CML TradeMachine Trade Ideas

[NikTam]

If anyone else is using OCO orders on TOS it is totally screwed up right now.  Treats the linked sell position as a naked option which wreaks havoc with Buying Power.  I am going to have to unwind all my OCO's to fix it -- TOS admits to the problem and have no fix date currently.  They will not force liquidation or do a margin call because it is a software glitch, but you will not be able to trade if account is erroneously calculated to be over Buying Power limit.

[Djtux]

7 minutes ago, krisbee said:

Earnings date is Nov 09 (according to volatilityhq.com)

Even if volatilityhq.com tries to get the confirmation date from multiple sources, my standard disclaimer is that only the official company IR website is the 'real' date.

https://nvidianews.nvidia.com/news/nvidia-sets-conference-call-for-third-quarter-financial-results-6648163

Quote

 

CFO Commentary to Be Provided in Writing Ahead of Call

NVIDIA will host a conference call on Thursday, Nov. 9, at 2 p.m. PT (5 p.m. ET) to discuss its financial results for the third quarter of fiscal year 2018, ending October 29, 2017.

The call will be webcast live (in listen-only mode) at the following websites: www.nvidia.com and www.streetevents.com. The company’s prepared remarks will be followed by a question and answer session, which will be limited to questions from financial analysts and institutional investors.

Ahead of the call, NVIDIA will provide written commentary on its third-quarter results from its CFO. This material will be posted to www.nvidia.com/ir immediately after the company’s results are publicly announced at approximately 1:20 p.m. PT.

To listen to the conference call, dial (877) 223-3864 or, for those outside the United States, (574) 990-1377, conference ID 96232617.

A replay of the conference call will be available until Nov. 16, 2017, at (855) 859-2056, conference ID 96232617. The webcast will be recorded and available for replay until the company’s conference call to discuss financial results for its fourth quarter and fiscal year 2018.

 

 

[RyanHo]

 

Hi @Kim, I am not sure if this is a proper topic to ask questions, if not please move my post to the right place.

I was watching BERY and found short straddle pre-earnings had 100% win rate (60 / 50 /40 /20 delta) over the last 2 years.

As at SO , we are only short straddle/strangle as hedge, I would like to have your comments on short straddle alone.

http://tm.cmlviz.com/index.php?share_key=20171102073742_52lVvAjk7dBJwDwB

 

Thanks.

Ryan

Edited November 2, 2017 by RyanHo
change a few words

[CPO]

1 hour ago, RyanHo said:

 

Hi @Kim, I am not sure if this is a proper topic to ask questions, if not please move my post to the right place.

I was watching BERY and found short straddle pre-earnings had 100% win rate (60 / 50 /40 /20 delta) over the last 2 years.

As at SO , we are only short straddle/strangle as hedge, I would like to have your comments on short straddle alone.

http://tm.cmlviz.com/index.php?share_key=20171102073742_52lVvAjk7dBJwDwB

 

Thanks.

Ryan

Does CML give you the drawdowns for each trade? I'd be interested to know that before entering short straddle trades like this.

[clems]

 

3 hours ago, CPO said:

Does CML give you the drawdowns for each trade? I'd be interested to know that before entering short straddle trades like this.

It was a 100% winner over the period examined, so there was no drawdown.  The margin held for each trade is indicated by the 'risked' line item in each box.  In this case, it was $850 - $1000 per trade.  Too much for the return for me.

[CPO]

Just now, clems said:

 

It was a 100% winner over the period examined, so there was no drawdown.  The margin held for each trade is indicated by the 'risked' line item in each box.  In this case, it was $850 - $1000 per trade.  Too much for the return for me.

So during each trade the underlying never closed outside of the breakevens?

[Kim]

In my opinion, the return is too small, the margin is too high and the risk is too high. If you want to short those options, calendar is a much better choice.

[RapperT]

closed mar for 30% as im traveling.  adp, yum, qgen all losers

[krisbee]

2 minutes ago, RapperT said:

closed mar for 30% as im traveling.  adp, yum, qgen all losers

is ADP, YUM , QGEN was the sent out by CMLVIZ? I know NVDA, and MAR was published by them.

[NikTam]

So far I've had 8 winners, 2 losers (ADP, YUM) and one BE (QGEN). 

RBC is my biggest worry right now.

