u00a0prvn\u00edm \u0159\u00e1dku t\u00e9to sekce skriptu (8)<\/strong><\/span>, kdy se pt\u00e1m, jestli se bu\u0148ka na 11 \u0159\u00e1dku a v\u00a0p\u00e1t\u00e9m sloupci (Ask pro Long Put 158) nerovn\u00e1 prom\u011bnn\u00e9 Chyba. Pokud by to byla pravda, tak by se v\u00a0t\u00e9to sekci objevily ceny pro op\u010dn\u00ed kontrakty na strike 158 a j\u00e1 mohl prom\u011bnn\u00fdm Strike1, LongCall1, Short Call1, LongPut1 a ShortPut1 p\u0159i\u0159adit pat\u0159i\u010dn\u00e9 hodnoty z\u00a0t\u00e9to sekce strike (9).<\/strong><\/span> Mohl bych pak na list \u201eResult\u201c p\u0159en\u00e9st dal\u0161\u00ed hodnoty do \u0159\u00e1dku pro ticker MMM, kter\u00e9 hled\u00e1m a vypo\u010d\u00edt\u00e1v\u00e1m, tedy hodnotu strike (10)<\/strong><\/span>, kter\u00fd tvo\u0159\u00ed Conversion a Reversal (Strike1) a nakonec tak\u00e9 samotnou hodnotu t\u011bchto kombinac\u00ed (11)<\/strong><\/span> a (12)<\/strong><\/span> vypo\u010d\u00edtanou pomoc\u00ed prom\u011bnn\u00fdch LongCall1, Short Call1, LongPut1 a ShortPut1. Pro\u010d zrovna tento v\u00fdpo\u010det je pops\u00e1no v tomto \u010dl\u00e1nku<\/a><\/strong><\/span> \u00a0nebo v tomto \u010dl\u00e1nku<\/a><\/strong><\/span>. J\u00e1 v\u0161ak zji\u0161\u0165uji, \u017ee se mi u t\u011bchto strike objevuje chybov\u00e1 zpr\u00e1va a podm\u00ednka If<\/strong><\/span> j<\/em>e tak poru\u0161ena, proto se mus\u00edm p\u0159en\u00e9st do dal\u0161\u00ed sekce strike, tentokr\u00e1t s\u00a0krokem 2.50 USD (13)<\/strong><\/span>, kde se na bu\u0148ku na 19 \u0159\u00e1dku a v\u00a0p\u00e1t\u00e9m sloupci (Ask pro Long Put 157.50) obr\u00e1t\u00edm se stejn\u00fdm dotazem na existenci chybov\u00e9ho upozorn\u011bn\u00ed. Nyn\u00ed je podm\u00ednka pro If<\/strong><\/span><\/em> spln\u011bna a j\u00e1 mohu naplnit hodnoty prom\u011bnn\u00fdch Strike2_5<\/strong>, LongCall2_5<\/strong>, Short Call2_5<\/strong>, LongPut2_5<\/strong> a ShortPut2_5<\/strong> na\u010dten\u00fdmi op\u010dn\u00edmi cenami. Posledn\u00ed t\u0159i \u0159\u00e1dky skriptu (14)<\/strong><\/span> pak p\u0159enesou hodnotu strike a hodnotu vypo\u010dten\u00fdch kombinac\u00ed Conversion<\/strong> a Reversal<\/strong> do listu \u201eResult\u201c<\/p>\n

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\u00a0\u00a0 Z\u00e1pis je proveden do sekce pro p\u0159\u00edslu\u0161nou sadu strike s\u00a0krokem 2.50 USD. Mohu pak vypozorovat, \u017ee v\u00a0dob\u011b, kdy jsem tento v\u00fdpo\u010det provedl, bylo mo\u017en\u00e9 na tomto ATM strike na kombinaci Reversal vytvo\u0159it pozici s\u00a0bilanc\u00ed +48 USD (bez poplatk\u016f). Skript pot\u00e9 pokra\u010duje vyhodnocen\u00edm, zda neexistuje mo\u017enost, \u017ee i v\u00a0p\u0159edch\u00e1zej\u00edc\u00ed sekci s\u00a02.50 USD krokem strike se nenach\u00e1z\u00ed \u017e\u00e1dn\u00e9 op\u010dn\u00ed ceny a tyto by tak mohly b\u00fdt dostupn\u00e9 v\u00a0sekci se strike s\u00a0krokem 5.00 USD.<\/p>\n

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\u00a0\u00a0 Stejn\u00fd dotaz na chybov\u00e9 hl\u00e1\u0161en\u00ed (15)<\/strong> <\/span>je polo\u017een do bu\u0148ky na 27 \u0159\u00e1dku a v p\u00e1t\u00e9m sloupci se stejn\u00fdmi p\u0159edepsan\u00fdmi n\u00e1sledn\u00fdmi \u00fakony, kter\u00e9 by se m\u011bly prov\u00e9st, pokud by p\u0159edch\u00e1zej\u00edc\u00ed ob\u011b sekce selhaly s dod\u00e1vkou cen op\u010dn\u00edch kontrakt\u016f, tyto \u00fakony popsan\u00e9 ve skriptu jsou stejn\u00e9 jako u p\u0159edch\u00e1zej\u00edc\u00edch dotaz\u016f. Mo\u017enost, \u017ee se i v t\u00e9to posledn\u00ed sekci s p\u011btidolarov\u00fdm krokem strike nenach\u00e1z\u00ed \u017e\u00e1dn\u00e9 op\u010dn\u00ed ceny je pak o\u0161et\u0159ena v z\u00e1v\u011bru p\u0159ed ukon\u010den\u00edm procedury If\u2026Else<\/strong><\/span><\/em>, a to tak, \u017ee pokud v\u0161echny dotazy na op\u010dn\u00ed ceny selhaly, bude k tickeru MMM do listu \u201eResult\u201c nam\u00edsto hodnot veps\u00e1no hl\u00e1\u0161en\u00ed \u201eop\u010dn\u00ed kontrakty nenalezeny\u201c (16)<\/strong><\/span>. Zadan\u00fd ticker pak pravd\u011bpodobn\u011b nem\u00e1 listov\u00e1ny opce, pokud jsem je tedy nenalezl na \u017e\u00e1dn\u00e9m strike s r\u016fzn\u00fdm typem kroku mezi jednotliv\u00fdmi sousedn\u00edmi strike. Zpracov\u00e1n\u00ed na\u010dten\u00fdch dat pomoc\u00ed skriptu do tohoto m\u00edsta se po\u0159\u00e1d t\u00fdk\u00e1 prvn\u00edho tickeru MMM, pro kter\u00fd m\u00e1m v tento okam\u017eik ji\u017e v\u0161e hotovo. Nyn\u00ed tedy \u0159\u00e1dky skriptu zabezpe\u010d\u00ed na\u010dten\u00ed a zpracov\u00e1n\u00ed dal\u0161\u00edho tickeru ve zvolen\u00e9 tickerov\u00e9 sad\u011b.<\/p>\n

