{"id":825,"date":"2017-10-09T10:31:21","date_gmt":"2017-10-09T08:31:21","guid":{"rendered":"http:\/\/dobretrejdy.com\/?p=825"},"modified":"2025-11-05T16:24:39","modified_gmt":"2025-11-05T14:24:39","slug":"backtestovani-v-excelu","status":"publish","type":"post","link":"https:\/\/dobretrejdy.com\/?p=825","title":{"rendered":"Backtestov\u00e1n\u00ed v Excelu – I."},"content":{"rendered":"

\u00a0\u00a0\u00a0 Dostal jsem n\u011bkolik dotaz\u016f, jak\u00fdm zp\u016fsobem by bylo mo\u017en\u00e9 otestovat na historick\u00fdch datech smysluplnost n\u011bjak\u00e9 op\u010dn\u00ed strategie. Podstatou t\u011bchto dotaz\u016f je existence z\u00e1kladn\u00edho probl\u00e9mu, kter\u00fdm je dostupnost historick\u00fdch op\u010dn\u00edch dat<\/strong> pro nejb\u011b\u017en\u011bj\u0161\u00ed obchodovan\u00e9 tituly. Ve chv\u00edli, kdy p\u00ed\u0161u tento \u010dl\u00e1nek, tak mohu t\u00e9m\u011b\u0159 s\u00a0jistotou tvrdit, \u017ee krom\u011b jedin\u00e9ho zdroje, nejsou historick\u00e1 op\u010dn\u00ed data zdarma k\u00a0dispozici. T\u00edmto jedin\u00fdm zdrojem jsou generovan\u00e9 op\u010dn\u00ed \u0159et\u011bzce platformy thinkorswim<\/strong>, kterou pro papertrading m\u016f\u017eete po\u0159\u00eddit zdarma a zkou\u0161et zde \u017eivotaschopnost r\u016fzn\u00fdch op\u010dn\u00edch strategi\u00ed tak, jak by se pravd\u011bpodobn\u011b chovaly v\u00a0\u010dase. Z\u00e1lo\u017eka \u201eAnalyze\/thinkBack\u201c, kde takov\u00e1 data najdete, je pro op\u010dn\u00edho tradera t\u00e9m\u011b\u0159 nezbytn\u00e1, proto\u017ee pom\u016f\u017ee alespo\u0148 v\u00a0z\u00e1kladn\u00ed orientaci mo\u017en\u00fdch backtest\u016f, jak vyplyne z\u00a0textu d\u00e1le. Z\u00e1kladn\u00edm probl\u00e9mem po\u0159\u00edzen\u00ed platformy je jej\u00ed nedostupnost pro \u010desk\u00e9 ob\u010dany. Necht\u011bl bych n\u011bkomu zbyte\u010dn\u011b radit, ale b\u00fdt alespo\u0148 malou chv\u00edli Agent bez minulosti \u2013 Jason Bourne, by mohlo p\u0159i n\u00e1v\u0161t\u011bv\u011b \u00a0str\u00e1nky<\/span> paperMoney<\/strong><\/a><\/span>\u00a0 p\u0159ij\u00edt celkem vhod<\/span>.<\/p>\n

\u00a0\u00a0 K\u00a0otestov\u00e1n\u00ed samotn\u00e9 podstaty op\u010dn\u00edho obchodu ale pro za\u010d\u00e1tek zcela posta\u010d\u00ed aplikace Excel p\u0159ipojen\u00e1 na datov\u00fd zdroj, poskytuj\u00edc\u00ed zdarma alespo\u0148 denn\u00ed \u00fadaje o jednotliv\u00fdch obchodovan\u00fdch titulech. P\u0159edpokl\u00e1d\u00e1m, \u017ee o nezbytnosti alespo\u0148 z\u00e1kladn\u00ed znalosti Excelu nem\u00e1 cenu v\u00a0souvislosti s\u00a0tradingem v\u016fbec hovo\u0159it, proto\u017ee je pro obchodov\u00e1n\u00ed t\u00e9m\u011b\u0159 nezbytn\u00e1. R\u016fzn\u00e9 pokusy, simulace, pomocn\u00e9 v\u00fdpo\u010dty, anal\u00fdzy, veden\u00ed jednoduch\u00e9ho obchodn\u00edho den\u00edku a jeho vyhodnocov\u00e1n\u00ed by m\u011blo b\u00fdt pro tradera samoz\u0159ejmost\u00ed.<\/span><\/p>\n

\u00a0 Jak tedy otestovat jednoduchou strategii bez pou\u017eit\u00ed historick\u00fdch op\u010dn\u00edch dat pouze pomoc\u00ed jednoduch\u00e9ho testovac\u00edho Excelu p\u0159ipojen\u00e9ho k\u00a0voln\u011b p\u0159\u00edstupn\u00e9mu datov\u00e9mu zdroji bude tento \u010dl\u00e1nek.<\/span><\/p>\n

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Quandl.com<\/strong><\/span><\/h1>\n

\u00a0 \u00a0Pominu-li datov\u00e9 zdroje, kde m\u016f\u017eete jednor\u00e1zov\u011b stahovat historick\u00e1 data jednotliv\u00fdch akci\u00edch a tyto pak zakomponovat do sv\u00e9ho Excelu (Yahoo Finance\u2026), tak elegantn\u00edm \u0159e\u0161en\u00edm pro z\u00edsk\u00e1v\u00e1n\u00ed denn\u00edch dat je datov\u00fd zdroj nach\u00e1zej\u00edc\u00ed se na<\/span> Quandl.com<\/strong><\/a><\/span>. Aby bylo mo\u017en\u00e9 s\u00a0daty v\u00a0Excelu pracovat, mus\u00edte si nejd\u0159\u00edve vytvo\u0159it zdarma registraci. Nen\u00ed to nic sv\u011btoborn\u00e9ho, je to jednoduch\u00e9 po\u0159\u00edzen\u00ed u\u017eivatelsk\u00e9ho \u00fa\u010dtu, nap\u0159\u00edklad jako v\u00a0b\u011b\u017en\u00e9m e-shopu. Po vypln\u011bn\u00ed z\u00e1kladn\u00edch \u00fadaj\u016f je odesl\u00e1n na zvolenou e-mailovou adresu odkaz, kter\u00fdm otev\u0159en\u00ed takov\u00e9ho \u00fa\u010dtu stvrd\u00edte, pot\u00e9 ji\u017e bude \u00fa\u010det fungovat. Tato registrace (vytvo\u0159en\u00ed u\u017eivatelsk\u00e9ho \u00fa\u010dtu) je nezbytn\u00e1, proto\u017ee jej\u00ed sou\u010d\u00e1st\u00ed je vygenerovan\u00fd API Key<\/strong>, tedy kl\u00ed\u010d, kter\u00fd budete nad\u00e1le vyu\u017e\u00edvat p\u0159i na\u010d\u00edt\u00e1n\u00ed dat do sv\u00e9ho Excelu. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt kl\u00ed\u010d ve vytvo\u0159en\u00e9m \u00fa\u010dtu na Quandl.com<\/span>.<\/p>\n

