CML TradeMachine Trade Ideas

[scubaskeeter]

8 hours ago, greenspan76 said:

the post-earnings Short PS's are now the most consistent (35 trades / +10.2% avg) 

Hi green,

What are "Short PS trades".? Thanks. 

[akito]

8 hours ago, greenspan76 said:

FDX -91.8%   (IC 21DTE 35/15^ 2/21) - not the SO trade; missed closing for a 40% gain by about 0.05, so that kinda sucked

-91.8% loss? (O_O) This is a typo, right? From almost 40% gain to -91.8% loss?

[krisbee]

stock: NSC

https://tm2.cmlviz.com/index.php?share_key=20180111011547_zr0mXcjiOYNiXK55

 

[krisbee]

stock: GD

https://tm2.cmlviz.com/index.php?share_key=20180111010754_DRXF2PYSQSqh1A4c

 

[NikTam]

16 hours ago, NikTam said:

ASML could be great -- or not.  Gapped down this morning.  If it gaps up to fill tomorrow morning, I will be go for it.  It's a 3:1 PE so it will happen quickly one way or another!

Just for clarification, a 3-1 PE would mean entry today.  Then Friday, Monday and Tuesday count as the 3 days.

 

From CML Support:  "For anything 3-days or less before earnings, we use trading days, not calendar days."

 

[siddharth]

I believe it would be tomorrow, right ?

[NikTam]

4 minutes ago, siddharth310584 said:

I believe it would be tomorrow, right ?

YES -- tomorrow.  My mistake. The 3 days would be Monday Tuesday Wednesday (the day of earnings).  Close the trade on Tuesday which is one day before earnings.

 

[greenspan76]

1 hour ago, scubaskeeter said:

Hi green,

What are "Short PS trades".? Thanks. 

Short Put Spread - generally selling an out of the money put and buying a further out of the money put

 

 

1 hour ago, akito said:

-91.8% loss? (O_O) This is a typo, right? From almost 40% gain to -91.8% loss?

Nope. This is correct. I believe I held a day longer than the CML trade called for, so it dropped from 80ish% loss to almost 92%, but it was up over 30% at one point before giving up all gains and becoming a big loss. Trades like this one are why my allocations are so low to these trades (less than 1% of portfolio currently)

 

Edited January 11, 2018 by greenspan76

[greenspan76]

54 minutes ago, NikTam said:

YES -- tomorrow.  My mistake. The 3 days would be Monday Tuesday Wednesday (the day of earnings).  Close the trade on Tuesday which is one day before earnings.

 

EDIT: D'oh! Didn't read your post closely enough. Sorry.

 

ASML earnings is Wednesday. I've been interpreting the CML backtesting for a 3-1 to mean the trade was "opened" at the closing price the 3rd day before earnings and "closed" at the closing price 1 day before earnings. So, that would mean opening at end of day Friday and closing at end of day Tuesday. I *thought* I had verified this to be true by looking at the detailed trades back when they still allowed non-members to look at the details of shared trades, but I don't have the data to go back and look now. I know you were adding technical analysis to some trades, so you may have a different take, but isn't that what CML backtests mean by 3-1 pre-earnings?

Edited January 11, 2018 by greenspan76

[NikTam]

17 minutes ago, greenspan76 said:

EDIT: D'oh! Didn't read your post closely enough. Sorry.

 

ASML earnings is Wednesday. I've been interpreting the CML backtesting for a 3-1 to mean the trade was "opened" at the closing price the 3rd day before earnings and "closed" at the closing price 1 day before earnings. So, that would mean opening at end of day Friday and closing at end of day Tuesday. I *thought* I had verified this to be true by looking at the detailed trades back when they still allowed non-members to look at the details of shared trades, but I don't have the data to go back and look now. I know you were adding technical analysis to some trades, so you may have a different take, but isn't that what CML backtests mean by 3-1 pre-earnings?

Yes.  

However, as I look at the last couple of 3-1 trades on the back-test details, they are two day trades, not three.  So buying on Monday and selling on Tuesday, with earnings on Wednesday.  I will ask about this.