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\u00a0 Na\u010dten\u00edm dal\u0161\u00edch prom\u011bnn\u00fdch provedu zji\u0161t\u011bn\u00ed hodnoty AktualniRadek (17)<\/span><\/strong>, kter\u00e9 reprezentuje bu\u0148ka Po\u010ditadla (G6) na listu \u201eStart\u201c<\/strong>. Moment\u00e1ln\u011b je zde hodnota 2, proto\u017ee se pr\u00e1v\u011b zpracoval prvn\u00ed ticker v\u00a0\u0159ad\u011b MMM a \u010dek\u00e1 se na na\u010dten\u00ed druh\u00e9ho tickeru (AXP). To, \u017ee se jedn\u00e1 pr\u00e1v\u011b o ticker AXP vypl\u00fdv\u00e1 z\u00a0v\u00fdb\u011bru sady ticker\u016f na dal\u0161\u00edm \u0159\u00e1dku skriptu, kde na\u010dtu hodnotu prom\u011bnn\u00e9 TickerSet (18)<\/span><\/strong>, kter\u00e1 se nach\u00e1z\u00ed v\u00a0bu\u0148ce D6 a m\u00e1m zde veps\u00e1nu hodnotu 2, tedy druh\u00fd sloupec na listu \u201eTickers\u201c s\u00a0tickery pro akciov\u00fd index DJIA. Hodnota prom\u011bnn\u00e9 Ticker (19)<\/span><\/strong> tak bude na\u010dtena z\u00a0bu\u0148ky na listu \u201eTickers\u201c<\/strong>, jej\u00ed\u017e topografie bude sestavena pr\u00e1v\u011b z p\u0159edch\u00e1zej\u00edc\u00edch prom\u011bnn\u00fdch (AktualniRadek, TickerSet), moment\u00e1ln\u011b z bu\u0148ky na druh\u00e9m \u0159\u00e1dku (AktualniRadek) a ve druh\u00e9m sloupci (TickerSet) a tam se nach\u00e1z\u00ed ticker AXP. Tento pak bude na\u010dten do bu\u0148ky pro zad\u00e1n\u00ed tickeru na listu \u201eStart\u201c, kde se nyn\u00ed nach\u00e1z\u00ed MMM a toto tak bude p\u0159eps\u00e1no na AXP (20)<\/strong><\/span>. Rozhodovac\u00ed procedura If\u2026Then<\/em><\/span> (21)<\/span><\/strong> pak zjist\u00ed, jestli ji\u017e nen\u00ed po\u010det ticker\u016f vy\u010derp\u00e1n a jestli se ve sloupci bun\u011bk, odkud je nyn\u00ed \u010derp\u00e1m, nenach\u00e1z\u00ed pr\u00e1zdn\u00e1 bu\u0148ka. Pokud by toto byla pravda, tak vysko\u010d\u00ed ohla\u0161ovac\u00ed okno s upozorn\u011bn\u00edm \u201eV\u0161echny tituly zpracov\u00e1ny !!!\u201c. Novinkou je nyn\u00ed p\u0159\u00edkaz Call<\/strong> <\/em><\/span>nach\u00e1zej\u00edc\u00ed se na dal\u0161\u00edm \u0159\u00e1dku (22)<\/strong><\/span>. Tento p\u0159\u00edkaz m\u00e1 za \u00fakol p\u0159eru\u0161it zpracov\u00e1v\u00e1n\u00ed tohoto makra a \u201ezavolat\u201c dal\u0161\u00ed makro<\/strong> a v n\u011bm vykonat n\u011bjakou proceduru. M\u016fj p\u0159\u00edkaz Call obsahuje vol\u00e1n\u00ed makra s n\u00e1zvem Spustit<\/strong> a pr\u00e1v\u011b makro Spustit mi bude o\u0161et\u0159ovat prodlevu pot\u0159ebnou pro na\u010dten\u00ed dat ze serveru Interactive Brokers. Ne\u017e jej uk\u00e1\u017eu, upozorn\u00edm na posledn\u00ed \u0159\u00e1dky skriptu z obr\u00e1zku, kdy po zpracov\u00e1n\u00ed volan\u00e9ho dal\u0161\u00edho makra zv\u00fd\u0161\u00edm hodnotu Po\u010ditadla<\/strong> na listu \u201eStart\u201c o jedni\u010dku (23)<\/span><\/strong>, abych zajistil na\u010dten\u00ed dal\u0161\u00edho tickeru v tickerov\u00e9 sad\u011b v dal\u0161\u00edm nov\u00e9m zpracov\u00e1n\u00ed. Po tomto zv\u00fd\u0161en\u00ed hodnoty Pro\u010ditadla se cel\u00e9 makro ukon\u010d\u00ed (24)<\/strong><\/span>.<\/p>\n