I'm also still in HD, NVDA and SYY.

Edited November 2, 2017 by NikTam

[bam1960]

I entered NVDA Nov 10 40 delta call this morning on the downswing Price 205.30

[IgorK]

23 hours ago, NikTam said:

NVDA is a beast.  The probability is that it will be a P-E winner.  11: 1 over past three years -- but only 50/50 past 6 months.  So I have my Stop Loss in place at 25%.

http://tm.cmlviz.com/index.php?share_key=20171101150227_yNTmWHmSFZUQyF7Y

It is a  real beast. Hope it gets to original price.

Edited November 2, 2017 by IgorK

[RyanHo]

1 hour ago, Kim said:

In my opinion, the return is too small, the margin is too high and the risk is too high. If you want to short those options, calendar is a much better choice.

Point taken. Thanks Kim.

[RapperT]

2 hours ago, krisbee said:

is ADP, YUM , QGEN was the sent out by CMLVIZ? I know NVDA, and MAR was published by them.

not sure, from this thread. 

[NikTam]

Those were among about a dozen candidates I found using Proscan.  

[NikTam]

Exited RBC for 35% loss.  Broke my 25% stop loss rule -- because TOS OCO is messed up.

NVDA is down -- I assume because TSLA supply relationship is now in question --- so I sold some 20 delta calls which effectively creates a vertical spread.  The CML back-testing shows very similar results btw the single long call and the call debit spread vertical.  No surprise.  It does move my BE in the right direction if NVDA does't take off as it usually does before earnings.

Edited November 2, 2017 by NikTam

[NikTam]

SYY about half way to 40% gain target.  Tomorrow is exit day.

HD really down - but it's a 14 day trade so will hang on.  Looked at selling calls but not good timing for that -yet.  As with NVDA, single long call and call debit spread results very similar in back-test results. 

 

In fact, I'm wondering why I wouldn't normally do call spreads in future for these pre-earnings plays.  Just a bit more complicated to track and exit; so liquidity becomes an even more critical issue for me.

Edited November 2, 2017 by NikTam

[wr200m]

@NikTam Thank you for sharing the trades.. After the earnings season settles down, would you be able to share the overall performance of these directional earnings trades? Win rate, average profit and average loss, etc? Thank you..

[NikTam]

@wr200m  Yes.  I am tracking everything with view to sharing it on this forum.

[RyanHo]

17 hours ago, CPO said:

So during each trade the underlying never closed outside of the breakevens?

You can check the trade details by clicking the tile and download the EXCEL.

CML TM Trades Sell 50 Delta Call, Sell 50 Delta Put 20171103.csv

[siddharth]

@NikTam

You mentioned that you are having decent success with CML. How are you using it. I have been following the trades that they send out in the discover tab but most are ending up losers. Just closed ATVI today for another loser. Are you creating other trades as well and if so, how are you going about it.

 

Thanks,

 

[zxcv64]

Can someone with a CML account pls check if there is any potential trade available for FOSL?

Earnings are on AC 07th Nov.

I had a quick look at the RV charts etc, and it seems that it may be worth buying long calls (or straddle) in this. The rational is :

- volatility rockets in the last 3-4 days before earnings

- historically, the RV holds up very well for this stock (due to above)

- the stock has fallen in a week from 9.3 to 7.75, and seems quite volatile

- negative point - RV is currently about 17.1% whereas the average is about 13.3%, so it's quite pricey 

The market is closed as I type this, so not sure of the spreads, or prices, but would love to hear views on this.

(All above info gained from here :https://www.art-of.trading/graph-straddles/)

[NikTam]

FOSL   the 14 day straddle back tests well.  Obviously that entry has passed.

http://tm.cmlviz.com/index.php?share_key=s_0_20171020201107_FewMHAnmuaqaLl7i

I tried this one -- getting in 1 day before earnings and exiting 0 days before earnings and got this result

http://tm.cmlviz.com/index.php?share_key=20171103113511_jRu1fbc3z1T0R6Vn

[NikTam]

@siddharth310584  I am not using the Discover tab "most viewed" trades.  Just using my own research.

[NikTam]

Exited SYY for 40% gain.

Watching HD and NVDA to see if I get a turn-around from yesterday.

[IgorK]

3 minutes ago, NikTam said:

Exited SYY for 40% gain.