Edited January 11, 2018 by NikTam

[traveller]

@cuegis congrats on RAD. what are your plans

[cuegis]

30 minutes ago, traveller said:

@cuegis congrats on RAD. what are your plans

Wow...I 'm embarrassed to admit this but, I was so busy , with my main positions, that I didn't even see this until you brought it to my attention.

I will sell a few, but, I don't see any reason to liquidate the whole thing , as it is pretty much in an uptrend.

I also like the behavior following earnings.

I felt that if it held $2.00, then that would be a sort of floor.

The market told you what it thought, so just follow what the market is telling you.

But, after any spike, you have to lock in some gains. So, sell a small portion, and hang on.

Also, there is that time factor.. There is SO much time, and now they are almost .30 cents in the money.

Which means there is only .10- .15 cents of time value on a 3 month option.

Edited January 11, 2018 by cuegis

[mustafaoe]

I' am in Long Call in UNH , Earnings next Tuesday.

[siddharth]

6 minutes ago, mustafaoe said:

I' am in Long Call in UNH , Earnings next Tuesday.

Looking at the backtest for 3-1, it doesn’t look good. Which one are you looking at ?

[siddharth]

37 minutes ago, cuegis said:

Wow...I 'm embarrassed to admit this but, I was so busy , with my main positions, that I didn't even see this until you brought it to my attention.

I will sell a few, but, I don't see any reason to liquidate the whole thing , as it is pretty much in an uptrend.

I also like the behavior following earnings.

I felt that if it held $2.00, then that would be a sort of floor.

The market told you what it thought, so just follow what the market is telling you.

But, after any spike, you have to lock in some gains. So, sell a small portion, and hang on.

Also, there is that time factor.. There is SO much time, and now they are almost .30 cents in the money.

Which means there is only .10- .15 cents of time value on a 3 month option.

My April 1.5 calls have no time value !!! Do you know why that would be the case ?

[siddharth]

Would you buy ASML on this weakness on an up day in the market even though the backtest is good ?

[mustafaoe]

5 minutes ago, siddharth310584 said:

Looking at the backtest for 3-1, it doesn’t look good. Which one are you looking at ?

You are right. But, strange, I am made the analysis couple of weeks before and there I had a 65% probability for 40 delta long calls with profit. Now it looks completely different. Strange, very strange.

[zxcv64]

2 hours ago, NikTam said:

 

2 hours ago, siddharth310584 said:

I believe it would be tomorrow, right ?

YES -- tomorrow.  My mistake. The 3 days would be Monday Tuesday Wednesday (the day of earnings).  Close the trade on Tuesday which is one day before earnings.

 

If this is referring to ASML reporting BO on Wed 17th, then - (correct me if I am wrong, I'm not from the US) - isn't Mon 15th a Martin Luther holiday, and thus the markets are closed? This means three business days before Wed would actually be today.

 

[greenspan76]

4 minutes ago, zxcv64 said:

If this is referring to ASML reporting BO on Wed 17th, then - (correct me if I am wrong, I'm not from the US) - isn't Mon 15th a Martin Luther holiday, and thus the markets are closed? This means three business days before Wed would actually be today.

 

Good point. I overlooked that.

[cuegis]

7 minutes ago, siddharth310584 said:

My April 1.5 calls have no time value !!! Do you know why that would be the case ?

Well, it is sort of an unusual situation, as it is a $2.30 stock.

Remember, the time value of an in the money call is the price of the same strike put. (same expiration)

So, when you are looking at a $1.50 put, that percentage wise, is so far out of the money, you would expect it to be small, or even non existent.

I just looked it up. That put is .02 bid / .04 ask, which is as close to zero as you can get.

At $2.30, the $1.5 call should be priced around .83 cents.

Tight now, the stock is at $2.27, and the $1.5 call is .73 bid / .82 ask.

That is just based on the market makers bidding and offering below, and above, "fair value".

[NikTam]

57 minutes ago, zxcv64 said:

If this is referring to ASML reporting BO on Wed 17th, then - (correct me if I am wrong, I'm not from the US) - isn't Mon 15th a Martin Luther holiday, and thus the markets are closed? This means three business days before Wed would actually be today.