\u00a0\u00a0 Jak vypad\u00e1 volan\u00e9 makro Spustit<\/strong>, kter\u00e9 p\u0159eru\u0161\u00ed b\u011bh analytick\u00e9ho makra na ur\u010denou dobu pro klid ke sta\u017een\u00ed pot\u0159ebn\u00fdch dat je patrn\u00e9 z\u00a0obr\u00e1zku. Toto makro se samoz\u0159ejm\u011b nach\u00e1z\u00ed ve stejn\u00e9m Module m\u00e9ho excelovsk\u00e9ho se\u0161itu.<\/p>\n

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\u00a0\u00a0 Makro, kter\u00e9 vol\u00e1m m\u00e1 n\u00e1zev Spustit<\/strong>. M\u00e1 dv\u011b prom\u011bnn\u00e9 Sekunda<\/strong> a Prodleva (1)<\/span><\/strong> deklarovan\u00e9 As Date<\/strong><\/em><\/span>, p\u016fjde tedy o data ve form\u00e1tu \u010dasu. Hodnota prom\u011bnn\u00e9 Sekunda (2)<\/span><\/strong> je \u00fadajem z bu\u0148ky G5 z listu \u201eStart\u201c, kter\u00e9 je moment\u00e1ln\u011b nastaveno na 5 sekund. Hodnota prom\u011bnn\u00e9 Prodleva (3)<\/span><\/strong> je ur\u010dena hodnotou funkce Now<\/strong><\/em><\/span>, kter\u00e1 vrac\u00ed aktu\u00e1ln\u00ed \u010das<\/strong> s p\u0159i\u010dten\u00edm<\/strong> hodnoty prom\u011bnn\u00e9 Sekunda<\/strong>, v m\u00e9m p\u0159\u00edpad\u011b bude hodnota prom\u011bnn\u00e9 Prodleva znamenat sou\u010dasnou hodnotu aktu\u00e1ln\u00edho \u010dasu zv\u00fd\u0161enou o p\u011bt sekund. Cel\u00fd proces pozastaven\u00ed pak za\u0159izuje funkce Application.OnTime<\/strong><\/em><\/span>, kter\u00e1 um\u00ed za\u0159\u00eddit, aby se spustila ur\u010dit\u00e1 procedura v ur\u010dit\u00e9m okam\u017eiku v budoucnosti (4)<\/strong><\/span>. V m\u00e9m p\u0159\u00edpad\u011b pak budu cht\u00edt, aby po pauze<\/strong> vyj\u00e1d\u0159en\u00e9 prom\u011bnnou Prodleva bylo spu\u0161t\u011bno <\/strong>makro Stream<\/strong>, tedy m\u00e9 hlavn\u00ed analytick\u00e9 makro zpracov\u00e1vaj\u00edc\u00ed jednotliv\u00e9 Tickery. Vypln\u011bn\u00edm tohoto zad\u00e1n\u00ed (p\u011btivte\u0159inov\u00e9 \u010dek\u00e1n\u00ed) se toto makro Spustit ukon\u010d\u00ed a v b\u011bhu pokra\u010duje hlavn\u00ed makro Stream. Makru je pak p\u0159i\u0159azeno tla\u010d\u00edtko na listu \u201eStart\u201c, kter\u00fdm spou\u0161t\u00edm proceduru anal\u00fdzy. Druh\u00e9mu tla\u010d\u00edtku na listu \u201eStart\u201c, kter\u00e9 anal\u00fdzu zastavuje je pak p\u0159i\u0159azeno makro, kter\u00e9 celou anal\u00fdzu zastavuje, jeho skript je na obr\u00e1zku n\u00ed\u017ee.<\/p>\n

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\u00a0 \u00a0Nastaven\u00edm procedury Application.OnTime<\/strong><\/em><\/span> jako False<\/strong> <\/em><\/span>(\u010derven\u00e1 \u0161ipka) zp\u016fsobuje zastaven\u00ed p\u016fvodn\u00ed procedury, kter\u00e1 je nastavena jako True, toto se v\u0161ak nemus\u00ed u p\u016fvodn\u00ed (spou\u0161t\u011bc\u00ed) procedury uv\u00e1d\u011bt. T\u0159et\u00ed tla\u010d\u00edtko<\/strong>, kter\u00e9 jsem si nainstaloval na list \u201eStart\u201c reprezentuje maz\u00e1n\u00ed<\/strong> proveden\u00e9 anal\u00fdzy p\u0159ed proveden\u00edm dal\u0161\u00ed. Jeho pov\u011bdom\u00fd skript z\u00a0minul\u00fdch \u010dl\u00e1nk\u016f vypad\u00e1 n\u00e1sledovn\u011b.<\/p>\n

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\u00a0\u00a0 Makro VymazTest<\/strong> podle m\u00e9ho ji\u017e nepot\u0159ebuje \u017e\u00e1dn\u00fd koment\u00e1\u0159, ma\u017ee oblast bun\u011bk zapln\u011bn\u00e9 daty proveden\u00e9 anal\u00fdzy.<\/p>\n

