CMLviz Trade Machine

[Ophir Gottlieb]

 

Trading Applied Optoelectronics Inc (NASDAQ:AAOI) Options

 

Date Published: 2017-06-07 
Written by Ophir Gottlieb 

LEDE 
Look, this could feel a little uncomfortable, not in that it's complex, it's actually quite easy and fun, but it is the difference between professional traders and non-professionals. And it's just not easy to read how a simple information gap can be the difference between the top 0.1% and everyone else, sometimes. Here we go. 

There is a way to trade Applied Optoelectronics Inc (NASDAQ:AAOI) options right after earnings that has been a winner without a loss for an entire year, and further has returned over 170% annualized returns in that time frame. 

The Trade After Earnings 
Selling a put spread in a stock that is rising, in hindsight, obviously looks like a great idea. Here is the stock price chart for Applied Optoelectronics Inc over the last two-years: 
 

We can see the stock that is ripping, but we have also labeled the earnings announcements with the blue "E" icon, and noted the two poor earnings results in yellow. Remember those two circled dates. 

If we had blindly sold an out-of-the-money put spread every month in Applied Optoelectronics over the last three-years, the results were actually not very impressive. 
 

We can see 30.2% return, while taking on a lot of risk. The next logical step is to try this same approach but simply avoid (skip) earnings days. Here are those results: 
 

We can see a nice improvement, going from a 30% return up to 43.8% and taking a lot less risk. 

But there's more going on here. It's a fair question to ask if trading every month is worth it -- is it profitable -- is it worth the risk? There's an action plan that measures this exactly, and the results are simply stunning. 

Let's test this idea: 
 

In English, let's see what would have happened if we sold this same put spread, but rather than trading every month, we simply traded the month right after earnings. 
 

More explicitly, the rules are: 

Rules 
* Open short put spread 2-days after earnings. 
* Close short put spread 29-days later. 
* Use the option that is closest to but greater than 30-days away from expiration. 

And here are the results of implementing this much finer strategy: 
 

 
Back-test Link

All of a sudden, by removing the risk of earnings, and then removing the risk of 2 out of the other 3 months every quarter, we find option returns that have spiked to 82.4%. But of course, we can't just test an idea because it works -- there must be logic to what we're doing. 

And yes, there is sound logic to this approach to option trading. 

The Logic 
Our idea here is that after earnings are reported, and after the stock does all of its gymnastics, up or down, that two-days following the earnings move and for the next month, the stock is then in a quiet period. 

If it gapped down -- that gap is over. If it beat earnings, the downside move is already likely muted. 

If you recall that stock chart from the top, there were a couple of times that Applied Optoelectronics missed on earnings and fell hard. here is a zoomed in image of the earnings reported on 5-9-2016: 
 

The stock gapped down hard, losing more than 17% in a single day. But here's where our logic comes into play. If we're right, after two days of price movement, the stock should find a sort of equilibrium, and stop dancing around. 

We can see this exact phenomenon. The earnings date was May 9th, the trade entry date was 2-days later, May 11th. From that entry point to one month later when the trade closes, the stock rose. 

Yep, even after a terrible earnings release, once the bad news had its chance to play out, the stock was fine. And since a short put spread is simply a bet that the stock "won't go down a lot," this set-up has played perfectly. 

Here is how the strategy has done over the two-years: 
 

 
Back-test Link

We see a 56.8% return over eight earnings cycles. But remember, since this trade is only live for one-month a quarter, that 56.8% return was actually just 8-months of trading, not two-years. 

Here's what we see over the last year: 
 

 
Back-test Link

Now we see a 46.4% return over the last four earnings cycles, but the beauty of this approach has not just been superior returns, it doesn't tie up capital for months that aren't profitable. Since this was just four-months of trading, that's over 170% annualized returns. 

WHAT HAPPENED 
To see how to do this for any stock and for any strategy with just the click of a few buttons, we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work 

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. 

The author has no position in Applied Optoelectronics Inc (NASDAQ:AAOI) as of this writing. 