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\u00a0 Pokud m\u00e1te vytvo\u0159enou takovou jednoduchou registraci, je zapot\u0159eb\u00ed do sv\u00e9ho Excelu st\u00e1hnout dopln\u011bk, kter\u00fd bude komunikovat mezi datab\u00e1zemi na Quandl.com a va\u0161\u00ed excelovskou tabulkou. Takov\u00fd dopln\u011bk ke sta\u017een\u00ed<\/span> naleznete zde<\/strong><\/a><\/span><\/p>\n

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\u00a0 Po proveden\u00e9 instalaci, kde doporu\u010duji ponechat um\u00edst\u011bn\u00ed dopl\u0148ku na instrukc\u00edch instal\u00e1toru, uvid\u00edte ve sv\u00e9m Excelu v\u00a0p\u00e1su karet novou z\u00e1lo\u017eku Quandl<\/strong><\/span><\/p>\n

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\u00a0 Pokud vid\u00edte takovou z\u00e1lo\u017eku ve sv\u00e9m Excelu, m\u00e1te vyhr\u00e1no s\u00a0\u00fasp\u011b\u0161nou instalac\u00ed. Pro spr\u00e1vnou komunikaci mus\u00edte v\u00a0z\u00e1lo\u017ece \u201eSettings<\/strong>\u201c p\u0159idat sv\u016fj vlastn\u00ed API Key (<\/strong>tuto zkop\u00edrujete ze sv\u00e9ho \u00fa\u010dtu na webu Quandl.com), aby byla mo\u017en\u00e1 komunikace s\u00a0datab\u00e1zemi na Quandl.com<\/span>.<\/p>\n

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\u00a0 \u00a0Vlo\u017een\u00ed API Key potvrd\u00edte kliknut\u00edm na tla\u010d\u00edtko \u201eSave<\/strong>\u201c. T\u00edmto \u00fakonem je vytvo\u0159en z\u00e1kladn\u00ed p\u0159edpoklad k\u00a0z\u00edsk\u00e1v\u00e1n\u00ed dat z\u00a0datab\u00e1z\u00ed na Quandl.com.<\/span><\/p>\n

\u00a0 Takto p\u0159ipraven mohu za\u010d\u00edt s\u00a0vlastn\u00ed prac\u00ed na libovoln\u00e9m \u201ehrub\u00e9m\u201c backtestu libovoln\u00e9 op\u010dn\u00ed strategie pomoc\u00ed Excelu. Abych zbyte\u010dn\u011b neteoretizoval, tak uk\u00e1\u017eu konkr\u00e9tn\u00ed konstrukci jednoduch\u00e9ho backtestu s\u00a0akciemi AAPL. Takto n\u00ed\u017ee bych pak mohl formulovat zad\u00e1n\u00ed testu:<\/span><\/p>\n

\u00a0 \u00a0 1\/<\/strong> Chci mechanicky<\/strong> po\u0159izovat Call Bull Spread<\/strong> na weekly opc\u00edch<\/strong> na akcii AAPL, vstup<\/strong> do pozice v pond\u011bl\u00ed na Open<\/strong> a uzav\u0159en\u00ed<\/strong> obchodu na p\u00e1te\u010dn\u00edm Close<\/strong>. Vstupuji do Long Call op\u010dn\u00ed pozice na ni\u017e\u0161\u00edm strike a do Short Call pozice na vy\u0161\u0161\u00edm strike. Chci otestovat obdob\u00ed od 1.7.2014 do dne\u0161n\u00edho dne<\/strong>, v\u00a0tomto \u010dasov\u00e9m horizontu neprob\u011bhl \u017e\u00e1dn\u00fd cenov\u00fd split akcie AAPL a po celou tuto dobu se tak\u00e9 obchodovaly weeklys opce.<\/span><\/p>\n

\u00a0 \u00a02\/<\/strong> Neovl\u00e1d\u00e1m \u017e\u00e1dn\u00fd excelovsk\u00fd programovac\u00ed jazyk<\/strong> (VBA\u2026) a nerozum\u00edm datab\u00e1zov\u00fdm aplikac\u00edm<\/strong>. Disponuji pouze Excelem s\u00a0propojen\u00edm na datov\u00fd zdroj na Quandl.com. Excel ovl\u00e1d\u00e1m na b\u011b\u017en\u00e9 u\u017eivatelsk\u00e9 \u00farovni a v\u00edm, co jsou jednoduch\u00e9 logick\u00e9 funkce.<\/span><\/p>\n

\u00a0 \u00a03\/<\/strong> V\u00fdsledn\u00fd testovac\u00ed Excel chci m\u00edt vyroben\u00fd tak, \u017ee m\u016f\u017eu volit z\u00e1kladn\u00ed parametry<\/strong> mo\u017en\u00fdch obchod\u016f a chci m\u00edt mo\u017enost bleskov\u00e9ho testov\u00e1n\u00ed stejn\u00e9 strategie i na jin\u00fdch titulech<\/strong>, ne\u017e je AAPL<\/span><\/p>\n

\u00a0 Na obr\u00e1zku je vid\u011bt prvn\u00ed krok k\u00a0na\u010dten\u00ed dat do m\u00e9ho se\u0161itu<\/span><\/p>\n

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    \n
  1. Ve sv\u00e9m Excelu kliknu na z\u00e1lo\u017eku Quandl<\/strong><\/span><\/li>\n
  2. Vyberu si bu\u0148ku<\/strong>, kde se po\u017eadovan\u00e1 data maj\u00ed na\u010d\u00edst<\/span><\/li>\n
  3. Na p\u00e1su karet Quandl kliknu na ikonu Get Data<\/strong><\/span><\/li>\n
  4. V nov\u011b otev\u0159en\u00e9m okn\u011b pro tvorbu vzorce na\u010d\u00edtaj\u00edc\u00edho data z\u00a0datab\u00e1ze kliknu na odkaz Stock Data<\/strong> (hled\u00e1m akcii = stock).\u00a0<\/span><\/li>\n
  5. Vyberu ze seznamu United States<\/strong><\/span><\/li>\n
  6. Vyberu ze seznamu Stock Prices End of Day\u2026<\/strong><\/span><\/li>\n
  7. V\u00a0prav\u00e9m okn\u011b vyberu ze seznamu Free WIKI Wiki EOD Prices<\/strong><\/span><\/li>\n
  8. Potvrd\u00edm kliknut\u00edm na \u201enext\u201c<\/strong><\/span><\/li>\n<\/ol>\n

    \u00a0 <\/strong>Potvrzen\u00edm v\u00fdb\u011bru dojde k\u00a0otev\u0159en\u00ed dal\u0161\u00edho okna vyhled\u00e1va\u010de v\u00a0datab\u00e1zi Quandl<\/span><\/p>\n

    \"\"<\/p>\n

    \u00a0\u00a0 V\u00a0tomto okn\u011b se nab\u00edz\u00ed cel\u00e1 datab\u00e1ze jednotliv\u00fdch akciov\u00fdch titul\u016f. Pro akcii AAPL budu postupovat tak, \u017ee:<\/span><\/p>\n