Watching HD and NVDA to see if I get a turn-around from yesterday.

Does it make sense to hold NVDA to next week?

[NikTam]

I’m holding into Wed unless I hit 40% gain before then.  Or 25% loss. 

[IgorK]

3 minutes ago, NikTam said:

I’m holding into Wed unless I hit 40% gain before then.  Or 25% loss. 

What is your entry? My 125 at 6.40. So 25% loss is 5.12. It's being through this a couple of times already.

EDIT:  25% 4.8

Edited November 3, 2017 by IgorK

[NikTam]

I just did a very quick 14 day P-E on NTES based on CML back-test (which isn't stellar) and my charting.  Earnings on 11/15.  I got in about an hour ago.  Just exited.  Entered at 6.80 and just exited at 7.80. 

Edited November 3, 2017 by NikTam

[siddharth]

1 minute ago, NikTam said:

I just did a very quick 14 day P-E on NTES based on CML back-test (which isn't stellar) and my charting.  Earnings on 11/15.  I got in about an hour ago.  Just exited.  Entered at 6.80 and just exited at 8.00. 

Maybe a stupid question but what is p-e ?

Edited November 3, 2017 by siddharth310584

[NikTam]

@IgorK  I have two 212.5 at 6.35, one 215 at 6.50 and one 215 at 6.00.   I went without the stop loss on NVDA two reasons:  The OCO set up on TOS is not functioning properly.  And NVDA is a very volatile stock and tends to stop out.   It has a very compelling back-test history of rising prices into earnings.  I also sold some calls to make these into vertical positions.  I won't like that when I exit bc I will need to cover those positions before I sell (hopefully) for a profit.

[NikTam]

Pre-Earnings.  I made up the abbreviation.

[NikTam]

If anyone's interested I combine technical indicators with the CML back-testing.  My favorites are from John Carter's Simpler Trading team.  I use GRaB candles, the WAVE, Darvas 2.0 and Propulsion (Raghee Horner) and Voodoo Lines and RAF (David Starr) and the Squeeze and 10x (John Carter).  Like many of you I've spent thousands on classes and technology.  Not sure if I've broken even yet :-)   

Edited November 3, 2017 by NikTam

[krisbee]

@Ophir Gottlieb Not sure how you say "wins again" in your tweet.

[NikTam]

NVDA is coming along but not a win yet!

[krisbee]

On 11/3/2017 at 1:00 PM, krisbee said:

@Ophir Gottlieb Not sure how you say "wins again" in your tweet.

 

I closed NVDA for 17% profit (not sure what percentage is win @Ophir Gottlieb ). I had only 2 contracts. I won't reenter this, and I didn't see this anywhere close to 40%. 

Closed today to avoid holding through weekend. 

 

 

 

Edited May 4, 2019 by krisbee

[Sirion]

2 hours ago, krisbee said:

@Ophir Gottlieb Not sure how you say "wins again" in your tweet.

Pretty sure the EOD pricing on the prescribed day was very low, and it may have passed 40% gain here.

This is just a timing fluke. NVDA happened to dip significantly after most of us entered. 

On the other side, we've had a couple of trades where we hit 40% before EOD ever hit on some of these trades. 

These things happen.

 

Also, I don't think he can see this forum.

 

I'm holding NVDA. Still below even.

[krisbee]

2 minutes ago, Sirion said:

Pretty sure the EOD pricing on the prescribed day was very low, and it may have passed 40% gain here.

Pretty sure? It's not possible. unless I see real trade transaction. RE Tweeting with the article of 40% profit as winning again is what I'm questioning. Not that it didn't gain. I got profit in both MAR and NVDA. Is the tweet celebrating early, or for which option expiration? 

[Sirion]

3 minutes ago, krisbee said:

Pretty sure? It's not possible. unless I see real trade transaction. RE Tweeting with the article of 40% profit as winning again is what I'm questioning. Not that it didn't gain. I got profit in both MAR and NVDA. Is the tweet celebrating early, or for which option expiration? 

I'm not strongly defending his process, just saying his data is based off of EOD bid/ask, not real fills, just as the rest of the back-test data was. He would have "entered" when NVDA was 207.20, as opposed to ~209 when I opened. That's a very significant difference. 

[NikTam]

Back into NTES on a end of day dip -- half my usual position.