\u00a0\u00a0 Takto napsan\u00fd VBA skript pak velmi jednodu\u0161e um\u00ed analyzovat na\u010dten\u00e1 op\u010dn\u00ed a akciov\u00e1 data do m\u00e9ho excelovsk\u00e9ho se\u0161itu a prov\u00e1d\u011bt nejr\u016fzn\u011bj\u0161\u00ed v\u00fdpo\u010dty. Nemus\u00edm m\u00edt zrovna n\u011bjakou velkou fantazii, abych si neum\u011bl p\u0159edstavit analyzov\u00e1n\u00ed p\u0159\u00edle\u017eitost\u00ed Conversion a Reversal tak\u00e9 sou\u010dasn\u011b na jin\u00fdch strike ne\u017e pr\u00e1v\u011b na ATM a roz\u0161\u00ed\u0159il tak z\u00e1b\u011br m\u00e9ho pozorov\u00e1n\u00ed na v\u011bt\u0161\u00ed vzorek zpracov\u00e1van\u00fdch dat. Mohu tak\u00e9 sledovat jin\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti, ne\u017e jsou pr\u00e1v\u011b jen tyto kombinace, uk\u00e1zka skriptu je jen vod\u00edtkem, jak by se mohly takov\u00e9 \u010dinnosti zpracovat. Z\u00e1kladem takov\u00fdch stahov\u00e1n\u00ed je pak rychlost, s\u00a0jakou mohu takovou anal\u00fdzu prov\u00e9st v\u00a0podm\u00ednk\u00e1ch m\u00e9ho po\u010d\u00edta\u010dov\u00e9ho vybaven\u00ed. Mohu vych\u00e1zet z\u00a0p\u0159edpokladu, \u017ee vyhodnocen\u00e9 analyzovan\u00e9 p\u0159\u00edle\u017eitosti z\u016fstanou v\u00a0trz\u00edch n\u011bjakou dobu a pot\u00e9 je budu moci nap\u0159\u00edklad zobchodovat. Prov\u00e9st anal\u00fdzu pro 500 ticker\u016f n\u00e1le\u017eej\u00edc\u00edch do indexu S&P500 pak trv\u00e1 zhruba t\u0159i\u010dtvrt\u011b hodiny (p\u0159i intervalu prodlevy 5 sekund) a neum\u00edm si v\u016fbec p\u0159edstavit, \u017ee bych n\u011bco takov\u00e9ho prov\u00e1d\u011bl ru\u010dn\u011b a je\u0161t\u011b se nap\u0159\u00edklad nespletl ve v\u00fdpo\u010dtu nebo v\u00fdb\u011bru strike, toto je prost\u011b nemo\u017en\u00e9.<\/p>\n

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\u00a0\u00a0 Co se zji\u0161t\u011bn\u00fdmi analytick\u00fdmi v\u00fdstupy vlastn\u011b d\u011blat? Nejl\u00e9pe je tyto v\u00fdsledky zobchodovat :c) Po\u0159\u00eddit Conversion nebo Reversal \u201eza plus\u201c pak znamen\u00e1 bezrizikov\u00fd obchod, jeho\u017e v\u00fdsledkem by m\u011bl b\u00fdt pr\u00e1v\u011b tento \u201eplus\u201c. Nalezen\u00e9 p\u0159\u00edle\u017eitosti je v\u0161ak zapot\u0159eb\u00ed podrobit zkoum\u00e1n\u00ed, pro\u010d jsou takov\u00e9 p\u0159\u00edle\u017eitosti k dispozici. Pohledem na anal\u00fdzu, kterou jsem vyhotovil p\u0159i psan\u00ed t\u011bchto \u0159\u00e1dek na p\u011bti stech titulech akciov\u00e9ho indexu S&P 500 mohu vypozorovat tyto p\u0159\u00edle\u017eitosti hned na prvn\u00edch \u0159\u00e1dc\u00edch v\u00fdsledk\u016f. P\u0159i jejich zkoum\u00e1n\u00ed a interpretaci si mus\u00edm d\u00e1t pozor zejm\u00e9na na n\u011bkolik okolnost\u00ed – Dividendy, poplatky (\u00faroky) za p\u016fj\u010den\u00ed akci\u00ed a na chv\u00edle, kdy anal\u00fdzu prov\u00e1d\u00edm.<\/p>\n

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Dividendy<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Zd\u00e1lo by se, \u017ee po\u0159\u00eddit Reversal na strike, kter\u00e9 mi anal\u00fdza vyhodnotila pro expiraci 21.8.2020 by bylo vhodn\u00e9 pro tituly XOM, WMT a CVX. V\u0161echny tituly nab\u00edz\u00ed takovou konstrukci Reversal se slu\u0161n\u00fdm zhodnocen\u00edm v des\u00edtk\u00e1ch dolar\u016f, jako bezrizikov\u00e1 investice to vypad\u00e1 opravdu dob\u0159e. Nen\u00ed tomu ale tak, v\u0161echny t\u0159i tituly toti\u017e do expirace opc\u00ed 21.8.2020 vypl\u00e1cej\u00ed Dividendu<\/strong> (maj\u00ed Ex-Dividend Day). Vypl\u00e1cen\u00ed Dividendy se prom\u00edt\u00e1 do ceny Put op\u010dn\u00edch kontrakt\u016f, toto jsem popisoval v tomto \u010dl\u00e1nku<\/a>.<\/strong><\/span> Ceny Put opc\u00ed jsou tak ohodnoceny pr\u00e1v\u011b s ohledem na vypl\u00e1cenou Dividendu, tento probl\u00e9m jsem popsal tak\u00e9 v tomto \u010dl\u00e1nku<\/a><\/strong><\/span>. Reversal, jako kombinace Long Call, 100x Short akci\u00ed a Short Put s\u00a0opcemi na stejn\u00e9m strike, pak zp\u016fsobuje, \u017ee sice z\u00edsk\u00e1m p\u0159ebytek na sv\u016fj \u00fa\u010det, ale jako dr\u017eitel Short akciov\u00e9 pozice na Ex-Dividend Day mus\u00edm zaplatit Dividendu v\u00a0pln\u00e9 v\u00fd\u0161i, takov\u00e1 skute\u010dnost pak zp\u016fsobuje, \u017ee na takto vyhodnocen\u00e9 p\u0159\u00edle\u017eitosti mus\u00edm zapomenout. Pro \u00faplnost, CVX m\u00e1 EDD 18.8.2020 s\u00a0Dividendou +129 USD, XOM m\u00e1 EDD 12.8.2020 s\u00a0Dividendou +87 USD a \u00a0WMT m\u00e1 EDD 13.8.2020 s\u00a0Dividendou +54 USD.<\/p>\n