Back-test Link

 

 

 

 

 

 

 

 

 

 

[Ophir Gottlieb]

49 minutes ago, Guest Tropical Girl said:

Shopify 60 10 call spreads made the most. Once you have the trade machine you can experiment with the different deltas to find the best return rate. I traded 30 days options. Nvidia was also a great winner.

You need to do your own due diligence but I know the back tester gives me an edge. 

It's no longer luck.

Tropical Girl

Could not have said it better myself. 

[Topcat]

The product looks good but are there any plans to expand the back test period beyond 3 years?

[NikTam]

@Tropical_Girl Hmmm.  A bit vague.  I think claims of this magnitude, once made, warrant a more detailed explanation.  

Edited June 8, 2017 by NikTam

[Toneski]

14 hours ago, Ophir Gottlieb said:

Could not have said it better myself. 

Hey Ophir:

I've been a Trademachine member a couple of weeks now and am really enjoying it!  I've been a CMLpro member about a month also.  Regarding Trademachine and updates, do you think there could ever be a scanner built into the program?  By scanner, my preference would be that everything stays basically the same as it is now except one would also be able to add a minimum return required and maybe also a minimum % wins required for a particular delta.  So say one does a search for long call, never trade earnings, 30 day roll, but you could also add a minimum return required.  Then all the stocks that brought at least that minimum return for said trade would result.  Is this possible?   

[Ophir Gottlieb]

14 hours ago, Topcat said:

The product looks good but are there any plans to expand the back test period beyond 3 years?

Yes. We will be a dding a 4th and 5th year soon.

[Ophir Gottlieb]

2 hours ago, Toneski said:

Hey Ophir:

I've been a Trademachine member a couple of weeks now and am really enjoying it!  I've been a CMLpro member about a month also.  Regarding Trademachine and updates, do you think there could ever be a scanner built into the program?  By scanner, my preference would be that everything stays basically the same as it is now except one would also be able to add a minimum return required and maybe also a minimum % wins required for a particular delta.  So say one does a search for long call, never trade earnings, 30 day roll, but you could also add a minimum return required.  Then all the stocks that brought at least that minimum return for said trade would result.  Is this possible?   

 

A large scale, full built scanner is in the works, but it's along ways off -- perhaps 6 months. But it will be able to scan anything -- like the best covered calls in Technology over 3 years with x wins, y return, z average return, etc, etc, etc

[NikTam]

@Toneski be careful what you ask for.  At what point will a computer be able to do what we do?  The "algo's" will take over and only illiquid markets will be left for the little guy.  

[Yowster]

@Ophir GottliebI've been using the tool to simulate selling strangles and straddles on stocks for the week expiring prior to earnings (as a way to backtest the short strangle part of our long straddle companion trade).   Using BBBY as an example, looking at the detailed trade stats the math doesn't add up.   Here is the backtest link http://tm.cmlviz.com/index.php?share_key=AuUGnGyFqVeybhba

 

Here is a summary of the problem:

Short position opened on 12/12/16 with BBBY stock price of 47.5, using options expiring 12/16/16 and held until expiration.  Stock price on 12/16/16 was 47.27:

• Short 47.5 straddle opened at a credit of 1.22.  The closing trade had the short put, which was only ITM by 0.23, closed at a price of 1.75.  How could this possibly be the case since the close is on expiration day???   The closing price should have been 0.23, or very close to it.   The short call, despite expiring worthless, had a closing price of 0.12???   The closing price should have been zero, or close to it.
• The backtest also has a 40-40 delta strangle, the 47/48 strangle was opened at a price of 0.79.  Despite the stock price on 12/16 being between the strangle strikes, the trade had closing prices of 0.06 and 0.20.   They both should have been zero, or close to it.   0.26 might not seem like a lot, but it was basically one-third of the credit collected when opening the trade.

Perhaps the tool needs some logic added when closing positions on expiration days.   The math doesn't add up in this case which leads to incorrect backtest results.