NTES -  P-E Momentum Vertical (bull call spread)   

Buy 40 Delta Call - Sell 45 Delta Call -- Nov 17 Monthly - Close on 11/14 (Earnings 11/15 AMC).

http://tm.cmlviz.com/index.php?share_key=20171103201308_vB7CvubIwJuIohDi

The back-testing does NOT support this trade.  Whatever the outcome, I will leave it out of my study results.

[NikTam]

Pre-Earnings Momentum Trade Results from 10/18 through 11/1.  10 gains, 6 losses. Average gain 32.6%, Average loss 24.2%.  Average duration of trade 1.3 days.  Cost is trading cost -- $1 per contract.  I see that BA cost is incorrect - should be $2 instead of $6 on entry.  Two weeks isn't very long period. I will update in two weeks and see how a month of these trades look -- or until I run out of earnings.  There were about 6 other tickers that looked good in CML that I did not trade because of lack of liquidity, wide spreads, and/or adverse indicators (like pronounced downtrends).

 

Edited November 4, 2017 by NikTam

[zxcv64]

NikTam, 

These are fantastic results and very well presented. There's a lot of useful info in your post and it's people like yourself who make this site awesome.

Can I pls ask :

1) How do you time your entry point? Lets say that CML indicates that you should buy 40 Delta calls on day T-7..... do you simply buy at the mid-market price, ie. almost mechanically? Or do you set BTO orders before the market opens on the day, trying your luck with getting a low entry? Or is it more a case of watching the technical indicators you mentioned earlier and using discretion?

2) I assume the exit point is easier - you probably have GTC orders for 40% gain (or such like).

 

(PS - not to nitpick, on your screenshot, but I make it a total of 9 winners and 6 losers - although this doesn't change your profit figures etc at all.)

 

[NikTam]

@zxcv64  Thanks for your comments!  I am not setting up a BTO but rather watching the market for the first 30-60 minutes of the day.  I typically get in at the Mid.  In addition to the CML back-testing I am using my own brew of technical indicators and I like to use a 30 minute chart to calibrate an entry (or exit).  I do set up GTC at 40% gain unless CML back test shows something extraordinary -- like NVDA which in an uptrend can blow through that on regular basis.

It is interesting that 3 out of 4 of my entries are in the AM.  And the opposite is true for exits.

I am seeing very quickly that liquidity and spreads are important even for these very simple trades.  And volume and open interest.  QGEN spiked up right on cue, but the option price didn't move.  It appeared that there was no interest in (or awareness of?) the options on this stock. I got out at a loss of trading costs.  I noticed that it did go up later in the day -- from 1.00 to 1.10. 

And I still count 10 winners -- There are two separate MAR trades so perhaps that's the discrepancy you're seeing?
 

Edited November 5, 2017 by NikTam

[cuegis]

23 hours ago, NikTam said:

Pre-Earnings Momentum Trade Results from 10/18 through 11/1.  10 gains, 6 losses. Average gain 32.6%, Average loss 24.2%.  Average duration of trade 1.3 days.  Cost is trading cost -- $1 per contract.  I see that BA cost is incorrect - should be $2 instead of $6 on entry.  Two weeks isn't very long period. I will update in two weeks and see how a month of these trades look -- or until I run out of earnings.  There were about 6 other tickers that looked good in CML that I did not trade because of lack of liquidity, wide spreads, and/or adverse indicators (like pronounced downtrends).

 

Wonderful. Specifically, is this the "7 day, pre earnings, long call" trade?

Have you found the results to be better than  3 , or 14 day?

Is 40 delta the "standard" for this trade?

Also, for expiration, is first expiration, post earnings, also the standard?

Obviously, it produced these results because the underlying went up, in the indicated time frame.

But, since that is a given, for the winners, have you experimented with other ways to "be long deltas" during the same time period?

For example, if 40 delta calls are producing such excellent results, wouldn't one expect most forms of long delta to do the same.

Might a long vertical, maybe long 50-60 delta/ short 25-30 delta provide equal, or better results, since there is less exposure to theta/vega, and a long delta of 50-60 is most certainly going to move with the stock.

How did you choose which stocks to use, after running the scan?

Did you just look at % of wins, and pick the most liquid ones, that were 100%?

