CML TradeMachine Trade Ideas

[cuegis]

Can if be? What am  missing here?

I put in the most simple backtest.....buy a straddle in SLV.

As expected, in all time frames, with all deltas, there is a loss in every case.

Well, wouldn't that mean, if I reversed the trade, and did the same backtest, where I was short the same exact straddle, it would show the inverse results, and be a winner?

Well, in BOTH cases, short, or long, the same SLV straddles, it is a loss in every case.

 

[NikTam]

1 hour ago, IgorK said:

This and Theta. 

I exited NKE for 25% loss.  I don't want to be stuck with negative Fed impact tomorrow and then a must-close-position on Thursday.  I'm going to add Fed meetings to screening of these trades.  I was down over 40% at one point, so today was a good come-back.  

Edited March 20, 2018 by NikTam

[IgorK]

10 minutes ago, NikTam said:

I exited NKE for 25% loss.  I don't want to be stuck with negative Fed impact tomorrow and then a must-close-position on Thursday.  I'm going to add Fed meetings to screening of these trades.  I was down over 40% at one point, so today was a good come-back.  

Out for .97. -24.53% after commissions. Tired to watch it go up and down.  I have day job too

[Mark100]

Never mind...

 

 

Edited March 27, 2018 by Mark100
Cleaned up the formatting

[krisbee]

On 3/12/2018 at 3:18 PM, krisbee said:

I opened few NKE 66 calls. (march 23)

Closed for 8% profit.

[greenspan76]

Closed NKE Apr20 67.5 Call for 6.7% loss (In 2.08. out 1.96). Timing was pretty poor, but had a limited window to trade. I apologize if I'm overlooking any questions, comments, etc, as I don't have time to catch up on missed threads and comments and will be out of action until Apr 2nd now.

[NikTam]

PLAY 7-1 PE Momentum trade would begin tomorrow.  12-0 Win-Loss with 40 delta over past three years.

http://tm.cmlviz.com/index.php?share_key=20180326150131_kCgzhjeniLKIIqTP

[IgorK]

3 minutes ago, NikTam said:

PLAY 7-1 PE Momentum trade would begin tomorrow.  12-0 Win-Loss with 40 delta over past three years.

http://tm.cmlviz.com/index.php?share_key=20180326150131_kCgzhjeniLKIIqTP

Apr20 45 CALL?

[Djtux]

5 minutes ago, NikTam said:

PLAY 7-1 PE Momentum trade would begin tomorrow.  12-0 Win-Loss with 40 delta over past three years.

http://tm.cmlviz.com/index.php?share_key=20180326150131_kCgzhjeniLKIIqTP

I will skip it, looks like it keeps going down.

[kirkr1517]

I wonder if PLAY would be a good candidate for a 40/45 strangle? Current RV is 6.2%, not sure if this is too historically high.

[NikTam]

1 minute ago, IgorK said:

Apr20 45 CALL?

You're right.  No 40 delta available -- only 60 delta.

 

[NikTam]

5 minutes ago, Djtux said:

I will skip it, looks like it keeps going down.

I will wait for a reversal on the 4 hour chart. 

[tytch168]

On 3/26/2018 at 11:17 PM, NikTam said:

PLAY 7-1 PE Momentum trade would begin tomorrow.  12-0 Win-Loss with 40 delta over past three years.

http://tm.cmlviz.com/index.php?share_key=20180326150131_kCgzhjeniLKIIqTP

Any one get in the trade today? I have a limit order yet to be filled. The price is rising

[NikTam]

1 hour ago, tytch168 said:

Any one get in the trade today? I have a limit order yet to be filled. The price is rising

I just bought the 45/50 vertical call spread @.88  Since the nearest expiration is April 20 I will leave open the option of holding through earnings. There is a lot of open interest on the 50 call and I'm risking .88 for a max profit of 4.12.