[Djtux]

8 minutes ago, Yowster said:

@Ophir GottliebI've been using the tool to simulate selling strangles and straddles on stocks for the week expiring prior to earnings (as a way to backtest the short strangle part of our long straddle companion trade).   Using BBBY as an example, looking at the detailed trade stats the math doesn't add up.   Here is the backtest link http://tm.cmlviz.com/index.php?share_key=AuUGnGyFqVeybhba

 

Here is a summary of the problem:

Short position opened on 12/12/16 with BBBY stock price of 47.5, using options expiring 12/16/16 and held until expiration.  Stock price on 12/16/16 was 47.27:

• Short 47.5 straddle opened at a credit of 1.22.  The closing trade had the short put, which was only ITM by 0.23, closed at a price of 1.75.  How could this possibly be the case since the close is on expiration day???   The closing price should have been 0.23, or very close to it.   The short call, despite expiring worthless, had a closing price of 0.12???   The closing price should have been zero, or close to it.
• The backtest also has a 40-40 delta strangle, the 47/48 strangle was opened at a price of 0.79.  Despite the stock price on 12/16 being between the strangle strikes, the trade had closing prices of 0.06 and 0.20.   They both should have been zero, or close to it.   0.26 might not seem like a lot, but it was basically one-third of the credit collected when opening the trade.

Perhaps the tool needs some logic added when closing positions on expiration days.   The math doesn't add up in this case which leads to incorrect backtest results.

Thanks, that's good to know.

Here is what i see in TOS Thinkback.

 

[bam1960]

Ophir

Just joined today and I have been playing with it and see a lot of value here. I am really looking forward to some of the other updates, custom 4 legs etc..

Kudos to you looks like a powerful tool.

Thanks

[Yowster]

31 minutes ago, Djtux said:

Thanks, that's good to know.

Here is what i see in TOS Thinkback.

@Djtux@Ophir Gottlieb Thanks Djtux, I guess that explains why the tool used the values that it did.  However, knowing that the options expired, the tool needs to recognize that fact and adjust the closing prices accordingly.  In this particular example, it took a short straddle that was a winning trade (getting to keep just under 1.00 of the initial 1.22 credit collected at trade open) and made it look like a losing trade.   Also, on the 40-40 delta short strangle, it took a trade where you got to keep the entire credit collected at trade opening and made it look like you only got to keep two-thirds of that credit.   

[Ophir Gottlieb]

16 minutes ago, Yowster said:

@Djtux@Ophir Gottlieb Thanks Djtux, I guess that explains why the tool used the values that it did.  However, knowing that the options expired, the tool needs to recognize that fact and adjust the closing prices accordingly.  In this particular example, it took a short straddle that was a winning trade (getting to keep just under 1.00 of the initial 1.22 credit collected at trade open) and made it look like a losing trade.   Also, on the 40-40 delta short strangle, it took a trade where you got to keep the entire credit collected at trade opening and made it look like you only got to keep two-thirds of that credit.   

 

The only real issue I see here is the unfortunate $3.50 wide market on close (no bid).

The 0.20 options that expired worthless are realistic for those that do not want exercise risk in BBRY. It is highly illiquid and this, to me, is a point of strength of the back-tester that others do not have. In theory, "they expire worthless,", in reality, not necessarily. 

We will look at that crazy wide market, but yet again, it is a symptom of the market for this security, which is what a proper back-tester should account for. 

We have the ability to put logic in for parity on expiration, that's obv not a big deal, but we have resisted that urge that try to keep market realities present.

 

I think the best fix would be a setting that reads "let options expire worthless" for those that chose to go that route.

 

 

[Yowster]

22 minutes ago, Ophir Gottlieb said:

 

The only real issue I see here is the unfortunate $3.50 wide market on close (no bid).

The 0.20 options that expired worthless are realistic for those that do not want exercise risk in BBRY. It is highly illiquid and this, to me, is a point of strength of the back-tester that others do not have. In theory, "they expire worthless,", in reality, not necessarily. 

We will look at that crazy wide market, but yet again, it is a symptom of the market for this security, which is what a proper back-tester should account for. 