[IgorK]

NCLH 3 days P-E Momentum http://tm.cmlviz.com/index.php?share_key=s_0_20171104091910_Z2cfR8Wg3V6T982B

What do you think guys?

[cuegis]

53 minutes ago, IgorK said:

NCLH 3 days P-E Momentum http://tm.cmlviz.com/index.php?share_key=s_0_20171104091910_Z2cfR8Wg3V6T982B

What do you think guys?

It's all good but, at this moment in history, you have to always remember that all of these are happening against the backdrop, not only of the longest bull market in history, but the Trade Machine conveniently allows only 3 choices for backtesting.....1,2, or 3 years....and even though this bull mkt has been going on much longer than that, the past 3 years specifically, have shifted up into a much faster paced uptrend.

So, of course that is going to have everything to do with these backtests.

I remember, as recently as 2013-2014, when the VIX was also below 10, at times,everyone saying "VIX can't get any lower, market is getting near the end of it's bull run"..etc.

Then , we have 3-4 more years, to date, of a more exaggerated angle of the uptrend.

Why does the Trade Machine, as part of it's generic backtests, only offer 3 choices for pre earnings, directional backtests.....3, 7, and 14 day UP moves, but there are no choices to run the same backtest for 3,7, and 14 day down moves.

Traders do not ONLY get optimistic, about the upcoming earnings.

Even in bull markets, they also have negative expectations of what is going to happen.

Edited November 5, 2017 by cuegis

[NikTam]

 

Lots of good questions and comments and I want to respond when I have more time. 

Btw, If you go into Settings you can adjust up to 5 years.  

[IgorK]

47 minutes ago, cuegis said:

It's all good but, at this moment in history, you have to always remember that all of these are happening against the backdrop, not only of the longest bull market in history, but the Trade Machine conveniently allows only 3 choices for backtesting.....1,2, or 3 years....and even though this bull mkt has been going on much longer than that, the past 3 years specifically, have shifted up into a much faster paced uptrend.

So, of course that is going to have everything to do with these backtests.

I remember, as recently as 2013-2014, when the VIX was also below 10, at times,everyone saying "VIX can't get any lower, market is getting near the end of it's bull run"..etc.

Then , we have 3-4 more years, to date, of a more exaggerated angle of the uptrend.

Why does the Trade Machine, as part of it's generic backtests, only offer 3 choices for pre earnings, directional backtests.....3, 7, and 14 day UP moves, but there are no choices to run the same backtest for 3,7, and 14 day down moves.

Traders do not ONLY get optimistic, about the upcoming earnings.

Even in bull markets, they also have negative expectations of what is going to happen.

Looking specifically at pre-earnings trades I think the idea about stock going up for certain companies. 

[NikTam]

3 hours ago, cuegis said:

Wonderful. Specifically, is this the "7 day, pre earnings, long call" trade?

Have you found the results to be better than  3 , or 14 day?

Is 40 delta the "standard" for this trade?

Also, for expiration, is first expiration, post earnings, also the standard?

Obviously, it produced these results because the underlying went up, in the indicated time frame.

But, since that is a given, for the winners, have you experimented with other ways to "be long deltas" during the same time period?

For example, if 40 delta calls are producing such excellent results, wouldn't one expect most forms of long delta to do the same.

Might a long vertical, maybe long 50-60 delta/ short 25-30 delta provide equal, or better results, since there is less exposure to theta/vega, and a long delta of 50-60 is most certainly going to move with the stock.

How did you choose which stocks to use, after running the scan?

Did you just look at % of wins, and pick the most liquid ones, that were 100%?

@cuegis 3 and 7 day and I'm in one 14 day (HD). 

What I see in this very short time period (two weeks) is that most of the gains happened with a day or two of entry. 

I went with 7 day expiry for the 3 day, weeklies for the 7 day, and monthlies if weeklies weren't available.  Yes, post earnings.

I used 40'ish delta on all but one trade when closest I could get was 50.

I think the long delta alternative you mentioned is a great idea and I started comparing those back-test results in retrospect -- as one would think, they are very similar.  The probability is almost the same, but percentage gains differ a bit.  On my NVDA trade - which I'm still in - I did a vertical.  I think I will lean towards verticals in future on these trades esp if others agree that this is better approach.

