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CML TradeMachine Trade Ideas

NikTam

By NikTam
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zxcv64
zxcv64

Having completed a 100 CML trades, I thought I would summarise my results.    Summary : 100 trades, 66 winners, overall profit of 12.1% PER TRADE.   Here is a detailed breakdown, w

greenspan76
greenspan76

This topic was a little more active a while back and I had intended to give an update on my results at the 1 year mark, but I've been busy with other projects the last few months. My first CML trade w

cuegis
cuegis

Here is an example of how I have used CML as an adjunct to the SO calendar trades, pre earnings. We know that those calendars , on their own, are very good trades, with a great success rate.

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NikTam Hero Member

NikTam

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Also I note that Q was a high percentage 11:1 winner 3 day Pre Earnings play.  But it would have been a loser this time around.  Earnings are BMO tomorrow so today is last day of trade (although holding through earnings up to 3 days afterwards tests well also - if you have the stomach for holding through earnings).  The stock was up on the 23rd which was the buy-in date and has drifted down with the market since then -- and now I see that there are no weekly options or 40 delta contracts available.  Not sure how CML back-tests this ticker for 3 and 7 day pre-earnings if no weekly contracts available...?

 

My strategy is to do multiple small positions on candidates that are 80% or better back-tested winners.  Get out with OCO of 40% profit/25% loss.

Edited by NikTam
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Sirion Hero Member

Sirion

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NVDA should be noted as upcoming but I have yet to find earnings confirmation.

1 hour ago, NikTam said:

TTWO -- I'm also in this 14 day Pre Earnings trade.  Very high percentage backtest winner.  Opened Nov 17 long call at 3.10  40 delta.  1/4 position.

http://tm.cmlviz.com/index.php?share_key=s_0_20171025034954_HOHyXaA9EAVVHGqd

What strike did you enter this one at? 40 delta might be different, this has run up quite a bit today. Sad to have missed it.

Sirion Hero Member

Sirion

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Posted
2 minutes ago, NikTam said:

@Sirion  I entered the 108 at 3.10.  It's actually down right now -- 2.75 -- might not be bad time to get in.

Earnings Whisper says Nov 9 AMC for NVDA. 

 http://tm.cmlviz.com/index.php?share_key=s_0_20171025045659_a4Z1HH9LsGHyFPC0

That seems to be the expectation, but I don't know if it's been confirmed yet or not. 

 

I entered at 2.90 a few minutes ago. I don't think it would actually fill at 2.75. Maybe 2.85, now that TTWO's come back a little.

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SBatch Hero Member

SBatch

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@NikTam Thank you for opening this thread and sharing these trade ideas.  I do like the pre-earnings straight call concept so I hope you will continue to post other candidates that show merit through CML back-testing.

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greenspan76 Hero Member

greenspan76

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7 hours ago, NikTam said:

Also, I did Pre Earnings trades per CML on MSFT and BA last week.  Exited early with 40% profit on both.

I also took the MSFT trade last week and exited with a 40% gain after one day. That one worked nicely. Have you been doing a lot of these trades, and if so about how long does it take you to find one good trade when you doing your own searching?  I've been on the fence about a CML TradeMachine subscription for no other reason than the time available to actually do my own searching and am very curious. Just from following the trades Ophir has posted here on on his blog, I've found it takes a good amount of time just to look through the details and decide whether the summary results are representative of the detailed results. To date, I've made 62 trades with an average gain of 2.2%, which is a little lower than I had hoped for, but still not too bad.

NikTam Hero Member

NikTam

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@greenspan76  You've done a lot more CML trades than I have.  I'm just getting started.  But I agree there is a fair amount of research needed.  I already see the need to set up a spreadsheet to make it more systematic.  The devil is always in the details.  But I'm thinking the edge will be in the volume of trades executed, which means simpler is better.  Simple Calls or Puts or maybe verticals.  And I'm going to automate with OCO for profit and stop loss exits.  My daily routine is such that I can check in only 3 or 4 times during the trading hours.  With high volume of trades, trading costs are an issue; so TD should love this.  But 2%-3% average gain will be fine for 3 day or 7 day pre-earnings trades.  At 14 days I would hope for more.  And earnings are 4x a year -- there are also back-tested post earnings trades -- so what do you do in-between?  Maybe SO calendars?  The are fewer in number these days.

greenspan76 Hero Member

greenspan76

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Posted (edited)
2 hours ago, NikTam said:

@greenspan76  You've done a lot more CML trades than I have.  I'm just getting started.  But I agree there is a fair amount of research needed.  I already see the need to set up a spreadsheet to make it more systematic.  The devil is always in the details.  But I'm thinking the edge will be in the volume of trades executed, which means simpler is better.  Simple Calls or Puts or maybe verticals.  And I'm going to automate with OCO for profit and stop loss exits.  My daily routine is such that I can check in only 3 or 4 times during the trading hours.  With high volume of trades, trading costs are an issue; so TD should love this.  But 2%-3% average gain will be fine for 3 day or 7 day pre-earnings trades.  At 14 days I would hope for more.  And earnings are 4x a year -- there are also back-tested post earnings trades -- so what do you do in-between?  Maybe SO calendars?  The are fewer in number these days.