 

Wow.  I hadn't figured this in -- you're right.  The rules are Trading Days for the 3-1 PE.  

But I will wait for end of day.  This thing is really struggling to get a bid.

Edited January 11, 2018 by NikTam

[Sirion]

3 minutes ago, NikTam said:

Wow.  I hadn't figured this in -- you're right.  The rules are Trading Days for the 3-1 PE.  

But I will wait for end of day.  This thing is really struggling to get a bid.

I'm watching for an entry as well. This thing has a pretty hard downtrend though, so it's looking like it'll be EOD entry unless it finds some legs.

[greenspan76]

Opened ASML Jan19 180 call for $3.30 a little earlier. Not entirely sure if others were planning to open the Feb monthly, but I went with Jan monthly.

[zxcv64]

3 minutes ago, greenspan76 said:

Opened ASML Jan19 180 call for $3.30 a little earlier. Not entirely sure if others were planning to open the Feb monthly, but I went with Jan monthly.

I went with the 185 Jan 19 call for 1.65

[NikTam]

Hmmm.  I'm going to pass on this one.  It's looking weak so far and I don't like the 3 day weekend scenario. 

[greenspan76]

14 hours ago, krisbee said:

stock: NSC

https://tm2.cmlviz.com/index.php?share_key=20180111011547_zr0mXcjiOYNiXK55

 

Still not subscribed, but can now see the details of some shared backtests again. Any idea why the backtest says it is opening 3 days before earnings, but it is showing that it opened 2 days before earnings? Is there some sort of parameter for not holding 3 day pre-earnings trades through the weekend, maybe?? I believe you mentioned seeing the same thing in one of the backtests as well, @NikTam

[NikTam]

8 hours ago, greenspan76 said:

Still not subscribed, but can now see the details of some shared backtests again. Any idea why the backtest says it is opening 3 days before earnings, but it is showing that it opened 2 days before earnings? Is there some sort of parameter for not holding 3 day pre-earnings trades through the weekend, maybe?? I believe you mentioned seeing the same thing in one of the backtests as well, @NikTam

I have an inquiry submitted to CML Support about this.  I am waiting to hear back.  

[Darcy MacDonald]

9 hours ago, greenspan76 said:

Still not subscribed, but can now see the details of some shared backtests again. Any idea why the backtest says it is opening 3 days before earnings, but it is showing that it opened 2 days before earnings? Is there some sort of parameter for not holding 3 day pre-earnings trades through the weekend, maybe?? I believe you mentioned seeing the same thing in one of the backtests as well, @NikTam

It may be the difference between earnings before open versus after close.  I've noticed before that if a company announces BO on Aug 15th for example, and you configure the rule to enter 0 days before earnings, you'll actually miss it by a day (it'll enter EOD on the 15th, AFTER the earnings release). 

[Sirion]

18 hours ago, zxcv64 said:

I went with the 185 Jan 19 call for 1.65

I got filled for this one at 1.70 yesterday, just closed at 2.45 for 40% profit. 

[zxcv64]

7 minutes ago, Sirion said:

I got filled for this one at 1.70 yesterday, just closed at 2.45 for 40% profit.

Thanks for the heads up - I'd forgotten to put a GTC order on this. Just closed for a net 45.5% after comms.

I have also got a similar long call on a 7-day P-E basis, for which I had paid 2.3 (1.85 strike again), but will hold onto that one a bit longer.

 

 

Edited January 12, 2018 by zxcv64

[cuegis]

On 1/11/2018 at 11:04 AM, traveller said:

@cuegis congrats on RAD. what are your plans

Yesterday I sold a tiny portion of what I was holding.

Then, after more careful examination, I bought it right back, plus a bit more.

Today, I actually added to the position, on a dip.

It looks very solid to me.

So far, it definitely is not a 1 day spike. 

The continuation, and not being able to pull back, indicates there is more to come.

