ORATS Adds Quarterly Analysis to TOES, Readies Enhanced Dividend Forecasts

The vendor launched TOES—which uses ORATS’ predictive data and historical market data—last April to enable traders to visualize how different strategies perform in various market conditions and identify the best trading strategies for those environments. Matt Amberson, principal and founder of ORATS, says the quarterly analysis—which was added in December—will allow users to “slice and dice” their back-testing, improving user experience.

“With the quarterly analysis, we can take a quarter—such as the first quarter of 2008, when the market was down and volatility was up—and sort for other quarters with similar conditions, such as extreme market movement, and see the results of a back-test under those quarters that are chosen. Or we can say... we’ve tested this under the 10 worst-performing quarters, and here’s the result of investing in this option strategy,” he says.

ORATS has classified the performance of each quarter based on stock market performance and implied volatility of the instruments being back-tested versus the 100-day moving average.

The analysis is available via ORATS’ TOES desktop interface, which is accompanied by up-to-date pre-packaged back-testing strategies that reduce the run-time for the tests—though customizable tests are also available. ORATS runs the back-tests for clients using its historical market data and tick-by-tick options analytics database of data back to 2004.

Meanwhile, ORATS plans to release an enhanced version of its dividends feed of hourly updates of dividend and future dividend dates going forward three years, to meet demand from banks, hedge funds, brokers and inter-dealer brokers for dividends forecasts for exchange-traded funds.

Previously, ORATS provided ETF dividend forecasts based on historic patterns, but has improved its projection process by looking at the growth rate of ETFs’ individual components, and the implied dividends of their futures and options.

“More people are trading ETFs, so these difficult-to-project dividends are becoming quite important. It’s easy to project dividends for one company, but EFTs can be made up of hundreds of components, so calculating dividends becomes a significant data challenge for firms,” he adds.

The vendor is currently testing a pre-alpha version of the enhanced feed, and plans to release it to customers by the end of the quarter. The data will be delivered via FTP download and via a web service, and is updated hourly throughout the day.