We have the ability to put logic in for parity on expiration, that's obv not a big deal, but we have resisted that urge that try to keep market realities present.

 

I think the best fix would be a setting that reads "let options expire worthless" for those that chose to go that route.

 

@Ophir GottliebA couple of comments:

• I agree that a setting for let options expire worthless is a great idea.  The 0.20 closing price for the OTM option at expiration is not a huge issue for me, just something I wanted to note - and having the let options expire worthless setting would work well here.
• The tool knows that a position is being closed on expiration day and you need some degree of parity there.  I have closed many slightly ITM options on expiration day afternoon and have rarely had to go more than 0.05 or 0.10 above the intrinsic value, irregardless of what the bid/ask was.  I certainly never had to pay anywhere close to 1.52 over intrinsic value as was the case in this example.   IMO, for closing ITM options at expiration day the tool should use the difference between the strike and the stock closing price, plus a small amount above that - no more than 0.20 (especially for options trading at lower prices).

Edited June 8, 2017 by Yowster

[Ophir Gottlieb]

33 minutes ago, Yowster said:

@Ophir GottliebA couple of comments:

• I agree that a setting for let options expire worthless is a great idea.  The 0.20 closing price for the OTM option at expiration is not a huge issue for me, just something I wanted to note - and having the let options expire worthless setting would work well here.
• The tool knows that a position is being closed on expiration day and you need some degree of parity there.  I have closed many slightly ITM options on expiration day afternoon and have rarely had to go more than 0.05 or 0.10 above the intrinsic value, irregardless of what the bid/ask was.  I certainly never had to pay anywhere close to 1.52 over intrinsic value as was the case in this example.   IMO, for closing ITM options at expiration day the tool should use the difference between the strike and the stock closing price, plus a small amount above that - no more than 0.20 (especially for options trading at lower prices).

 

We actually just had a quick team chat, and we will be doing parity at expiration.

 

So, worthless is 0 and no transaction costs, and parity is execution price otherwise.

 

The trade-off became easy. We may be a $0.04 too optimistic on executing at parity, but we will not be $1.75 wrong, or even $0.12 wrong.

 

Excellent feedback and very much appreciated.

[cuegis]

6 hours ago, Ophir Gottlieb said:

 

A large scale, full built scanner is in the works, but it's along ways off -- perhaps 6 months. But it will be able to scan anything -- like the best covered calls in Technology over 3 years with x wins, y return, z average return, etc, etc, etc

My first choice for scanning ability would be...earlier expirations that are trading at an IV that is VERY significantly higher than later expirations.

But, it would have to be able to "toggle" out all stock that have upcoming earnings (ex. within 30 days), because most IV's will be shaped that way during that period.

That is your "edge" in a "non-earnings" calendar.

[netleo]

Hi @Ophir Gottlieb

While I understand the intraday prices are not part of this backtest, how can we incorporate intraday target hits which might not be reflective in the end if the day close prices? Meaning, if I have GTC order to close position st my target return, it might close intraday but will never show up at the end of the day or even until option expiration in the extreme cases. How can this be improved as it will show better potential results for the trade. Thanks.

[cuegis]

10 minutes ago, netleo said:

Hi @Ophir Gottlieb

While I understand the intraday prices are not part of this backtest, how can we incorporate intraday target hits which might not be reflective in the end if the day close prices? Meaning, if I have GTC order to close position st my target return, it might close intraday but will never show up at the end of the day or even until option expiration in the extreme cases. How can this be improved as it will show better potential results for the trade. Thanks.

Another example would be if you are holding a "pre-earnings" straddle.

The largest gains from that trade would come from a sudden outsized move in price, which takes advantage of all the gamma you are holding.

If you were to suddenly get a big move during the day, you would immediately want to "realize" that gain by either re-hedging the position, or "rolling it to another strike....or even just closing it out altogether.

But, since you don't know , in advance, if/when such a move will occur , then there is nothing you can setup in your inputs to account for these events.

And it is THE reason for a "pre-earnings" calendar.

Some may say that a rise in IV is another reason but, for the most part, a rise in IV usually just offsets the theta decay for the day.