[krisbee]

stock: SHW

https://tm2.cmlviz.com/index.php?share_key=20180112175345_WNVGauNrxrqSCn8u

[NikTam]

50 minutes ago, krisbee said:

stock: SHW

https://tm2.cmlviz.com/index.php?share_key=20180112175345_WNVGauNrxrqSCn8u

Not sure how much it matters but there are no weekly's so 7 day expiration wouldn't be possible.  Here's an alternative that still looks pretty good using a 60 delta call option.  7-1 PE.

http://tm.cmlviz.com/index.php?share_key=20180112190836_odUSM9phkKV18ei3

And based on detailed trading report I think SHW has always been monthly only options.

Date                           Description                             Size    Symbol Expiration    StrikeType Trade Price Profit/Loss    Stock Price
21-Jan-16    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Feb19`16    250    Call     $8.1          $245.97
27-Jan-16    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Feb19`16    250    Call     $10.6     $249     $252.25
14-Apr-16    Open 7DaysBeforeEarnings:Long Calls    1    SHW    May20`16    300    Call     $6.4          $294.5
20-Apr-16    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    May20`16    300    Call     $8.4     $199     $300.02
14-Jul-16    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Aug19`16    310    Call     $6.25          $306.25
20-Jul-16    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Aug19`16    310    Call     $8.35     $209     $312.1
18-Oct-16    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Nov18`16    280    Call     $3.7          $270.85
24-Oct-16    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Nov18`16    280    Call     $6.35     $264     $277.88
19-Jan-17    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Feb17`17    290    Call     $5.45          $283.09
25-Jan-17    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Feb17`17    290    Call     $4.7    -$76     $283.42
13-Apr-17    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Apr21`17    310    Call     $6.4          $308.35
19-Apr-17    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Apr21`17    310    Call     $6.95     $54     $311.54
13-Jul-17    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Jul21`17    360    Call     $5.4          $355.15
19-Jul-17    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Jul21`17    360    Call     $7.45     $204     $359.72
17-Oct-17    Open 7DaysBeforeEarnings:Long Calls    1    SHW    Nov17`17    390    Call     $7          $382.68
23-Oct-17    Close 1DaysBeforeEarnings:Long Calls    -1    SHW    Nov17`17    390    Call     $7.95     $94     $386.58
 

[siddharth]

Anyone planning on entering any today before the long weekend ?

[lluisitu]

Newbie here...

Not sure if was shared by anyone else but I did enter this one today.

STZ, Short IC, 12-0 in backtest

http://tm.cmlviz.com/index.php?share_key=20171229112420_ATVp8mLvvt4tS5OV

[akito]

8 minutes ago, lluisitu said:

STZ, Short IC, 12-0 in backtest

http://tm.cmlviz.com/index.php?share_key=20171229112420_ATVp8mLvvt4tS5OV

Looks like this should have been opened yesterday, but regardless, looks interesting. I'll give it a try if I can get filled.

[lluisitu]

1 minute ago, akito said:

Looks like this should have been opened yesterday, but regardless, looks interesting. I'll give it a try if I can get filled.

That's right, I forgot to open it, but backtest with 7 days after earnings is still 11-1.

[greenspan76]

23 hours ago, greenspan76 said:

Opened ASML Jan19 180 call for $3.30 a little earlier. Not entirely sure if others were planning to open the Feb monthly, but I went with Jan monthly.

I guess technically I am "supposed" to hold since it is short of 40% at end of day, but closed for $4.50, a gain of 35.8% after commissions.

[cwerner376]

I've been using the CML backtesting since end of Oct 2017.  Just wanted to get others opinion on when they close their Pre Earnings trades, especially on the back tests that show 75%+ accuracy and returns ~100% for each winning trade.  My options mentor always taught me to "smoke em if you got em" once you reach your profit target, and my strategy has been successful, so please don't look at this as me sounding greedy.

All that being said, do any of you actually hold out until the +1 day before earnings to close the trade when it shows no improvement in accuracy for taking the +40% gain?  I usually close between 30-40% profit based on reviewing some technical indicators, and have my stop loss at -50%.  I have yet to actually hold on until the +1 day to see if I get higher returns.  Any thoughts are appreciated.