Using scan results I then looked at the chart for each symbol and applied my technical indicators.  Mainly I'm looking for pronounced uptrends.  I look at the index that holds the stock and compare -- does it typically underperform, outperform it's index?  Then how is the index looking? etc.  .And I look at liquidity -- spreads, volume, open interest on the 40 delta strikes and adjusted accordingly.  As you know you don't always get an exact 40 delta, could be 37 or 42, etc.

Edited November 5, 2017 by NikTam

[cuegis]

49 minutes ago, NikTam said:

@cuegis 3 and 7 day and I'm in one 14 day (HD). 

What I see in this very short time period (two weeks) is that most of the gains happened with a day or two of entry. 

I went with 7 day expiry for the 3 day, weeklies for the 7 day, and monthlies if weeklies weren't available.  Yes, post earnings.

I used 40'ish delta on all but one trade when closest I could get was 50.

I think the long delta alternative you mentioned is a great idea and I started comparing those back-test results in retrospect -- as one would think, they are very similar.  The probability is almost the same, but percentage gains differ a bit.  On my NVDA trade - which I'm still in - I did a vertical.  I think I will lean towards verticals in future on these trades esp if others agree that this is better approach.

Using scan results I then looked at the chart for each symbol and applied my technical indicators.  Mainly I'm looking for pronounced uptrends.  I look at the index that holds the stock and compare -- does it typically underperform, outperform it's index?  Then how is the index looking? etc.  .And I look at liquidity -- spreads, volume, open interest on the 40 delta strikes and adjusted accordingly.  As you know you don't always get an exact 40 delta, could be 37 or 42, etc.

Wow!. It seems like you approached this whole thing about 90% the same as I do.

And, as a rule,I always prefer verticals for this type of thing.

The only time I would just buy an outright Call or Put, is if ,I know (well , as much as you can possibly know.....maybe "plan" is a better word) that I am only going to be in the trade for either a day trade, or, maybe 2 days. Because, there really isn't any exposure to theta, or vega, in 1 day. Especially if earnings are approaching.

Anything longer than that I will always do a vertical.

On my verticals, I like to have the long option at around 50-60 delta, and , depending upon the distance, and the pricing, the short might be around 25-30 delta.

And yes, I always look at the charts.

But, I think we use them differently,

I ONLY look at price, no indicators....just a clean bar chart.

The thing that is most important to me, when looking at charts, is looking at different time frames.

You see what the big picture is from the weekly/daily chart, then work your way down to shorter and shorter time frames.

I tend to use the longer term charts to see if there is a real opportunity there, that I can identify.

Then , if down to the 15 minute chart, it still continues to back up my original impression, and I decide to make a directional trade.....then to get my entry and exit timing as precise as possible, I will go down to the 3 and 5 minute chart.

I have had so many winning positions, that I was still holding, and the big picture looked as good, or better, as it has all along, but then when I check a 3 or 5 minute chart, I see a clear sign of a top (bottom). Most likely a divergence, and will exit the trade.

I have found that the vast majority of the time this really works out.

So, different time frames are very important to me and, the reason I keep ALL indicators off of my charts, is because I think they can have the ability to "suggest" something to you, that really is not there.......ex. "oh, the indicators are all way up at the top, in the 90's, it must be at a top".

I don't want to be influenced by any of that.

The only thing that is 100% real is price. A buyer and seller came together, agreed on a price, and made a trade. The chart is just a visual record of that trade.

I also always want to know where we (price) is now, relative to where it has already been.

I don't mean that I believe that looking at the past will allow you to "predict" the future.

It is only for context, just the way I always want to know (for options) , the IV rank/percentile, of any individual underlying that I plan to trade.

Because of the whole "mean reversion" thing!

And always be buying when everyone is dumping, and selling when they are all  chasing  after it.

When you have a winning position, as you are in the midst of an accelerated rally, that is the time to be selling off a few at a time, every few points.

I have been dreaming of having a "physical" tool, like a mouse, that can be attached to you computer.

This is just a vague thought right now but, you plug in the item you will be buying and selling (ex. xyz 50 delta call), as you are viewing the chart, in a very short term time frame, you can literally squeeze the "tool" .to increase/decrease, the size of your position, as fast as the market is moving, then be able to flip a switch to reverse it from "buy" to "sell" as price tops out and declines.

It may just be a dream, and unobtainable.