On the trades I've taken from the blogs and such, by the time I download the trades and sort through them on a spreadsheet to determine if the trade has promise, it takes too much time to only average 2-3% gains, even for short holding periods. Just for the sake of accuracy, my numbers were after trading costs using IB, but I looked a little closer and realized I had duplicated some trades in those numbers (where I made the same trade in my brokerage and IRAs), so it was actually 45 total closed trades and an average holding period of almost 14 days. The only reason I'm still trading them is because a handful of trades skewed both the average gain downward and the average holding period upward, and I'm inclined to believe that more selective trading would produce reasonable results.

Edited by greenspan76
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NikTam Hero Member

NikTam

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@greenspan76 On reflection I would agree - the average net return will need to be higher to justify the setup time and the commitment to CML as a trading program.     I will give it 90 days of active trading and see how it looks.  

NikTam Hero Member

NikTam

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I'm out of this trade with 40% gain.  OCO GTC at .70 took me out in first minute of market when stock gapped up.

 

Posted 8 hrs ago:  INTC -- Entered Long Call Pre-Earnings trade today.  It's supposed to be 3 days before earnings -- Oct 26 AMC -- but with the dip in the market today and the decent percentage of success even holding thru earnings I went with it with one day left.  A cowardly 1/8 position.  Oct 27 Long Call 41 for .52   40 delta

http://tm.cmlviz.com/index.php?share_key=s_0_20171025050837_qVWcd9B46GfJLRmg

 

 

Edited by NikTam
IgorK Hero Member

IgorK

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21 minutes ago, NikTam said:

I'm out of this trade with 40% gain.  OCO GTC at .70 took me out in first minute of market when stock gapped up.

 

Posted 8 hrs ago:  INTC -- Entered Long Call Pre-Earnings trade today.  It's supposed to be 3 days before earnings -- Oct 26 AMC -- but with the dip in the market today and the decent percentage of success even holding thru earnings I went with it with one day left.  A cowardly 1/8 position.  Oct 27 Long Call 41 for .52   40 delta

http://tm.cmlviz.com/index.php?share_key=s_0_20171025050837_qVWcd9B46GfJLRmg

 

 

Good one. I chickened out and now bite my nails :)

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NikTam Hero Member

NikTam

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Looking at W (Wayfair) 3 day P-E (Pre-Earnings) play.  It has an impressive 11:1 back-test history.  But this cycle it is in a pronounced downtrend and the 3 day pre-earnings trade would mean entering tomorrow and exiting on Tuesday (for shorter term trades weekend days don't count).  It announces BMO Wed the 2nd so 1 day before earnings would be Tuesday the 1st.  I'm going to watch this one into Monday to see if there is a turn-around in direction. 

NikTam Hero Member

NikTam

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@Djtux  YUM is a 7 day P-E play but IMHO would not have bought it earlier based on chart.  But today it is bouncing off the daily 34 day low trend line.  The 3 and 4 day iterations also look good. I like this one and I will get into it today with a small position.  Thanks for heads up!

IgorK Hero Member

IgorK

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12 minutes ago, Djtux said:

How about YUM ?

They report 11/02 BMO, so entry would be today EOD ?

http://tm.cmlviz.com/index.php?share_key=s_0_20171026141927_pOHXgfjXrwxboKzr

 

1 minute ago, NikTam said:

@Djtux  YUM is a 7 day P-E play but IMHO would not have bought it earlier based on chart.  But today it is bouncing off the daily 34 day low trend line.  The 3 and 4 day iterations also look good. I like this one and I will get into it today with a small position.  Thanks for heads up!

40 delta calls?

NikTam Hero Member

NikTam

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Yes -- 40 delta.  Mid at 1.05.  I'm going to buy 5 now and maybe 5 more later in day.  Still being very conservative.

 

Filled at 1.05

Edited by NikTam
NikTam Hero Member

NikTam

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For MAR P-E there is a lot of variation when entering different time frames of just a day or two.  Best B-T (back-test) is 7 day P-E and closing either day before earnings -- Tuesday the 6th -- or even the day of earnings on the 7th since the announcement is AMC.  I like the chart.  I'm getting into this one tomorrow.

 

@akito Getting in next Tuesday would make this a 5 day B-E trade but the results look good for that, too.  I think I will get in tomorrow and maybe add on Monday and/or Tuesday if market direction is looking good.