\u00daroky za p\u016fj\u010den\u00ed akci\u00ed<\/strong><\/span><\/h2>\n

\u00a0\u00a0 D\u011btsk\u00e1 h\u00e1danka: \u201c\u2026P\u0159edstavte si zaoce\u00e1nsk\u00e9 plavidlo Queen Mary2. Lodi vel\u00ed kapit\u00e1n Ronald Warwick, jeho\u017e otec byl kapit\u00e1nem p\u0159edch\u016fdkyn\u011b Queen Mary. Na lodi je 37 v\u00fdtah\u016f, 5000 schod\u016f, 1310 kajut pro cestuj\u00edc\u00ed, 2000 koupelen, 955 balkon\u016f, 500 km potrub\u00ed, 80 tis\u00edc sv\u00edtidel, 3000 telefon\u016f, 8000 hasic\u00edch p\u0159\u00edstroj\u016f, 5 velk\u00fdch baz\u00e9n\u016f, mal\u00e1 nemocnice, 14 bar\u016f, divadlo, muzeum, planet\u00e1rium a knihovna. O denn\u00ed spot\u0159ebu 1100 tun sladk\u00e9 vody se staraj\u00ed t\u0159i \u00fapravny. Nejdra\u017e\u0161\u00ed l\u00edstek p\u0159i prvn\u00ed plavb\u011b vy\u0161el na 1,5 mil. K\u010d. Pohon lodi je \u010dty\u0159mi dieselov\u00fdmi motory, a jako dopl\u0148kov\u00fd pohon jsou instalov\u00e1ny i dv\u011b spalovac\u00ed turbiny….“ <\/em>Ot\u00e1zka: „Jak zjist\u00edm, kolik m\u00e1 kapit\u00e1n Ronald Warwick d\u011bt\u00ed?…<\/em>\u201e Odpov\u011b\u010f: \u201eZept\u00e1m se ho!<\/em>\u201c<\/p>\n

\u00a0\u00a0 P\u0159esn\u011b v tomto duchu d\u011btsk\u00e9 h\u00e1danky jsem po\u0159\u00eddil konkr\u00e9tn\u00ed Reversal na sv\u016fj \u00fa\u010det. P\u0159esto\u017ee jsem vybaven n\u00e1strojem, kter\u00fd um\u00ed vyhledat tyto p\u0159\u00edle\u017eitosti, na tento obchod m\u011b upozornil Marian, m\u016fj kamar\u00e1d op\u010dn\u00ed obchodn\u00edk. Nebyla tedy v\u00fdsledkem pros\u00e9v\u00e1n\u00ed stovek titul\u016f akciov\u00fdch ticker\u016f. Na titulu NKLA se objevila obrovsk\u00e1 p\u0159\u00edle\u017eitost na Reversal, kterou jsme si neum\u011bli nijak vysv\u011btlit, na takovou p\u0159\u00edle\u017eitost bych ale p\u0159i skenov\u00e1n\u00ed titul\u016f, do kter\u00e9ho by byla NKLA zahrnuta, mohl velmi pravd\u011bpodobn\u011b narazit. Short Put opce na tento titul byly natolik drah\u00e9, \u017ee se zd\u00e1lo, \u017ee tv\u016frci trhu na tomto titulu nejsou zcela du\u0161evn\u011b v po\u0159\u00e1dku. NKLA nen\u00ed na trz\u00edch dlouho a pokou\u0161\u00ed se proniknout na trz\u00edch v segmentu elektroaut, kdy\u017e cenov\u00fd pr\u016fb\u011bh tohoto titulu zaznamenaly v posledn\u00edch m\u011bs\u00edc\u00edch velmi divok\u00fd pr\u016fb\u011bh, jak by mohl ale takov\u00fd volatiln\u00ed pr\u016fb\u011bh m\u00edt vliv na cenu Put kontrakt\u016f? M\u00e1 pozice, do kter\u00e9 jsem vstoupil byla o to komplikovan\u011bj\u0161\u00ed, \u017ee nebylo v danou chv\u00edli mo\u017en\u00e9 po\u0159\u00eddit Short akciovou pozici, proto\u017ee m\u016fj broker nenab\u00edzel takovou mo\u017enost v tuto danou chv\u00edli.<\/p>\n

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\u00a0\u00a0 Nemo\u017enost z\u00edskat Short akciovou pozici jsem za\u0159\u00eddil vyps\u00e1n\u00edm 2x Short Call<\/strong> hluboce \u201ev pen\u011bz\u00edch\u201c t\u011bsn\u011b p\u0159ed expirac<\/strong>\u00ed weeklys op\u010dn\u00edho kontraktu (1)<\/strong><\/span>. Za tyto dva v\u00fdpisy na strike 45 jsem obdr\u017eel 2x +653 USD a znamenalo to, \u017ee p\u0159i p\u0159i\u0159azen\u00ed otev\u0159u na sv\u00e9m \u00fa\u010dtu pozici 200x Short akci\u00ed za prodejn\u00ed cenu 45 USD\/kus, spole\u010dn\u011b s Pr\u00e9miem (45 USD +6.53 USD) to pak znamenalo, \u017ee jsem tuto pozici prodal za +51.53 USD\/kus<\/strong>. Sou\u010dasn\u011b s\u00a0touto akciovou Short pozic\u00ed jsem nakoupil v\u00a0expiraci dal\u0161\u00ed p\u00e1tek Long Call<\/strong> na strike 52<\/strong> za -175 USD<\/strong> a na t\u00e9m\u017ee strike vypsal Short Put 52<\/strong> za +708 USD (2)<\/span><\/strong>. Znamen\u00e1 to, \u017ee jsem za tento Reversal<\/strong> utr\u017eil +5.153 USD (100x Short akcie NKLA) -175 USD (Long Call 52) a +708 USD (Short Put 52), celkov\u011b tedy +5.686 USD<\/strong>. M\u00e1m zaru\u010deno, \u017ee v\u00a0expira\u010dn\u00ed p\u00e1tek bude m\u00e1 pozice zlikvidov\u00e1na za -5.200 USD<\/strong>, proto\u017ee budu muset nakoupit 100x Long akci\u00ed NKLA za cenu strike n\u011bkter\u00e9 z opc\u00ed (uplatn\u011bn\u00ed Long Call 52 nebo p\u0159i\u0159azen\u00ed Short Put 52). Toto ale znamen\u00e1 \u010dist\u00fd profit (+5.686 USD \u2013 5.200 USD) ve v\u00fd\u0161i +486 USD<\/strong><\/span> bez jak\u00e9hokoliv zjevn\u00e9ho rizika. Proto\u017ee m\u00e1m 200x Short akci\u00ed NKLA, otev\u0159el jsem je\u0161t\u011b jeden Reversal<\/strong> s expirac\u00ed za \u010dtrn\u00e1ct dn\u016f (3)<\/strong><\/span>. Long Call 52<\/strong> m\u011b vy\u0161la na -240 USD<\/strong>, ale za Short Put 52<\/strong> jsem inkasoval +1089 USD<\/strong>, spole\u010dn\u011b se 100x Short akciemi za +5.153 USD tak m\u00e1m Reversal za +6002 USD<\/strong>. Jistota likvidace pozice za -5.200 USD<\/strong> pak d\u00e1v\u00e1 t\u00e9to pozici vyd\u011blat +802 USD<\/strong><\/span>, oba Reversals by pak m\u011bly vyd\u011blat bezrizikov\u00fdch +1.288 USD<\/strong><\/span>, a to zn\u00ed velmi slibn\u011b.<\/p>\n