[Yowster]

58 minutes ago, Ophir Gottlieb said:

 

We actually just had a quick team chat, and we will be doing parity at expiration.

 

So, worthless is 0 and no transaction costs, and parity is execution price otherwise.

 

The trade-off became easy. We may be a $0.04 too optimistic on executing at parity, but we will not be $1.75 wrong, or even $0.12 wrong.

 

Excellent feedback and very much appreciated.

@Ophir GottliebThank you for the responsiveness on this, I wholeheartedly agree that being a couple of cents too optimistic is much better than being way off target.  Also, please don't take my problem reports the wrong way - I am big on details so when I see things in the trade details that look wrong or don't make sense I want to call them out.   I like the simplicity and ease of use of the tool and am just trying to help work out the kinks and make it better.

[Ophir Gottlieb]

 

How to Profit from Workday Inc Volatility

 

 

How to Profit from Workday Inc Volatility

Date Published: 2017-06-09 

PREFACE 
The market has a new-found volatility and that means the trusted long-only strategies may start to work less well. But, for the investor that is interested in turning a profit with some homework, this new found volatility does mark an opportunity for several stocks with options, and in this case study we look at Workday Inc (NYSE:WDAY). 

STORY 
There is always a way to trade options that benefits from market volatility -- that's not the issue -- the issue is how to avoid making the investment when the market is not volatile. 

What we're about to show you could make you angry -- but this is objective data -- and yes, this is how the hedge funds and algos make the top 0.1% richer at the expense of every other individual trader. Now it's time to do it ourselves. 

JOINING THE ELITE 
Simply buying near-the-money options and selling further out-of-the-money options is a trade that looks for market volatility. If we did it in Workday Inc, it would have been a disaster. Here are the results over the last 3-years: 
 

Yep -- a 50% loss over three-years while the stock was soaring. 

But there is a much smarter way to approach this and it's easiest seen with a stock chart. What we're looking at below is a 2-year stock chart for Workday Inc, with the earnings dates highlighted by the blue "E" icon, and circled. 
 

What we can see, totally irrespective of the earnings move, is that the month before earnings, the stock tends to trade with volatility. 

We can see that with the yellow arrows drawn in the month before each earnings announcement. 

Now, we don't care if the stock goes up or down, what we care about is that the stock does something. Watch what happens to our iron condor option strategy when we only trade the month before earnings. 

Here's the set-up, to be perfectly clear what we're testing: 
 

And here are the results: 
 

 
Go to this back-test

That 50% losing trade, when we isolate it to just the month before earnings, now returned 92.8%. Yes, that is a total and utter reversal of the original approach and for the record, the stock itself is only up 29% in those three-years. 

The first attempt we checked is what everyone else is doing. The second approach is what the top 0.1% are doing. 

CONSISTENCY 
Here is how this pre-earnings iron condor has done over the last two-years: 
 

 
Go to this back-test

That's a 82.4% return, with 5 wining trades and 3 losing trades. 

For completeness, here are the results over the last six-months, which is really just two earnings announcements, one-month before each, for a total of two-months of trading: 
 

 
Go to this back-test

Now we see a 42% return in just two-months of trading, with the last two pre-earnings trades both winning. 

WHAT HAPPENED 
You have now seen the realities of option trading. The wealthiest and most successful funds and algos get ahead by using intelligence like this. If you have the desire to do it as well, then you too can find the patterns that drive profits and make option trading less about luck, and more about knowledge. 

This type of intelligence even works for covered calls and much less complex ideas than iron condors. To learn more, we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work 

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past result

 

[cuegis]

Hi,

Was I mistaken, or did you put out a release last week saying that the advanced, "Pro" version of the program would be coming out yesterday? Sunday?

[Ophir Gottlieb]

11 minutes ago, cuegis said:

Hi,

Was I mistaken, or did you put out a release last week saying that the advanced, "Pro" version of the program would be coming out yesterday? Sunday?