      \n
    1. Do vyhled\u00e1vac\u00edho pole nap\u00ed\u0161u ticker AAPL<\/strong>, ta se mi objev\u00ed v podokn\u011b n\u00ed\u017ee<\/span><\/li>\n
    2. Kliknu na vyhledanou datab\u00e1zi pro akcii AAPL<\/strong><\/span><\/li>\n
    3. Potvrd\u00edm kliknut\u00edm na \u201enext\u201c<\/strong><\/span><\/li>\n<\/ol>\n

      \u00a0 \u00a0V\u00a0dal\u0161\u00edm, nov\u011b vytvo\u0159en\u00e9m okn\u011b je ji\u017e vid\u011bt parametry nab\u00edzen\u00e9 datab\u00e1ze po\u017eadovan\u00e9 akcie AAPL. Proto\u017ee m\u011b bude zaj\u00edmat cena p\u0159i pond\u011bln\u00edm Open<\/strong> a p\u00e1te\u010dn\u00edm Close<\/strong>, tak vyberu pouze na\u010dten\u00ed t\u011bchto dvou \u00fadaj\u016f, a to n\u00ed\u017ee takto<\/span><\/p>\n

      \"\"<\/p>\n

        \n
      1. Ozna\u010d\u00edm pouze hodnoty Open<\/strong> a Close<\/strong><\/span><\/li>\n
      2. V\u00a0tomto poli ji\u017e vid\u00edm p\u0159edp\u0159ipravenou formuli, kter\u00e1 se objev\u00ed v\u00a0po\u017eadovan\u00e9 bu\u0148ce v\u00a0Excelu. Pov\u0161imn\u011bte si, jak\u00e9 r\u016fzn\u00e9 dal\u0161\u00ed \u00fadaje m\u016f\u017eete takov\u00fdm sta\u017een\u00edm z\u00edskat pro jin\u00e9 p\u0159\u00edpadn\u00e9 backtesty<\/span><\/li>\n
      3. Potvrd\u00edm kliknut\u00edm na \u201enext\u201c<\/strong><\/span><\/li>\n<\/ol>\n

        \u00a0<\/strong>V\u00a0p\u0159edposledn\u00edm okn\u011b, kter\u00e9 se objev\u00ed po tomto potvrzen\u00ed, mohu specifikovat konkr\u00e9tn\u011bj\u0161\u00ed \u00fadaje o stahovan\u00fdch datech<\/span><\/p>\n

        \"\"<\/p>\n

          \n
        1. Proto\u017ee po\u017eaduji data za ur\u010dit\u00e9 obdob\u00ed (od 1.7.2014 do dne\u0161n\u00edho dne), tak takovou volbu \u010dasov\u00e9ho rozp\u011bt\u00ed vyberu z\u00a0kalend\u00e1\u0159\u016f ve volb\u011b Period Range<\/strong><\/span><\/li>\n
        2. Zaj\u00edmaj\u00ed m\u011b denn\u00ed data, proto vol\u00edm z\u00a0volby Frequency mo\u017enost Daily<\/strong><\/span><\/li>\n
        3. V\u0161echny dal\u0161\u00ed volby ponech\u00e1v\u00e1m nyn\u00ed stranou a potvrzuji kliknut\u00edm na \u201enext<\/strong>\u201c<\/span><\/li>\n<\/ol>\n

          \u00a0 Ve vysko\u010den\u00e9m posledn\u00edm okn\u011b pouze potvrd\u00edte (nebo zm\u011bn\u00edte) bu\u0148ku Excelu, kam chcete formuli na\u010d\u00edst<\/span><\/p>\n

          \"\"<\/p>\n

            \n
          1. V\u00fdb\u011br bu\u0148ky<\/strong> v\u00a0excelovsk\u00e9m se\u0161itu<\/span><\/li>\n
          2. Kliknut\u00edm na \u201einsert<\/strong>\u201c operaci s\u00a0vyhled\u00e1n\u00edm ukon\u010d\u00edte<\/span><\/li>\n<\/ol>\n

            \u00a0 V\u00fdsledkem t\u00e9to operace je vlo\u017een\u00ed tohoto po\u017eadavku do excelovsk\u00e9ho se\u0161itu. Okam\u017eit\u011b by se m\u011bly objevit po\u017eadovan\u00e1 data, tedy pro akcii AAPL za obdob\u00ed od 1.7.2014 do dne\u0161n\u00edho dne v\u0161echna denn\u00ed Open a Close, tak jak je to na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku.<\/span><\/p>\n

            \"\"<\/p>\n

            \u00a0\u00a0 Pokud se data neobjevuj\u00ed, zkontrolujte si nastaven\u00ed podle v\u00fd\u0161e uveden\u00e9ho obr\u00e1zku.<\/span><\/p>\n

              \n
            1. Volba \u201eFormulas<\/strong>\u201c mus\u00ed m\u00edt zatr\u017eenou podvolbu \u201eEnable<\/strong>\u201c, kter\u00e1 se projevuje malou zelenou fajfkou na t\u00e9to ikon\u011b.<\/span><\/li>\n
            2. Po v\u00fd\u0161e uveden\u00e9 \u00faprav\u011b ikony Formulas klikn\u011bte na ikonu \u201eRefresh Sheet<\/strong>\u201c a dojde ke znovuna\u010dten\u00ed dat do tvo\u0159en\u00e9ho se\u0161itu<\/span><\/li>\n<\/ol>\n

              \u00a0\u00a0 P\u0159i takto upraven\u00e9 volb\u011b se budou v\u017edy v\u00a0budoucnu automaticky na\u010d\u00edtat v\u0161echna po\u017eadovan\u00e1 data do Excelu, tedy nap\u0159\u00edklad z\u00edtra pro jejich aktualizaci o dal\u0161\u00ed obchodn\u00ed den. Po\u017eadovan\u00e1 data jsou tedy do Excelu na\u010dtena a j\u00e1 mohu p\u0159ikro\u010dit k\u00a0samotn\u00e9mu sestaven\u00ed formulovan\u00e9ho testovac\u00edho se\u0161itu<\/span><\/p>\n

              \n

              Excel<\/strong><\/span><\/h1>\n

              \u00a0\u00a0 Podstatou tvorby takov\u00e9ho testovac\u00edho se\u0161itu bude vych\u00e1zen\u00ed ze z\u00e1kladn\u00edch vlastnost\u00ed op\u010dn\u00edch kontrakt\u016f p\u0159i jejich po\u0159\u00edzen\u00ed a p\u0159i jejich expiraci. Cel\u00fd backtest se pak, krom\u011b \u00favodn\u00edho nastaven\u00ed, nebude v\u016fbec zab\u00fdvat ot\u00e1zkou v\u00fdvoje cen opc\u00ed, ale bude pom\u011b\u0159ovat hodnotu strike cen op\u010dn\u00edch kontrakt\u016f a m\u00edrou, nakolik je sou\u010dasn\u00e1 cena ve vztahu k\u00a0tomuto strike. V\u00a0jednoduch\u00e9m p\u0159\u00edkladu, pokud po\u0159\u00edd\u00edm p\u0159i cen\u011b AAPL 150 USD jednu Long Call opci na strike 153 za -30 USD a p\u0159i expiraci se bude cena AAPL nach\u00e1zet na hodnot\u011b 153.50 USD, potom m\u00e1 tato opce cenu +50 USD. Celkov\u00fd profit na t\u00e9to opci je +20 USD (-30 USD n\u00e1klady + 50 USD cena opce = +20 USD profit). Pokud tato cena p\u0159i expiraci bude pod hodnotou strike 150, tak tato opce vypr\u0161\u00ed jako bezcenn\u00e1 a utrp\u00edm ztr\u00e1tu ve v\u00fd\u0161i vynalo\u017een\u00fdch n\u00e1klad\u016f -30 USD. Ka\u017ed\u00e1 opce p\u0159i expiraci m\u00e1 takovou cenu, nakolik je \u201ev pen\u011bz\u00edch\u201c<\/strong> a to bude z\u00e1kladn\u00ed princip takov\u00e9ho backtestu.<\/span><\/p>\n