\u00a0\u00a0 Proto\u017ee se na Wall Street ned\u00e1vaj\u00ed ob\u011bdy zadarmo, nemohli jsme p\u0159ij\u00edt na to, kde je zakopan\u00fd pes a pro\u010d jsou Put opce tak p\u0159edra\u017een\u00e9. \u201ePsa jsme nakonec vykopali\u201c a zjistili jsme, \u017ee je to v \u00faroc\u00edch<\/strong>, \u00fa\u010dtovan\u00fdch za zap\u016fj\u010den\u00ed Short akci\u00ed NKLA<\/strong>.<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Ve sloupci Fee rate<\/strong> aplikace TWS mohu vypozorovat, \u017ee \u00faroky za takovou pozici jsou opravdu astronomick\u00e9 (772.25% p.a.) a mohl jsem je v t\u00e9to v\u00fd\u0161i vypozorovat v pond\u011bl\u00ed po p\u0159i\u0159azen\u00ed vypsan\u00fdch Short Call 45, kter\u00e9 vedly k otev\u0159en\u00ed Short akciov\u00e9 pozice. Toto \u010d\u00edslo \u00faroku, p\u0159evedeno na denn\u00ed \u00farok ve v\u00fd\u0161i 2.11 %, zcela vysv\u011btluje, pro\u010d je takov\u00fd cenov\u00fd nesoulad. V\u0161e, co jsem z\u00edskal na Pr\u00e9miu na obou Short Put odevzd\u00e1m na t\u011bchto poplatc\u00edch a je\u0161t\u011b pravd\u011bpodobn\u011b prod\u011bl\u00e1m. Existuj\u00ed ale i t\u0159i mo\u017enosti, kdyby se tak nemuselo st\u00e1t. Cena akcie NKLA za\u010dne prudce klesat (ni\u017e\u0161\u00ed cena\/ni\u017e\u0161\u00ed \u010d\u00e1stka \u00farok\u016f), za\u010dne se dramaticky sni\u017eovat tato \u00farokov\u00e1 sazba nebo mi broker tento poplatek prost\u011b nena\u00fa\u010dtuje, proto\u017ee jsem akcie z\u00edskal p\u0159i\u0159azen\u00edm. Sv\u011bte div se, staly se v\u0161echny t\u0159i skute\u010dnosti najednou. Na obr\u00e1zc\u00edch n\u00ed\u017ee je postupn\u00fd pr\u016fb\u011bh v\u00fd\u0161e \u00farok\u016f mezi 21.7.2020 a\u017e 28.7.2020<\/p>\n

21.7.2020<\/p>\n

\"\"<\/p>\n

22.7.2020<\/p>\n

\"\"<\/p>\n

23.7.2020<\/p>\n

\"\"<\/p>\n

24.7.2020<\/p>\n

\"\"<\/p>\n

27.7.2020<\/p>\n

\"\"<\/p>\n

28.7.2020<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Rovn\u011b\u017e cenov\u00fd graf nahr\u00e1val okolnosti, aby \u00faroky za shortov\u00e1n\u00ed akci\u00ed nebyly dramaticky vysok\u00e9, cena akci\u00ed toti\u017e vytrvale v dob\u011b dr\u017een\u00ed obou Reversal klesala.<\/p>\n

\"\"<\/p>\n

\u00a0\u00a0 Prudk\u00fd cenov\u00fd pokles a dramatick\u00e9 sn\u00ed\u017een\u00ed \u00farokov\u00e9 sazby bylo nakonec doprov\u00e1zeno zji\u0161t\u011bn\u00edm, \u017ee jsem na sv\u00e9m \u00fa\u010dtu nezaznamenal v\u00fdrazn\u00e9 zv\u00fd\u0161en\u00ed poplatk\u016f, kter\u00e9 by obchod ohrozilo. P\u0159esto\u017ee broker uv\u00e1d\u00ed, \u017ee tyto \u00faroky \u00fa\u010dtuje na mezidenn\u00ed b\u00e1zi a jsou sou\u010d\u00e1st\u00ed m\u011bs\u00ed\u010dn\u00edho statement, j\u00e1 je v tomto v\u00fdkazu jednodu\u0161e neobjevil. Pozor ale na tyto poplatky, kter\u00e9 mohou zp\u016fsobovat v\u00fdrazn\u00e9 zkreslov\u00e1n\u00ed op\u010dn\u00edch kontrakt\u016f a t\u00edm vytv\u00e1\u0159et nespr\u00e1vn\u00e9 obchodn\u00ed p\u0159\u00edle\u017eitosti.<\/p>\n