 

We are releasing tomorrow at midnight. Custom works, multi-ticker works, saving custom works, risk calcs work, front end works, no we are doing further automated testing on all. 

[Ophir Gottlieb]

Here it is!

 

To be released tomorrow. cc @Kim

Custom Option Strategy Building With the CMLviz Option back-tester

 

 

As of tomorrow, this Pro version of the software will be $99.  The $49 version will still exist, but the "automatic free upgrade" ends in a day.

 

You can sign up as a Steady Options Member here: https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

 

 

Edited June 12, 2017 by Ophir Gottlieb

[wlnoronha]

Just sign up, let's give it a shot. 

[voland777]

Hi @Ophir Gottlieb,

Any plans to add more risk measurement metrics such as sharpe ratio, sortino, max drawdown, etc?

Thanks

 

 

[Ophir Gottlieb]

13 hours ago, voland777 said:

Hi @Ophir Gottlieb,

Any plans to add more risk measurement metrics such as sharpe ratio, sortino, max drawdown, etc?

Thanks

 

 

 

We let out community decide. We do have plans for much more powerful risk charting. If you're a member you will receive a "what do you want email" soon.

[netleo]

@Ophir Gottlieb I signed up  to TM Pro several days ago using SO link for $49 but I cannot see the custom option let feature under my account yet which I suppose should be there by now? Could you please advise? Thanks.

[Ophir Gottlieb]

20 minutes ago, netleo said:

@Ophir Gottlieb I signed up  to TM Pro several days ago using SO link for $49 but I cannot see the custom option let feature under my account yet which I suppose should be there by now? Could you please advise? Thanks.

 

Custom is being released tonight

[voland777]

2 hours ago, Ophir Gottlieb said:

 

We let out community decide. We do have plans for much more powerful risk charting. If you're a member you will receive a "what do you want email" soon.

Yes, I signed up last night. Looking forward to this email. Thanks.

[voland777]

I was mucking around and came up with this seemingly interesting strategy on Intel:

http://tm.cmlviz.com/index.php?share_key=P8RI8fUXk45tfzZY

I sell straddle on Intel right after earnings for 29 days. The premise is that Intel stops moving too much after earnings.

 

[cuegis]

8 minutes ago, voland777 said:

I was mucking around and came up with this seemingly interesting strategy on Intel:

http://tm.cmlviz.com/index.php?share_key=P8RI8fUXk45tfzZY

I sell straddle on Intel right after earnings for 29 days. The premise is that Intel stops moving too much after earnings.

 

None of your 5 backtests show a straddle (i.e.50 delta call and put). Each test has different deltas, none of which are 50.

 

But I put in a 50/50 delta straddle and got this....

 

Short INTC Straddle

    

 

Sell 50 Delta Call, Sell 50 Delta Put

Expiration: 30 Days

Risked:

$1537 

Total Return:

 $471 

% Return:

30.7%

Commissions:

  $8

% Wins:

87.5%

Wins: 7

Losses: 1

Gain: $561

Loss: ‑$90

 

 

Edited June 13, 2017 by cuegis

[Guy]

Here's some learning from running some tests on the CMLviz Trade Machine.  I shared with Ophir....

 

One edge in options is the difference between IV and actual volatility.  But unexpected market moves can upset going after that edge.  But, what if one sold inversely related options so as to be agnostic to market direction?  Would that work??

So, wth Trade Machine, I tested selling ATM straddles every 7 days on two positions SPY and SDS, with the loss capped at 100% to avoid disasters.  To implement, I would sell 5x the SDS straddles to adjust for roughly 1/10th price difference but 2x leverage versus SPY.  Did it work??

 

Over 2 years, SPY Straddles were up 55%, and SDS Straddles was up 40%.  For the ETF's themselves, SPY was up 22% and SDS was down 39%.  

 

SPY -- http://tm.cmlviz.com/index.php?share_key=QNZI9KQnt3YVFEW5

SDS -- http://tm.cmlviz.com/index.php?share_key=tvH47Munqx9GdIhI

 

Seemed to capture that volatility edge pretty well without worrying about market direction.