              \u00a0 Do Excelu s\u00a0na\u010dten\u00fdmi daty budu cht\u00edt, podle zad\u00e1n\u00ed backtestu, m\u00edt mo\u017enost m\u011bnit budouc\u00ed parametry testovan\u00e9ho Call Bull Spreadu. Takov\u00e9 parametry si proto do m\u00e9ho se\u0161itu vyzna\u010d\u00edm a mohlo by to vypadat, jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

              \"\"<\/p>\n

              \u00a0\u00a0\u00a0 \u0160ipkou \u010d.1<\/strong> je vyzna\u010deno, v\u00a0kter\u00e9 bu\u0148ce se nach\u00e1z\u00ed formule<\/strong> \u2013 vzorec Excelu, kter\u00fd umo\u017e\u0148uje pomoc\u00ed nainstalovan\u00e9ho dopl\u0148ku stahovat po\u017eadovan\u00e1 data do m\u00e9ho se\u0161itu na ur\u010den\u00e9 m\u00edsto. Nemus\u00edm b\u00fdt zrovna n\u011bjak\u00fd velk\u00fd znalec tvorby excelovsk\u00fdch vzorc\u016f, abych ji\u017e nyn\u00ed vid\u011bl mo\u017enost, jak takovou formuli upravit pro jin\u00fd akciov\u00fd titul. V\u00a0ozna\u010den\u00fdch zelen\u00fdch krou\u017ec\u00edch sta\u010d\u00ed jednodu\u0161e p\u0159epsat hodnotu AAPL na hodnotu nap\u0159\u00edklad IBM a obdr\u017e\u00edm data pro tento akciov\u00fd titul. To je zna\u010dn\u011b komfortn\u00ed pro testov\u00e1n\u00ed v\u0161emo\u017en\u00fdch libovoln\u00fdch akci\u00ed. Pouh\u00fdm p\u0159eps\u00e1n\u00edm formule, bez hlub\u0161\u00ed znalosti Excelu, mohu takto libovoln\u011b analyzovat, b\u011bhem chvilky, velk\u00e9 mno\u017estv\u00ed r\u016fzn\u00fdch akci\u00ed. (Cel\u00e9 p\u0159episov\u00e1n\u00ed formule lze samoz\u0159ejm\u011b nahradit nap\u0159\u00edklad makrem ve VBA, ale to nen\u00ed smyslem t\u00e9to uk\u00e1zky).<\/span><\/p>\n

              \u00a0\u00a0 Z\u00e1kladn\u00ed probl\u00e9m se schov\u00e1v\u00e1 u stanoven\u00ed hodnoty bu\u0148ky ozna\u010den\u00e9 \u0161ipkou \u010d.2<\/strong> \u2013 pr\u00e9mium<\/strong>. Z\u00e1kladem pro takov\u00e9 stanoven\u00ed se m\u016f\u017ee st\u00e1t ji\u017e v\u00fd\u0161e popisovan\u00e1 platforma thinkorswim, kde mus\u00edm u n\u011bkolika vzorov\u00fdch, n\u00e1hodn\u011b vybran\u00fdch obchod\u016f zjistit, jak\u00e9 jsou pr\u016fm\u011brn\u00e9 n\u00e1klady\/pr\u016fm\u011brn\u00e9 obdr\u017een\u00e9 pr\u00e9mium na testovan\u00fd Call Bull Spread. Pokud bychom necht\u011bli vyu\u017e\u00edt thinkorswim, mohu si vypomoci nap\u0159\u00edklad voln\u011b dostupn\u00fdmi op\u010dn\u00edmi kalkul\u00e1tory cen opc\u00ed, nap\u0159\u00edklad ze str\u00e1nek<\/span> Interactive Brokers<\/strong><\/a>.<\/span>\u00a0Tato hodnota pak p\u0159\u00edmo souvis\u00ed s\u00a0hodnotami ozna\u010den\u00fdch \u0161ipkami \u010d.3<\/strong> a \u010d.4.<\/strong> – tyto ozna\u010duj\u00ed, v\u00a0jak\u00e9 vzd\u00e1lenosti od moment\u00e1ln\u00ed ceny<\/strong> budeme do obchodu vstupovat<\/strong>. Ve vzorov\u00e9m obr\u00e1zku jsou uvedeny hodnoty pro Long strike 1 a pro hodnotu Short strike 5. Znamen\u00e1 to, \u017ee budeme vstupovat do hodnoty Long Call na zaokrouhlen\u00e9 hodnot\u011b strike vypo\u010dten\u00e9 ze sou\u010dasn\u00e9 ceny plus hodnota 1, a to v\u0161e zaokrouhleno na cel\u00e9 hodnoty, hodnota Short Call strike je stanovena hodnotou strike vypo\u010dten\u00e9ho pro Long Call plus hodnota 5 ze zad\u00e1n\u00ed, sn\u00ed\u017een\u00e1 o hodnotu jedna, tedy vstup na nejbli\u017e\u0161\u00edm vy\u0161\u0161\u00edm strike pro Long Call opci a o \u010dty\u0159i strike vzd\u00e1len\u011bj\u0161\u00edm<\/strong> vstupu do Short Call opce, jednodu\u0161e \u0159e\u010deno se jedn\u00e1 o OTM Call Bull Spread na bl\u00edzk\u00e9 OTM opci s\u00a0rozsahem strike ve v\u00fd\u0161i \u010dty\u0159i body. Pro takovou strategii mus\u00edm vyhodnotit, za jak\u00e9 pr\u016fm\u011brn\u00e9 n\u00e1klady se d\u00e1 do takov\u00e9ho obchodu vstoupit, \u0159ekn\u011bme, \u017ee jsem ve sv\u00e9m p\u0159\u00edkladu pou\u017eil modelov\u00e9 n\u00e1klady ve v\u00fd\u0161i -40 USD. Tyto n\u00e1klady m\u016f\u017eeme stanovit i jinak ne\u017e n\u00e1hodn\u00fdm pozorov\u00e1n\u00edm v\u00a0platform\u011b thinkorswim nebo vyu\u017eit\u00edm free aplikace pro cenu opce, nap\u0159\u00edklad procentn\u00ed hodnotou z\u00a0ceny podkladu apod. V\u0161echny hodnoty, tedy vzd\u00e1lenost strike Long opce, Short opce i velikost n\u00e1klad\u016f na pozici budu moci u backtestu libovoln\u011b m\u011bnit a pozorovat n\u00e1sledn\u011b vliv jejich v\u00fd\u0161e na celkovou equity testovan\u00e9ho vzorku dat. U hodnoty strike samoz\u0159ejm\u011b mohu zad\u00e1vat tak\u00e9 z\u00e1porn\u00e9 hodnoty, to by bylo v\u00a0p\u0159\u00edpad\u011b, \u017ee bude nap\u0159\u00edklad Long Call opce po\u0159izov\u00e1na \u201ev pen\u011bz\u00edch\u201c, nap\u0159\u00edklad pro zadanou hodnotu -2 by to znamenalo p\u0159i cen\u011b AAPL 155.20 strike Long Call 153.<\/span><\/p>\n