Premarket a Aftermarket<\/strong><\/span><\/h2>\n

\u00a0\u00a0 Prov\u00e1d\u011bt anal\u00fdzy mimo obchodn\u00ed hodiny op\u010dn\u00edch kontrakt\u016f m\u016f\u017ee zp\u016fsobit velmi mnoho investi\u010dn\u00edch p\u0159\u00edle\u017eitost\u00ed, kter\u00e9 ale ve skute\u010dnosti nebude mo\u017en\u00e9 zobchodovat. Cenov\u00e9 pohyby na akci\u00edch v Aftermarketu nebo Premarketu mohou b\u00fdt zna\u010dn\u00e9, ceny op\u010dn\u00edch kontrakt\u016f v\u0161ak z\u016fst\u00e1vaj\u00ed v t\u011bchto \u010dasov\u00fdch \u00fasec\u00edch stejn\u00e9 jako p\u0159i Close op\u010dn\u00edch trh\u016f. Je proto vhodn\u00e9 prov\u00e1d\u011bt anal\u00fdzy p\u0159\u00edle\u017eitost\u00ed na kombinac\u00edch akci\u00ed a op\u010dn\u00edch kontrakt\u016f pouze v obchodn\u00edch hodin\u00e1ch op\u010dn\u00edch kontrakt\u016f, aby nevznikaly \u201efale\u0161n\u00e9 p\u0159\u00edle\u017eitosti\u201c, kter\u00e9 nakonec zobchodovat opravdu nep\u016fjde.<\/p>\n

\n

\u00a0\u00a0 Vytvo\u0159it analytick\u00fd n\u00e1stroj pomoc\u00ed VBA skriptu za vyu\u017eit\u00ed funkc\u00ed a vlastnost\u00ed excelovsk\u00e9ho se\u0161itu m\u016f\u017ee v\u00e9st k obrovsk\u00e9mu zefektivn\u011bn\u00ed pr\u00e1ce s daty, kter\u00e9 bych bez t\u011bchto znalost\u00ed z kapacitn\u00edch a \u010dasov\u00fdch d\u016fvod\u016f velmi obt\u00ed\u017en\u011b zvl\u00e1dl. Tomuto excelu spole\u010dn\u011b se skriptem pak sta\u010d\u00ed do bu\u0148ky Tickeru napsat prvn\u00ed ticker v zadan\u00e9 tickerov\u00e9 sad\u011b, tuto tickerovou sadu ozna\u010dit \u010d\u00edslem sloupce v bu\u0148ce TickerSet, zadat analyzovanou expiraci a do bu\u0148ky pro Po\u010d\u00edtadlo vepsat \u010d\u00edslovku 2. Stisknut\u00edm tla\u010d\u00edtka \u201eSpus\u0165 test\u201c pak mohu tento analytick\u00fd n\u00e1stroj nechat pracovat nad libovolnou sadou zvolen\u00fdch ticker\u016f a ze zapsan\u00fdch v\u00fdsledk\u016f pak vyb\u00edrat mo\u017en\u00e9 obchody. Cel\u00fd n\u00e1stroj pak mohu libovoln\u011b upravit pro sv\u00e9 dal\u0161\u00ed anal\u00fdzy na \u0161ir\u0161\u00edm vzorku stahovan\u00fdch dat, kdy mohu vyb\u00edrat p\u0159\u00edle\u017eitosti na Conversion a Reversal na v\u00edce strike ne\u017e jen p\u0159\u00edsn\u011b na ATM strike. Mohu samoz\u0159ejm\u011b tak\u00e9 vyhled\u00e1vat \u00fapln\u011b jin\u00e9 kombinace (Short Box. Long Box\u2026) logika skriptu by pak mohla z\u016fstat zhruba zachov\u00e1na, pouze bych mohl prov\u00e9st dal\u0161\u00ed drobn\u00e9 \u00fapravy podle sv\u00e9ho analytick\u00e9ho zad\u00e1n\u00ed.<\/p>\n

\u00a0\u00a0 Cel\u00fd excelovsk\u00fd se\u0161it se skriptem VBA k prozkoum\u00e1n\u00ed a p\u0159\u00edpadn\u00e9mu vyzkou\u0161en\u00ed m\u016f\u017eete st\u00e1hnout zde<\/a><\/strong><\/span>.<\/p>\n

\u00a0 Koment\u00e1\u0159e a p\u0159\u00edsp\u011bvky k tomuto \u010dl\u00e1nku pros\u00edm sm\u011brujte do Diskuzn\u00edho f\u00f3ra do tohoto vl\u00e1kna<\/a><\/strong><\/span> k tomuto \u010dl\u00e1nku nebo do obecn\u011bj\u0161\u00ed diskuze o Excelu<\/a><\/strong><\/span> :c)<\/span>\u00a0<\/span><\/p>\n","protected":false},"excerpt":{"rendered":"