 

Any thoughts?

 

Edited June 13, 2017 by Guy

[voland777]

1 minute ago, cuegis said:

None of your 5 backtests show a straddle (i.e.50 delta call and put). Each test has different deltas, none of which are 50.

I know. I refer to "straddle" as a button label on the GUI. I did want to do an actual straddle but it is not possible yet.

[cuegis]

Just now, voland777 said:

I know. I refer to "straddle" as a button label on the GUI. I did want to do an actual straddle but it is not possible yet.

Yes it is. I just posted it in an edit.

You just go into "settings" and check off the box that allows the program to default to YOUR own deltas which you fill in each of the boxes.

I filled in 50/50 in the 1st box, and chose to open 2 days after, and close 29 days after, earnings, using a 30 day "rollover".

The results are 87.50% wins, and 30.7% returns over a 2 year backtest.

[Ophir Gottlieb]

Just now, cuegis said:

Yes it is. I just posted it in an edit.

You just go into "settings" and check off the box that allows the program to default to YOUR own deltas which you fill in each of the boxes.

I filled in 50/50 in the 1st box, and chose to open 2 days after, and close 29 days after, earnings, using a 30 day "rollover".

The results are 87.50% wins, and 30.7% returns over a 2 year backtest.

 

Perfect analysis and sharing!  Thank you!

[voland777]

1 minute ago, cuegis said:

Yes it is. I just posted it in an edit.

You just go into "settings" and check off the box that allows the program to default to YOUR own deltas which you fill in each of the boxes.

I filled in 50/50 in the 1st box, and chose to open 2 days after, and close 29 days after, earnings, using a 30 day "rollover".

The results are 87.50% wins, and 30.7% returns over a 2 year backtest.

Very nice. Thanks!

[cuegis]

3 minutes ago, Ophir Gottlieb said:

 

Perfect analysis and sharing!  Thank you!

Something interesting. But,you probably would have expected this.

I tried about 10 other random stocks, big names, AAPL, FB , NVDA etc. and all of them were losers.

Then I tried MSFT and got the EXACT same results......87.50% wins, 27% returns.

I guess what you were assuming about a stock like INTC is very much like a MSFT,

[Ophir Gottlieb]

6 minutes ago, voland777 said:

Very nice. Thanks!

 

You can share the link to your back-test and it will open up in everyone else's backtester as well.

[voland777]

4 minutes ago, Ophir Gottlieb said:

 

You can share the link to your back-test and it will open up in everyone else's backtester as well.

How do I do that?

[cuegis]

http://tm.cmlviz.com/index.php?share_key=sVCr46YcZ8XaH7Ka

 

But notice how all of the other odd, different combination deltas produce 100% returns

Edited June 13, 2017 by cuegis

[Ophir Gottlieb]

Just now, voland777 said:

How do I do that?

[Ophir Gottlieb]

Here you go. I believe this is Kim's approach.

 

NVDA FB AMZN look incredible.

 

This is $49 / mo today, $99 / mo starting tomorrow. 

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

 

Edited June 13, 2017 by Ophir Gottlieb

[cuegis]

8 minutes ago, Ophir Gottlieb said:

Here you go. I believe this is Kim's approach.

 

NVDA FB AMZN look incredible.

 

This is $49 / mo today, $99 / mo starting tomorrow. 

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

 

It looks like,after you have created your own , new, custom strategy, you can save it, and then make a \new button to place on your screen for it.

Is that right?

[Ophir Gottlieb]

1 minute ago, cuegis said:

It looks like,after you have created your own , new, custom strategy, you can save it, and then make a \new button to place on your screen for it.

Is that right?

Didn't understand your question exactly, but you can definitely save your strategies and even share them so they will be saved on someone else's TM. 

[cuegis]

5 minutes ago, Ophir Gottlieb said:

Didn't understand your question exactly, but you can definitely save your strategies and even share them so they will be saved on someone else's TM. 

If you look at the screen shot that you just posted, there is a "strategy" button that says "Long and Short Straddle".