              \u00a0\u00a0\u00a0\u00a0 \u0160ipkami \u010d. 5<\/strong> je vyzna\u010den pomocn\u00fd v\u00fdpo\u010det maxim\u00e1ln\u00edho profitu Call Bull Spreadu<\/strong>. Tento je stanoven hodnotou rozsahu strike v\u00a0dolarov\u00e9m vyj\u00e1d\u0159en\u00ed, od kter\u00e9ho mus\u00edm ode\u010d\u00edst po\u0159izovac\u00ed n\u00e1klady na obchod (\u0161ipka \u010d.2). V\u00a0m\u00e9m p\u0159\u00edpad\u011b je dolarov\u00fd rozsah 4 body = +400 USD m\u00ednus -40 USD n\u00e1klady, tedy maxim\u00e1ln\u00ed profit ve v\u00fd\u0161i +360 USD (Excelovsk\u00fd vzorec je zobrazen v bu\u0148ce vpravo)<\/span><\/p>\n

              \u00a0\u00a0 Nyn\u00ed p\u0159ikro\u010d\u00edm k\u00a0samotn\u00e9 pr\u00e1ci s\u00a0daty. Na obr\u00e1zku je nast\u00edn\u011bn\u00e9 \u0159e\u0161en\u00ed, jak jsem data upravil pro po\u017eadavek, \u017ee budu vstupovat do Call Bull Spreadu na pond\u011bln\u00edm Open a vystupovat na p\u00e1te\u010dn\u00edm Close<\/span><\/p>\n

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              \u00a0 \u00a01\/<\/strong> Pomoc\u00ed funkce HODNOTA.NA.TEXT jsem zjistil, co kter\u00e9 datum znamen\u00e1 za den v\u00a0t\u00fddnu a tuto hodnotu jsem p\u0159enesl do sloupce E.<\/span><\/p>\n

              \u00a0 \u00a02\/<\/strong> Ve sloupci F jsem hledal hodnotu vstupn\u00ed ceny, pokud se ve vedlej\u0161\u00edm sloupci E nach\u00e1z\u00ed slovo \u201epond\u011bl\u00ed\u201c. Takto jsem do sloupce F p\u0159enesl pouze hodnoty pond\u011bln\u00edch vstup\u016f. Vyu\u017eil jsem jednoduch\u00e9 logick\u00e9 funkce KDY\u017d a zadal podm\u00ednku pro v\u00fdb\u011br pouze konkr\u00e9tn\u00edho dne, pokud n\u00e1zev po\u017eadovan\u00e9ho dne \u201epond\u011bl\u00ed\u201c v\u00a0dan\u00e9m \u0159\u00e1dku dne neodpov\u00edd\u00e1, pak se do bu\u0148ky nezap\u00ed\u0161e \u017e\u00e1dn\u00fd \u00fadaj<\/span><\/p>\n

              \u00a0\u00a0 3\/<\/strong> Ve sloupci G jsem hledal hodnotu v\u00fdstupn\u00ed ceny, pokud se ve sloupci E nach\u00e1z\u00ed slovo \u201ep\u00e1tek\u201c. Takto jsem do sloupce G p\u0159enesl pouze hodnoty p\u00e1te\u010dn\u00edch v\u00fdstup\u016f, za pou\u017eit\u00ed stejn\u00e9 logick\u00e9 funkce jako v\u00a0p\u0159edchoz\u00edm p\u0159\u00edpad\u011b<\/span><\/p>\n

              \u00a0\u00a0 Pokud ji\u017e v\u00edm, kter\u00e9 hodnoty odpov\u00eddaj\u00ed pond\u011bln\u00edmu Open a p\u00e1te\u010dn\u00edmu Close, mus\u00edm vypo\u010d\u00edtat, jak\u00e9 budou hodnoty strike pro testovan\u00fd Call Bull Spread. Tyto stanov\u00edm tak, jak je zn\u00e1zorn\u011bno na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

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              \u00a0\u00a0 Pro cenu pond\u011bln\u00ed Open ve v\u00fd\u0161i 154.26 jsem stanovil hodnotu strike 155, a to tak, \u017ee jsem vyu\u017eil funkci ZAKROUHLIT hodnotu Open ve v\u00fd\u0161i 154.26, ke kter\u00e9 jsem p\u0159ipo\u010detl hodnotu stanovenou ve voliteln\u00e9 bu\u0148ce pro stanoven\u00ed vzd\u00e1lenosti hodnoty Long Call opce od moment\u00e1ln\u00ed ceny, tedy hodnotu jedna. V\u00fdsledn\u00e1 hodnota 154.26 + 1 = 155.26, kter\u00e1 zaokrouhlen\u00e1 vych\u00e1z\u00ed na hodnotu strike ve v\u00fd\u0161i 155. Hodnotu strike Short Call opce byla stanovena p\u0159i\u010dten\u00edm hodnoty rozsahu strike Call Bull Spreadu ve v\u00fd\u0161i 4 body k\u00a0hodnot\u011b vypo\u010dten\u00e9ho strike Long Call opce ve v\u00fd\u0161i 155, Short Call opce tak m\u00e1 strike 159<\/span><\/p>\n

              \u00a0 Zb\u00fdv\u00e1 nyn\u00ed jen vyhodnotit cel\u00fd backtest<\/strong> podle vybran\u00fdch dat, a to je nejd\u016fle\u017eit\u011bj\u0161\u00ed \u010d\u00e1st cel\u00e9 anal\u00fdzy. Na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku je vid\u011bt, dopln\u011bn\u00fd Excel o takov\u00e9 vyhodnocen\u00ed s\u00a0hodnotou cel\u00e9 equity backtestu<\/span><\/p>\n