\u00a0\u00a0 Napsat jednoduch\u00e9 makro pomoc\u00ed jazyka VBA, vyplnit jej skripty, kter\u00e9 um\u00ed \u010d\u00edst hodnoty z bun\u011bk nebo je form\u00e1tovat, mazat \u010di p\u0159en\u00e1\u0161et na jin\u00e9 m\u00edsto v excelovsk\u00e9m listu, tvo\u0159it prom\u011bnn\u00e9 a vybavovat je hodnotami, zajistit cyklick\u00e9 na\u010d\u00edt\u00e1n\u00ed dat, um\u011bt formulovat z\u00e1kladn\u00ed logick\u00e9 a rozhodovac\u00ed funkce a vytvo\u0159it n\u00e1stroj na z\u00e1m\u011bnu Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":4847,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"jetpack_post_was_ever_published":false,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[57],"tags":[46],"class_list":["post-4803","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-backtestovani-a-prace-s-daty","tag-excel"],"jetpack_publicize_connections":[],"jetpack_featured_media_url":"https:\/\/dobretrejdy.com\/wp-content\/uploads\/2020\/08\/main.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-1ft","jetpack-related-posts":[{"id":4884,"url":"https:\/\/dobretrejdy.com\/?p=4884","url_meta":{"origin":4803,"position":0},"title":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 VIII.","author":"dobretrejdy :c)","date":"2.9.2020","format":false,"excerpt":"\u00a0\u201e\u2026Pot\u0159ebuji zjistit, jak se chov\u00e1 n\u00e1kup Put Bear Spreadu s\u00a0Long Put na ATM strike a vypsanou opc\u00ed o t\u0159i strike n\u00ed\u017ee, po\u0159izovan\u00fd ka\u017ed\u00e9 pond\u011bl\u00ed na weeklys opc\u00edch s\u00a0expirac\u00ed v\u00a0p\u00e1tek stejn\u00e9ho t\u00fddne za posledn\u00edch p\u011bt let na titulu JNJ, k\u00a0tomu chci zjistit to sam\u00e9, ale pro t\u0159\u00edstrikov\u00fd Call Bull Spread na\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/09\/main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/09\/main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/09\/main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/09\/main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4598,"url":"https:\/\/dobretrejdy.com\/?p=4598","url_meta":{"origin":4803,"position":1},"title":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 IV.","author":"dobretrejdy :c)","date":"4.7.2020","format":false,"excerpt":"\u00a0\u00a0 V\u00a0\u010dl\u00e1nku Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 II. jsem popsal, jak v Excelu otev\u0159\u00edt kartu V\u00fdvoj\u00e1\u0159 a jak vytvo\u0159it prvn\u00ed makro. Toto makro vygenerovalo VBA skript, abych pot\u00e9 napsal, \u017ee nebudu makra zaznamen\u00e1vat, aby mi tvo\u0159ila VBA skript, ale budu postupovat p\u0159esn\u011b naopak, tedy ps\u00e1t VBA skript pro vytvo\u0159en\u00ed makra. Takovou\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/Main.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/Main.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/Main.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/Main.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4483,"url":"https:\/\/dobretrejdy.com\/?p=4483","url_meta":{"origin":4803,"position":2},"title":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 II.","author":"dobretrejdy :c)","date":"25.6.2020","format":false,"excerpt":"\u00a0\u00a0 Pot\u0159ebuji zjistit, jak se chov\u00e1 n\u00e1kup Put Bear Spreadu s Long Put na ATM strike a vypsanou opc\u00ed o t\u0159i strike n\u00ed\u017ee, po\u0159izovan\u00fd ka\u017ed\u00e9 pond\u011bl\u00ed na weeklys opc\u00edch s expirac\u00ed v p\u00e1tek stejn\u00e9ho t\u00fddne za posledn\u00edch p\u011bt let na titulu JNJ, k tomu chci zjistit to sam\u00e9, ale pro\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4525,"url":"https:\/\/dobretrejdy.com\/?p=4525","url_meta":{"origin":4803,"position":3},"title":"Backtestov\u00e1n\u00ed v Excelu (VBA) \u2013 III.","author":"dobretrejdy :c)","date":"28.6.2020","format":false,"excerpt":"\u00a0 \u00a0V minul\u00e9m \u010dl\u00e1nku jsem nazna\u010dil, jak si uleh\u010dit pomoc\u00ed z\u00e1znamu makra n\u011bjakou po\u010detn\u00ed \u00falohu a zjistil, \u017ee tento z\u00e1znam mi v excelovsk\u00e9m se\u0161itu na kart\u011b \u201eV\u00fdvoj\u00e1\u0159\u201c a po kliknut\u00ed na n\u00e1stroj \u201eVisual Basic\u201c otev\u0159el tu \u010d\u00e1st aplikace Excelu, kde jsem mohl objevit zaznamenan\u00e9 makro ve form\u011b VBA skriptu. Tak\u00e9\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/06\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4720,"url":"https:\/\/dobretrejdy.com\/?p=4720","url_meta":{"origin":4803,"position":4},"title":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 VI.","author":"dobretrejdy :c)","date":"19.7.2020","format":false,"excerpt":"\u00a0\u00a0 Vyrobit anal\u00fdzu t\u0159\u00eddenn\u00edho dr\u017een\u00ed akciov\u00e9ho obchodu pomoc\u00ed Excelu je nyn\u00ed ji\u017e t\u00e9m\u011b\u0159 hra\u010dka. M\u011bnit d\u00e9lky dr\u017een\u00ed takov\u00fdch fiktivn\u00edch obchod\u016f je ji\u017e hra\u010dkou tak\u00e9, toto v\u0161echno bylo pops\u00e1no v minul\u00fdch \u010dl\u00e1nc\u00edch p\u0159i postupn\u00e9m pozn\u00e1v\u00e1n\u00ed, jak funguje z\u00e1kladn\u00ed logika a psan\u00ed VBA skript\u016f. Na p\u011btilet\u00fdch sta\u017een\u00fdch datech z Yahoo.finance jsem toto\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-2.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-2.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-2.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-2.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":4656,"url":"https:\/\/dobretrejdy.com\/?p=4656","url_meta":{"origin":4803,"position":5},"title":"Backtestov\u00e1n\u00ed v\u00a0Excelu (VBA) \u2013 V.","author":"dobretrejdy :c)","date":"12.7.2020","format":false,"excerpt":"\u00a0\u00a0 V\u00fdroba makra pomoc\u00ed skriptu a z\u00e1kladn\u00ed poznatky o jeho zaps\u00e1n\u00ed pomoc\u00ed VBA (kde a jak), operace s bu\u0148kami a jej\u00edmi oblastmi, pr\u00e1ce s listy excelovsk\u00e9ho se\u0161itu, cyklick\u00e1 funkce a prvn\u00ed anal\u00fdza historick\u00fdch dat (prozat\u00edm intradenn\u00ed dr\u017een\u00ed akci\u00ed) pomoc\u00ed velmi jednoduch\u00e9 automatizace pr\u00e1ce vytvo\u0159en\u00fdm VBA skriptem. To by mohlo b\u00fdt\u2026","rel":"","context":"V \u201eBacktestov\u00e1n\u00ed a pr\u00e1ce s daty\u201c","block_context":{"text":"Backtestov\u00e1n\u00ed a pr\u00e1ce s daty","link":"https:\/\/dobretrejdy.com\/?cat=57"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-1.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-1.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-1.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2020\/07\/main-1.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4803","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=4803"}],"version-history":[{"count":13,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4803\/revisions"}],"predecessor-version":[{"id":7294,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/4803\/revisions\/7294"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/4847"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=4803"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=4803"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=4803"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}