[Sirion]

1 minute ago, cwerner376 said:

I've been using the CML backtesting since end of Oct 2017.  Just wanted to get others opinion on when they close their Pre Earnings trades, especially on the back tests that show 75%+ accuracy and returns ~100% for each winning trade.  My options mentor always taught me to "smoke em if you got em" once you reach your profit target, and my strategy has been successful, so please don't look at this as me sounding greedy.

All that being said, do any of you actually hold out until the +1 day before earnings to close the trade when it shows no improvement in accuracy for taking the +40% gain?  I usually close between 30-40% profit based on reviewing some technical indicators, and have my stop loss at -50%.  I have yet to actually hold on until the +1 day to see if I get higher returns.  Any thoughts are appreciated.

If I'm going to be at the computer, I don't leave GTC profit takers on. I will watch the trade at open and let it ride for a bit if it's surging. However, I'll pretty much always close at EOD if it's above 40% (sometimes a little under!). I try to take the win. This type of trade is volatile enough, imo. I already limit the position size, so letting one of these when it's already almost 1.5x the position size ride.. it's a little too aggressive for me. 

Not to say it wouldn't work!

[zxcv64]

Very good question and one which I need to think about too. I have an impatient streak in me, and it's a personality trait not best suited for trading, so am learning to reign it in. 

7 minutes ago, cwerner376 said:

I usually close between 30-40% profit based on reviewing some technical indicators, and have my stop loss at -50%.  I have yet to actually hold on until the +1 day to see if I get higher returns.

Yep, this is what I do too. Currently, I am trialling CML trades on a very small allocation, and once I have 70-80 trades behind me then I will approach the CML trades more methodically. At times it would help to hold till +1 day - classic case this week, I bought UAL long calls for like 1.15. The next day the stock rose and I closed at 3.0. Another two days later the same calls would have been over 7. It just takes a one bigger outlier like that to bring the whole portfolio up for the week.

 

Edited January 12, 2018 by zxcv64

[cwerner376]

1 minute ago, Sirion said:

If I'm going to be at the computer, I don't leave GTC profit takers on. I will watch the trade at open and let it ride for a bit if it's surging. However, I'll pretty much always close at EOD if it's above 40% (sometimes a little under!). I try to take the win. This type of trade is volatile enough, imo. I already limit the position size, so letting one of these when it's already almost 1.5x the position size ride.. it's a little too aggressive for me. 

Not to say it wouldn't work!

That's pretty much how I have felt.  I maintain a spreadsheet for all of my trades and I do put the back test profit and loss per trade on it, but when I am staring at a 30%+ winner its hard for me to justify staying in the trade.  I have had a few from last earning season turn from +30% to a -45% in a few days.  Thanks for the thoughts.

[Sirion]

2 minutes ago, zxcv64 said:

Very good question and one which I need to think about too. I have an impatient streak in me, and it's a personality trait not best suited for trading, so am learning to reign it in. 

Yep, this is what I do too. Currently, I am trialling CML trades on a very small allocation, and once I have 70-80 trades behind me then I will approach the CML trades more methodically. At times it would help to hold till +1 day - classic case this week, I bought UAL long calls for like 1.15. The next day the stock rose and I closed at 3.0. Another two days later the same calls would have been over 7. It just takes a one bigger outlier like that to bring the whole portfolio up for the week.

 

Did you mention this trade in the UAL thread? If not,  Just kidding.. I'm just sitting here relieved that I only got a partial fill on my UAL calendars. Sick surge up. Nice job on UAL - what made you pull the trigger on those long calls?

[cwerner376]

9 minutes ago, zxcv64 said:

Very good question and one which I need to think about too. I have an impatient streak in me, and it's a personality trait not best suited for trading, so am learning to reign it in. 

Yep, this is what I do too. Currently, I am trialling CML trades on a very small allocation, and once I have 70-80 trades behind me then I will approach the CML trades more methodically. At times it would help to hold till +1 day - classic case this week, I bought UAL long calls for like 1.15. The next day the stock rose and I closed at 3.0. Another two days later the same calls would have been over 7. It just takes a one bigger outlier like that to bring the whole portfolio up for the week.