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              \u00a0\u00a0 Na obr\u00e1zku je graficky zachycen obchod, kter\u00fd byl v\u00a0pond\u011bl\u00ed, p\u0159i cen\u011b 149.99 USD<\/strong> otev\u0159en na strike Long Call 151<\/strong> (p\u0159id\u00e1vali jsme 1 bod k\u00a0cen\u011b pro strike Long Call \u2013 zelen\u00fd krou\u017eek) a na strike o \u010dty\u0159i body vzd\u00e1len\u011bj\u0161\u00edm pro Short Call 155<\/strong>. M\u00e1m tedy Call Bull Spread +151\/-155. Cena p\u0159i p\u00e1te\u010dn\u00edm Close skon\u010dila na cen\u011b 154.12 USD<\/strong> \u2013 \u010derven\u00fd krou\u017eek. Podle zad\u00e1n\u00ed krit\u00e9ri\u00ed jsem m\u011bl vstupn\u00ed n\u00e1klady -40 USD<\/strong>. \u010cerven\u011b vyzna\u010den\u00fd vzorec pro logickou funkci v\u00a0Excelu m\u00e1 \u010dern\u00fdmi obd\u00e9ln\u00edky vyzna\u010deny t\u0159i \u010d\u00e1sti, kter\u00e9 zachycuj\u00ed t\u0159i mo\u017enosti, jak tento obchod mohl skon\u010dit. Jsou to ve\u0161ker\u00e9 mo\u017enosti, kter\u00e9 mohly nastat, kdy\u017e jedna z\u00a0mo\u017enost\u00ed se bude t\u00fdkat m\u00e9ho konkr\u00e9tn\u00edho p\u0159\u00edpadu ve vyzna\u010den\u00e9m t\u00fddnu. V\u00fdsledek t\u00e9to mo\u017enosti bude zaps\u00e1n do bu\u0148ky ozna\u010den\u00e9 hn\u011bd\u00fdm obd\u00e9ln\u00edkem, jako hodnota v\u00fdsledku obchodu p\u0159i expira\u010dn\u00edm p\u00e1tku.<\/span><\/p>\n

              \u00a0 \u00a01\/<\/strong> KDY\u017d(G12-H16>$I$3-$I$4;$K$4. Prvn\u00ed \u010d\u00e1st se pt\u00e1, jestli nastal p\u0159\u00edpad, kdy hodnota p\u00e1te\u010dn\u00edho Close m\u00ednus hodnota strike Long Call opce je v\u011bt\u0161\u00ed ne\u017e rozsah strike m\u00e9ho Call Bull Spreadu<\/strong>, tedy hodnot \u00a0$I$3-$I$4, co\u017e jsou hodnoty z\u00a0voliteln\u00e9ho menu v\u00a0z\u00e1hlav\u00ed excelovsk\u00e9ho se\u0161itu, kter\u00e9 vyzna\u010duj\u00ed rozsah strike, kter\u00fd testuji. Pokud je odpov\u011b\u010f na tuto ot\u00e1zku ANO, tak to znamen\u00e1, \u017ee Call Bull Spread +151\/-155 dos\u00e1hl maxim\u00e1ln\u00edho mo\u017en\u00e9ho profitu, je cel\u00fd \u201ev pen\u011bz\u00edch\u201c a jeho maxim\u00e1ln\u00ed profit bude \u010dinit hodnotu z\u00a0bu\u0148ky $K$4, co\u017e je hodnota z\u00a0voliteln\u00e9ho menu v\u00a0z\u00e1hlav\u00ed excelovsk\u00e9ho se\u0161itu, kter\u00e9 vyzna\u010duje hodnotu maxim\u00e1ln\u00edho profitu. Pokud je odpov\u011b\u010f na tuto ot\u00e1zku NE, p\u0159ich\u00e1z\u00ed na \u0159adu druh\u00e1 \u010d\u00e1st vzorce. V\u00a0m\u00e9m p\u0159\u00edpad\u011b je hodnota rozd\u00edlu 154.12 USD -151 USD =+ 312 USD, tak\u017ee v\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b je odpov\u011b\u010f na ot\u00e1zku NE<\/strong><\/span><\/p>\n

              \u00a0 \u00a02\/<\/strong> KDY\u017d(G12-H16<0;$I$2. Druh\u00e1 \u010d\u00e1st se pt\u00e1, jestli nastal p\u0159\u00edpad, kdy hodnota p\u00e1te\u010dn\u00edho Close m\u00ednus hodnota strike Long Call opce je men\u0161\u00ed ne\u017e nula<\/strong>. Odpov\u011b\u010f by byla ANO v p\u0159\u00edpad\u011b, kdyby cena AAPL klesla pod m\u016fj strike Long Call 151<\/strong> a ob\u011b opce by vypr\u0161ely jako bezcenn\u00e9, m\u00e1 maxim\u00e1ln\u00ed ztr\u00e1ta z\u00a0obchodu by byly zaplacen\u00e9 n\u00e1klady, kter\u00e9 m\u00e1m vyzna\u010deny v\u00a0bu\u0148ce $I$2 z\u00a0voliteln\u00e9ho menu v\u00a0z\u00e1hlav\u00ed excelovsk\u00e9ho se\u0161itu. V\u00a0m\u00e9m p\u0159\u00edpad\u011b je hodnota rozd\u00edlu 154.12 USD -151 USD = +312 USD, tak\u017ee v\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b je odpov\u011b\u010f na ot\u00e1zku op\u011bt NE<\/strong>, tak\u017ee se mus\u00edm p\u0159esunout na t\u0159et\u00ed \u010d\u00e1st vzorce<\/span><\/p>\n

              \u00a0 \u00a03\/<\/strong> (G12-H16)*100+$I$2. T\u0159et\u00ed \u010d\u00e1st vzorce je konstatov\u00e1n\u00ed<\/strong>, \u017ee pokud nebyly spln\u011bny podm\u00ednky v\u00a0prvn\u00edch dvou p\u0159\u00edpadech, tak byla napln\u011bna t\u0159et\u00ed mo\u017enost, jak Call Bull Spread +151\/-155 m\u016f\u017ee u expirace dopadnout, tedy \u017ee cena z\u016fstane mezi strike<\/strong> m\u00e9ho Call Bull Spreadu +151\/-155, v\u00a0m\u00e9m konkr\u00e9tn\u00edm p\u0159\u00edpad\u011b to bylo na hodnot\u011b 154.12 USD. V\u00a0takov\u00e9m p\u0159\u00edpad\u011b je v\u00fdsledek obchodu rozd\u00edlem p\u00e1te\u010dn\u00ed Close ceny a strike m\u00e9 Long Call opce vyn\u00e1soben\u00fd hodnotou 100 (pro dolarov\u00e9 vyj\u00e1d\u0159en\u00ed), od kter\u00e9ho jsou ode\u010dteny zaplacen\u00e9 n\u00e1klady, kter\u00e9 m\u00e1m vyzna\u010deny v\u00a0bu\u0148ce $I$2 z\u00a0voliteln\u00e9ho menu v\u00a0z\u00e1hlav\u00ed excelovsk\u00e9ho se\u0161itu. V m\u00e9m p\u0159\u00edpad\u011b je do bu\u0148ky v hn\u011bd\u00e9m r\u00e1me\u010dku zaps\u00e1na vypo\u010dten\u00e1 hodnota podle t\u00e9to t\u0159et\u00ed mo\u017enosti, a to hodnota +272 USD<\/strong>. Je v\u00fdsledkem v\u00fdpo\u010dtu p\u00e1te\u010dn\u00edho Close 154.12 USD m\u00ednus strike Long Call 151 po\u0159\u00edzen\u00e9 v pond\u011bl\u00ed + n\u00e1klady ve v\u00fd\u0161i -40 USD, tedy celkov\u011b +272 USD<\/span><\/p>\n