Edited by NikTam
Sirion Hero Member

Sirion

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Getting a few more opportunities in this one than I thought. For now, I'm entering YUM as a ~1/8th position because I currently have a YUM strangle going and don't want to overexpose.

Moving forward I'm going to have to consider how to handle that. Overall, I also want to make sure my profile doesn't become too long delta. 

(Raises the question if we could get some inverse trades going, but in this bull market I honestly doubt it)

Sirion Hero Member

Sirion

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Just now, IgorK said:

IN for 1 call for 1.05. What is estimated return? 35%-40%?

Strategy calls for taking profits at 40%. 

Backtesting yields greater results due to always closing at end of day. Where you actually close is up to you.

NikTam Hero Member

NikTam

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I like 40%.  OCO for profit and 25% stop loss is the way I'm going with this.  Running iterations indicates the volatility of past trade history and I can see that a 25% Stop Loss might be a problem with some tickers and I think I will avoid those rather than raise my loss potential.  With 40/25 I can win half the time and still be ahead --right?

IgorK Hero Member

IgorK

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6 minutes ago, NikTam said:

I like 40%.  OCO for profit and 25% stop loss is the way I'm going with this.  Running iterations indicates the volatility of past trade history and I can see that a 25% Stop Loss might be a problem with some tickers and I think I will avoid those rather than raise my loss potential.  With 40/25 I can win half the time and still be ahead --right?

How do Id this in IB TWS?

greenspan76 Hero Member

greenspan76

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Posted (edited)

I did the MAR trade last cycle, but made a mistake and opened the morning of the day after I was "supposed to" open. Ended up with 18% gain vs the official CML gain of 53%. Unfortunately, I didn't keep good notes to know if trading it "correctly" under actual trading conditions would have resulted in near 53% gain.

Edited by greenspan76
IgorK Hero Member

IgorK

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Posted
1 hour ago, NikTam said:

I’m doing a spreadsheet this weekend.  With so many prospective trades, I want to track this.    

Will you make it public?

Just now, RapperT said:

I want to echo some of the others and thank you @NikTam for putting this thread together

+1

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NikTam Hero Member

NikTam

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@Maji  No, I have not.  I have purposely tried to keep my  trades simple so Iron Condors are not part of my plan.  I want to automate exits and not so confident in that regard with multi legged strategies.  Straddles or Verticals could work.

akito Hero Member

akito

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1 minute ago, NikTam said:

BOT MAR 7 Day P-E Long Call.  Delta 40 119 filled at 1.25.  My OCO is +40% / -25% .

Just curious. Any particular reason why you're entering now? Do the backtests show best results entering now? With earnings on 11/8 BO, 7 days before would be 8/31

NikTam Hero Member

NikTam

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@akito Earnings Whisper says Nov 7 AMC.  So counting days beginning on Monday that would be 7 days.  You could wait until end of day to be conforming exactly to back-test parameters but I will be in meetings this afternoon.  I think I could have got in for better price -- and should have. 

akito Hero Member

akito

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Posted (edited)
4 minutes ago, NikTam said:

@akito Earnings Whisper says Nov 7 AMC.  So counting days beginning on Monday that would be 7 days.  You could wait until end of day to be conforming exactly to back-test parameters but I will be in meetings this afternoon.  I think I could have got in for better price -- and should have. 

Ah, right. ER release looks to be on 11/7 AC, but earnings call is on 11/8 BO (I was looking at their website): https://investor.shareholder.com/MAR/events.cfm

(regardless, same result though, closing on 11/7)

 

Oh, you're only counting trading days? The backtests aren't based on calendar days? The CMLVIZ blog post also recommends entering on 10/31 though.

http://www.cmlviz.com/cmld3b/index.php?number=11776&app=news&cml_article_id=20171026_the-one-week-pre-earnings-momentum-in-marriott-international

(link from krisbee)

Edited by akito
NikTam Hero Member

NikTam

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No I think you're right -- let me check my notes.

 

My CML support notes says that for 3 days or less only count trading days -- so I am in early.  Oh, well!  The devil is in the details.  And that's why I'm still doing small positions!

Edited by NikTam
Djtux Hero Member

Djtux

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3 minutes ago, akito said:

Oh, you're only counting trading days? The backtests aren't based on calendar days? The CMLVIZ blog post also recommends entering on 10/31 though.

Yes the backtests are calendar days for CML.

 

15 minutes ago, NikTam said:

BOT MAR 7 Day P-E Long Call.  Delta 40 119 filled at 1.25.  My OCO is +40% / -25% .

Got filled at 1.10.

NikTam Hero Member

NikTam

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Yes -- the article @akito posted specifically says  Tuesday 10/31.  So I'm in early.  And I didn't use Calendar days in my calculation.

 

Edited by NikTam

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