 

I usually only allocate 2-3% of total portfolio value per trade into the CML trades. Maybe I need to try selling 1/2 the position at my profit target and then letting a smaller part ride closer to earnings.

 

Great job on UAL!  This is a great example, I pulled the trigger to sell at +79% yesterday.

Edited January 12, 2018 by cwerner376

[zxcv64]

5 minutes ago, Sirion said:

what made you pull the trigger on those long calls?

The thought of a 176% profit in a day. But it was a tiny allocation - as mentioned, I am simply trialling the CML trades right now. By mid-end Feb, I'll hit it properly.

Edited January 12, 2018 by zxcv64

[greenspan76]

4 hours ago, cwerner376 said:

I've been using the CML backtesting since end of Oct 2017.  Just wanted to get others opinion on when they close their Pre Earnings trades, especially on the back tests that show 75%+ accuracy and returns ~100% for each winning trade.  My options mentor always taught me to "smoke em if you got em" once you reach your profit target, and my strategy has been successful, so please don't look at this as me sounding greedy.

All that being said, do any of you actually hold out until the +1 day before earnings to close the trade when it shows no improvement in accuracy for taking the +40% gain?  I usually close between 30-40% profit based on reviewing some technical indicators, and have my stop loss at -50%.  I have yet to actually hold on until the +1 day to see if I get higher returns.  Any thoughts are appreciated.

I've been trying to follow the actual CML backtest. At first, I was closing as soon as the profit target was reached intraday, but then I realized their methodology is to wait and analyze at the end of the day, so I started doing that. For me, it is about common sense, given my own individual circumstances at the time. In today's ASML case, there were several reasons I closed just below the profit target: 1) The chart didn't look that great when I took the trade yesterday, and I was concerned it might be a dead-cat bounce type of thing; 2) It was Friday and Monday is a holiday, so anything could happen over the 3-day weekend; 3) It was teetering just above and below 40% gain most of the day and still could potentially reach that target by end of day; but mostly 4) my toddler woke up from her nap, so I didn't want to try to deal with her and trading the last 30 minutes of the day.

 

[cwerner376]

On 1/12/2018 at 8:39 PM, greenspan76 said:

I've been trying to follow the actual CML backtest. At first, I was closing as soon as the profit target was reached intraday, but then I realized their methodology is to wait and analyze at the end of the day, so I started doing that. For me, it is about common sense, given my own individual circumstances at the time. In today's ASML case, there were several reasons I closed just below the profit target: 1) The chart didn't look that great when I took the trade yesterday, and I was concerned it might be a dead-cat bounce type of thing; 2) It was Friday and Monday is a holiday, so anything could happen over the 3-day weekend; 3) It was teetering just above and below 40% gain most of the day and still could potentially reach that target by end of day; but mostly 4) my toddler woke up from her nap, so I didn't want to try to deal with her and trading the last 30 minutes of the day.

 

I entered ASML on 1/3/18 for the 14DPEC and exited on 1/5/18 with a 35.9% profit based on the technicals I use, even though the backtest had 75% accuracy for the last 12 months and a average win of 115%.  I entered again on 1/10/18 for the 7DPEC and exited on 1/12/18 with a 13.8% profit for the same reasons you listed above, except the toddler.  The 7DPEC had a 100% accuracy for 12 months and an average profit of 44%.  I am definitely happy with these results, and it is very hard for me to hold out until the +1 day for earnings to try for a  larger profit when my technicals are saying to close the position.  Thanks for sharing your thought process!

[NikTam]

ASML 3-1 PE   Exited for 66% gain at open.  This one made me nervous -- and I held through the weekend -- so it was a smaller than average allocation.  Entered at 4.50 exited at 7.50.

Edited January 16, 2018 by NikTam

[IgorK]

Anyone entering TXN today?

[greenspan76]

38 minutes ago, IgorK said:

Anyone entering TXN today?

Yes. Planning to open near end of day - will use Jan26 40 delta call