              \u00a0\u00a0 Jin\u00e9 mo\u017enosti nastat nemohou, a tak sestaven\u00ed takov\u00e9ho logick\u00e9ho vzorce je z\u00e1kladem \u00fasp\u011bchu pro spr\u00e1vn\u00e9 fungov\u00e1n\u00ed backtestu. Cel\u00fd vzorec vlastn\u011b reprezentuje pochopen\u00ed logiky chov\u00e1n\u00ed Call Bull Spreadu a tato logika je do jeho sestaven\u00ed vtisknuta. Pro jednodu\u0161\u0161\u00ed konstrukci vzorce u slo\u017eit\u011bj\u0161\u00edch strategi\u00ed mohu tento vzorec nap\u0159\u00edklad rozlo\u017eit do v\u00edce sloupc\u016f a v ka\u017ed\u00e9m sloupci se jednoduch\u00fdm logick\u00fdm vzorcem pt\u00e1t na ka\u017edou podm\u00ednku zvl\u00e1\u0161\u0165. V\u00fdsledek obchodu by pak byl sou\u010dtem hodnot ve v\u0161ech sloupc\u00edch na stejn\u00e9m \u0159\u00e1dku…<\/span><\/p>\n

              \u00a0\u00a0 V\u00a0posledn\u00edm sloupci „K“ je sou\u010det v\u0161ech proveden\u00fdch obchod\u016f, aby se dala zobrazit kone\u010dn\u00e1 hodnota cel\u00e9ho backtestu nebo graficky vyobrazit p\u0159\u00edslu\u0161n\u00e1 equity k\u0159ivka. Ta by tedy po vyhodnocen\u00ed backtestu, kdybychom zcela mechanicky po\u010d\u00ednaje dnem 1.7.2014 ka\u017ed\u00e9 pond\u011bl\u00ed na akcii AAPL po\u0159izovali OTM Call Bull Spread se vzd\u00e1lenost\u00ed Long Call = moment\u00e1ln\u00ed cena + 1 bod, s\u00a0rozsahem strike 4 body a za tento obchod bychom zaplatili -40 USD, kdy\u017e Cel\u00fd Call Bull Spread by byl ukon\u010den tent\u00fd\u017e t\u00fdden v\u00a0p\u00e1tek. Za t\u0159i roky bychom m\u011bli profit\u00a0 +7.618 USD<\/span>.<\/p>\n

              \"\"<\/p>\n

              \u00a0\u00a0\u00a0Voliteln\u00e9 parametry pak m\u016f\u017eu samoz\u0159ejm\u011b r\u016fzn\u011b nastavovat<\/strong> a sledovat, jak by si Call Bull Spread vedl za r\u016fzn\u00fdch podm\u00ednek. V\u00a0p\u0159\u00edpad\u011b, \u017ee bych za stejn\u00e9 obdob\u00ed volil strike pro Long Call jak prvn\u00ed \u201ev pen\u011bz\u00edch\u201c (-1) a Short Call by byla ve vzd\u00e1lenosti 4 strike (+3) a toto v\u0161echno bych po\u0159izoval za -110 USD, pak by dopadla cel\u00e1 situace jako na n\u00ed\u017ee uveden\u00e9m obr\u00e1zku<\/span><\/p>\n

              \"\"<\/p>\n

              \u00a0\u00a0 Pokud bych cht\u011bl zm\u011bnit testovan\u00fd titul, pak posta\u010d\u00ed, jak ji\u017e bylo nazna\u010deno v\u00fd\u0161e, po kliknit\u00ed na bu\u0148ku Date v\u00a0Excelu pouze p\u0159epsat ticker hledan\u00e9 akcie. Na obr\u00e1zku n\u00ed\u017ee je uvedeno vyhled\u00e1n\u00ed dat pro akcii JPM s\u00a0p\u0159eps\u00e1n\u00edm hodnot ve vyhled\u00e1vac\u00edm vzorci<\/span>.<\/p>\n

              \"\"<\/p>\n

              \u00a0\u00a0 Nen\u00ed to tedy nic slo\u017eit\u00e9ho. Stejn\u00fd zp\u016fsob se stejnou v\u00fdpo\u010detn\u00ed filozofii mohu pou\u017e\u00edt na Put Bear Spready nebo pro ob\u011b strategie najednou v\u00a0jednom Excelu – potom bych mohl najednou testovat cel\u00e9 Long Butterflyies. Stejn\u011b lze postupovat s\u00a0kreditn\u00edmi strategiemi nebo vyhodnocovat \u017eivotaschopnost Ratio Spread\u016f nebo Back Spread\u016f a p\u0159i tro\u0161e matematick\u00e9 fantazie se mohu pustit tak\u00e9 do Time Spread\u016f (kalend\u00e1\u0159\u016f) a dal\u0161\u00edch mnoha r\u016fzn\u00fdch op\u010dn\u00edch kombinac\u00ed. Excel, kter\u00fd jsem popisoval v\u00a0tomto \u010dl\u00e1nku s<\/span>i m\u016f\u017eete st\u00e1hnout zde<\/strong><\/a><\/span> a prozkoumat jeho konstrukci. Jsem p\u0159esv\u011bd\u010den, \u017ee p\u0159i tro\u0161e cviku a pochopen\u00ed z\u00e1kladn\u00edch logick\u00fdch funkc\u00ed budete podobn\u00e9 v\u00fdpo\u010detn\u00ed se\u0161ity schopni tvo\u0159it velmi rychle a z\u00edskat tak jednoduch\u00fd a efektivn\u00ed n\u00e1stroj k\u00a0prvotn\u00edmu prozkoum\u00e1n\u00ed op\u010dn\u00edch strategi\u00ed… :c)<\/span><\/p>\n

               <\/p>\n","protected":false},"excerpt":{"rendered":"