I was thinking that this was Kim's strategy, which you created, and then placed a button of on the screen.

[Ophir Gottlieb]

1 minute ago, cuegis said:

If you look at the screen shot that you just posted, there is a "strategy" button that says "Long and Short Straddle".

I was thinking that this was Kim's strategy, which you created, and then placed a button of on the screen.

I created it, yes, but it's in my custom strategy folder, which is a drop down menu under 'custom strategies.'

 

(coming at midnight).

[NJ_KenRob]

@cuegis When you are using the backtester, what execution fill type do you use?

[NikTam]

I've signed up for this and it is really cool and I've done some random backtesting, but I'm trying to imagine placing money at risk based on historical data seemingly de-linked from the actual live markets I can see moving on my screen. 

Also, where do I even begin to sift out the best trade setups?  As I experiment with this I'm always thinking there's probably a better ticker with a better setup.  And I feel this could be an endless search.   So that leads me to think that I need to create lots of small trades  and let the odds work for me    But then that's lots of management and transaction fees. 

Anyone else having these thoughts?  I want this to be a useful tool.  It's a very clever thing, but is it useful?  Someone enlighten me!

[ocr008]

53 minutes ago, NikTam said:

I've signed up for this and it is really cool and I've done some random backtesting, but I'm trying to imagine placing money at risk based on historical data seemingly de-linked from the actual live markets I can see moving on my screen. 

Also, where do I even begin to sift out the best trade setups?  As I experiment with this I'm always thinking there's probably a better ticker with a better setup.  And I feel this could be an endless search.   So that leads me to think that I need to create lots of small trades  and let the odds work for me    But then that's lots of management and transaction fees. 

Anyone else having these thoughts?  I want this to be a useful tool.  It's a very clever thing, but is it useful?  Someone enlighten me!

my custom strategy

dosen't working just flashig

 

SPY My Strategy 4

My Strategy 4

Expiration: 30 Days

Risked:

 

Total Return:

 

% Return:

 

Commissions:

 

% Wins:

 

Wins:

Losses:

Gain:

Loss:

<< click the result tile
   for more details

 

[click a strategy box at top]

Expiration:

[x] Days

Risked:

 

Total Return:

 

% Return:

 

Commissions:

 

% Wins:

 

Wins:

Losses:

Avg Win:

Avg Loss:

Gross Gain:

Gross Loss:

Stock Performance:

 

Starting Stock Price:

 

Ending Stock Price:

 

 

 

Ending Positions Val:

 

Net Cash:

 

Commissions Paid:

 

   

 

Trades  

Download  

Copy 

  What is delta?

 

close

Copy (Control + C) and paste this link to share this backtest

Anyone can view the link!

close

[Darcy MacDonald]

8 hours ago, NikTam said:

I've signed up for this and it is really cool and I've done some random backtesting, but I'm trying to imagine placing money at risk based on historical data seemingly de-linked from the actual live markets I can see moving on my screen. 

Also, where do I even begin to sift out the best trade setups?  As I experiment with this I'm always thinking there's probably a better ticker with a better setup.  And I feel this could be an endless search.   So that leads me to think that I need to create lots of small trades  and let the odds work for me    But then that's lots of management and transaction fees. 

Anyone else having these thoughts?  I want this to be a useful tool.  It's a very clever thing, but is it useful?  Someone enlighten me!

I think it's more useful when you have an idea and want to backtest that specific idea to see if it works or not.  For example, I've been interested in selling credit spreads against stocks I like.  I've been able to use the tool to explore that idea and find the best deltas, profit targets and days to expiry that would have worked well in the past.  From there I took the results and did further manual backtesting on things the tool doesn't support, like seeing what happens when I only sell premium on higher IV days, stuff like that.

 

I recently did several trades based on that work and have been very happy with the results.  It was a huge time saver in terms of doing the research and testing to make sure my idea was sound enough to give me the confidence to start trading it. 

 

Finding a random trade that did well on a single stock 12 times over the last three years doesn't really tell you anything I don't think. However, if a setup is profitable over many different stocks, then maybe there's something there.