              \u00a0\u00a0\u00a0 Dostal jsem n\u011bkolik dotaz\u016f, jak\u00fdm zp\u016fsobem by bylo mo\u017en\u00e9 otestovat na historick\u00fdch datech smysluplnost n\u011bjak\u00e9 op\u010dn\u00ed strategie. Podstatou t\u011bchto dotaz\u016f je existence z\u00e1kladn\u00edho probl\u00e9mu, kter\u00fdm je dostupnost historick\u00fdch op\u010dn\u00edch dat pro nejb\u011b\u017en\u011bj\u0161\u00ed obchodovan\u00e9 tituly. Ve chv\u00edli, kdy p\u00ed\u0161u tento \u010dl\u00e1nek, tak mohu t\u00e9m\u011b\u0159 s\u00a0jistotou tvrdit, \u017ee krom\u011b jedin\u00e9ho zdroje, Continue Reading<\/i><\/a><\/p>\n","protected":false},"author":1,"featured_media":4479,"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-825","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\/2017\/10\/obr-1.jpg","jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/p8zd8A-dj","jetpack-related-posts":[{"id":4884,"url":"https:\/\/dobretrejdy.com\/?p=4884","url_meta":{"origin":825,"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":1055,"url":"https:\/\/dobretrejdy.com\/?p=1055","url_meta":{"origin":825,"position":1},"title":"VIX Index se obchoduje?","author":"dobretrejdy :c)","date":"19.11.2017","format":false,"excerpt":"\u00a0 \u00a0VIX Index se ned\u00e1 obchodovat. Tato jednoduch\u00e1 v\u011bta je p\u0159\u00ed\u010dinou \u00fadivu mnoha op\u010dn\u00edch (i jin\u00fdch) obchodn\u00edk\u016f a v\u011bt\u0161inou bezpe\u010dn\u011b vyvol\u00e1 obs\u00e1hlou polemiku. V\u00a0t\u00e9to jednoduch\u00e9 v\u011bt\u011b se tak\u00e9 skr\u00fdv\u00e1 mnoho obchodn\u00edch ne\u00fasp\u011bch\u016f pramen\u00edc\u00edch z\u00a0neznalosti fungov\u00e1n\u00ed tohoto n\u00e1stroje. V\u00a0\u010dl\u00e1nku VIX Index \u00a0jsem popsal, jak se jeho hodnota vypo\u010d\u00edt\u00e1, abych v\u00a0dal\u0161\u00edch dvou\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/11\/main-4.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":950,"url":"https:\/\/dobretrejdy.com\/?p=950","url_meta":{"origin":825,"position":2},"title":"VIX Index","author":"dobretrejdy :c)","date":"30.10.2017","format":false,"excerpt":"\u00a0\u00a0 \u201eKdo se boj\u00ed, mus\u00ed do lesa\u201c. Parafr\u00e1ze na legend\u00e1rn\u00ed r\u010den\u00ed o osobn\u00ed odvaze je mottem dne\u0161n\u00edho \u010dl\u00e1nku. Ka\u017ed\u00fd trader musel o n\u011bm p\u0159inejmen\u0161\u00edm sly\u0161et a ka\u017ed\u00fd op\u010dn\u00ed mentor jeho n\u00e1zev musel p\u0159inejmen\u0161\u00edm n\u011bkolikr\u00e1t \u201evypustit z\u00a0\u00fast\u201c. VIX Index. \u201eVIX Index je navr\u017een tak, aby odr\u00e1\u017eel n\u00e1hled investor\u016f na budouc\u00ed 30-ti\u2026","rel":"","context":"V \u201eVolatilita a jej\u00ed Deriv\u00e1ty\u201c","block_context":{"text":"Volatilita a jej\u00ed Deriv\u00e1ty","link":"https:\/\/dobretrejdy.com\/?cat=37"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/10\/front.jpg?resize=525%2C300&ssl=1 1.5x"},"classes":[]},{"id":574,"url":"https:\/\/dobretrejdy.com\/?p=574","url_meta":{"origin":825,"position":3},"title":"Vega","author":"dobretrejdy :c)","date":"2.7.2017","format":false,"excerpt":"\u00a0\u201e\u2026 p\u0159esto\u017ee se v\u017eilo, \u017ee popis faktor\u016f p\u016fsob\u00edc\u00edch na tvorbu op\u010dn\u00ed ceny jsme zvykl\u00ed ozna\u010dovat \u0159eck\u00fdmi p\u00edsmeny Delta, Gamma, Th\u00e9ta, Rho, Vega, tak mus\u00edm podotknout, \u017ee Vega nen\u00ed p\u00edsmenem \u0159eck\u00e9 abecedy\u2026\u201c, v\u00a0tomto smyslu v\u011bt\u0161inou b\u00fdvaj\u00ed uv\u00e1d\u011bny \u010dl\u00e1nky o \"Vega\" zab\u00fdvaj\u00edc\u00ed se vlivem zm\u011bny Implied Volatility na cenu op\u010dn\u00edho kontraktu, z\u0159ejm\u011b\u2026","rel":"","context":"V \u201eOp\u010dn\u00ed z\u00e1klady\u201c","block_context":{"text":"Op\u010dn\u00ed z\u00e1klady","link":"https:\/\/dobretrejdy.com\/?cat=2"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=350%2C200&ssl=1","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=350%2C200&ssl=1 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=525%2C300&ssl=1 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2017\/07\/30.06.jpg?resize=700%2C400&ssl=1 2x"},"classes":[]},{"id":7474,"url":"https:\/\/dobretrejdy.com\/?p=7474","url_meta":{"origin":825,"position":4},"title":"Dluhopisy \u2013 XXIII.","author":"dobretrejdy :c)","date":"2.2.2025","format":false,"excerpt":"\u00a0 V minul\u00e9m \u010dl\u00e1nku Dluhopisy \u2013 XXII. jsem nakousnul t\u00e9ma op\u010dn\u00edch kontrakt\u016f nav\u00e1zan\u00fdch na dluhopisov\u00e1 podkladov\u00e1 aktiva. Po prvotn\u00edm prozkoum\u00e1n\u00ed ter\u00e9nu jsem konstatoval, \u017ee dluhopisov\u00e9 opce nejsou v tomto smyslu op\u010dn\u00ed kontrakty listovan\u00e9 na jednotliv\u00e9 dluhopisov\u00e9 emise nap\u0159\u00edklad vl\u00e1dn\u00edch nebo korpor\u00e1tn\u00edch dluhopis\u016f, ale \u017ee burzovn\u011b obchodovan\u00e9 opce p\u0159edstavuj\u00ed op\u010dn\u00ed kontrakty,\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=525%2C300 1.5x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/02\/SR1.jpg?resize=700%2C400 2x"},"classes":[]},{"id":7416,"url":"https:\/\/dobretrejdy.com\/?p=7416","url_meta":{"origin":825,"position":5},"title":"Dluhopisy \u2013 XXII.\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0","author":"dobretrejdy :c)","date":"2.1.2025","format":false,"excerpt":"\u00a0\u00a0 Trvale vysok\u00e1 likvidita na americk\u00fdch vl\u00e1dn\u00edch dluhopisech s nejr\u016fzn\u011bj\u0161\u00edmi splatnostmi vytvo\u0159ila p\u0159\u00edle\u017eitost vytvo\u0159it na n\u011b nav\u00e1zan\u00e9 deriv\u00e1ty \u2013 dluhopisov\u00e9 futures kontrakty. V minul\u00fdch \u010dl\u00e1nc\u00edch tak byly pops\u00e1ny \u201evelk\u00e9\u201c dluhopisov\u00e9 Treasury futures a n\u00e1sledn\u011b jejich desetinov\u00e9 klony - Treasury Micro futures. Oba tyto futures kontrakty replikuj\u00ed zm\u011bnu ceny podkladov\u00fdch aktiv\u2026","rel":"","context":"V \u201eDluhopisy\u201c","block_context":{"text":"Dluhopisy","link":"https:\/\/dobretrejdy.com\/?cat=60"},"img":{"alt_text":"","src":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200","width":350,"height":200,"srcset":"https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=350%2C200 1x, https:\/\/i0.wp.com\/dobretrejdy.com\/wp-content\/uploads\/2025\/01\/Opt1.jpg?resize=525%2C300 1.5x"},"classes":[]}],"_links":{"self":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/825","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=825"}],"version-history":[{"count":23,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/825\/revisions"}],"predecessor-version":[{"id":7647,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/posts\/825\/revisions\/7647"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=\/wp\/v2\/media\/4479"}],"wp:attachment":[{"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=825"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=825"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/dobretrejdy.com\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=825"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}