Edited March 27, 2018 by NikTam

[rasar]

I'm also in the 45/50 vertical for 0.80. It took me by surprise - I had placed the order when mid was at 0.88 to give myself a little time to investigate the trade a bit more, but it went through in a couple of minutes. I hope that's not the trend :-P

[tytch168]

My call of strike 45 got filled yesterday, it’s showing some profit. So I think your spread should be doing fine too. May I know what percentage is the target profit for the long call strategy? 50%?

[rasar]

According to the information in the link posted by @NikTam, the 40 deltas have shown an average historical return of ~80%.

[tytch168]

Thanks razar.  The total percentage return for the past 12 times is shown as 616%, so not sure whether the average percentage is 51%. But this number is not consistent with the average percentage shown in the screen.

[rasar]

1 hour ago, tytch168 said:

Thanks razar.  The total percentage return for the past 12 times is shown as 616%, so not sure whether the average percentage is 51%. But this number is not consistent with the average percentage shown in the screen.

Click on the box for the 40 delta information, and the resulting pop-up shows more detail.

[NikTam]

3 hours ago, rasar said:

According to the information in the link posted by @NikTam, the 40 deltas have shown an average historical return of ~80%.

I am exiting half  the position (45/50 vertical) if/when I hit 25% profit.  I paid .88  so getting close....

[rasar]

5 minutes ago, NikTam said:

I am exiting half  the position (45/50 vertical) if/when I hit 25% profit.  I paid .88  so getting close....

I exited 1/6th of mine for 35% (I had 6 spreads at 0.80). I'll wait for EOD for the next 1/6th.

[tytch168]

The earnings announcement date for PLAY is 3 April AMC. Does it mean that the last date for closing the trade is 2 April?

[rasar]

1 hour ago, tytch168 said:

The earnings announcement date for PLAY is 3 April AMC. Does it mean that the last date for closing the trade is 2 April?

The trade history shows these trades closing between 0 and 1 day before earnings. So I guess it depends on how the position is looking at the time.

[NikTam]

Trading is closed tomorrow.  Friday holidays add more stress to these Monday -Tuesday earnings!  I currently have a net profit of 12% on my remaining position.

Edited March 29, 2018 by NikTam

[tytch168]

The following STZ trade will be entered on 2 April, if you are interested in opening such trade:

 

http://www.cmlviz.com/research.php?number=11986&cml_article_id=20180316_the-volatility-option-trade-after-earnings-in-constellation-brands-inc

[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, with further comments.

 

Cons :

• I am cautious that most of the trades were done during the bull market phase and as a large number were long calls (65%), this meant I already had a helpful backwind pushing my trades/profitability upwards.
• There is heavy reliance on pre-earnings (70% of trades), and ideally, I would like to do more post-earnings too; or index/VIX based trades where earnings are a non-issue.
• Some of the CML test data has very obvious errors. I always checked the individual results of the backtests before I went ahead with a trade. The smaller/less-known stocks with low options liquidity tend to be more prone to data errors.
• It can feel a little like a roulette table - which may not necessarily be a bad thing if we are the casino owner with the edge in our favour. So far, I feel more like a sharp-suited, cigar-smoking casino owner, rather than a Joe punter. But this could be due to the first point above, about being in a bull phase.

 

Pros :

• There was very little or no trade management involved - it was almost a set-and-forget type operation, where I would open a trade, put in my profit target and let the position close itself. This is a very strong benefit, as it makes for a mechanical approach, which is great esp for those with limited time.
• Very little time investment needed (related to above).
• Very easy to enter trades - whilst (and this is not a criticism at all) some SO trades can be frustrating to enter due to our strict price limits, my CML trades were opened at the mid price most of the time - within seconds/minutes of me putting my order in. I didn't even try to enter at lower prices than the current, because as the profit/loss amounts are much higher, say 40% either way, so paying a few cents more for a long call on CML didn't bother me too much.
• Very scalable, so definitely suitable for large portfolios.
• Tons of trades available. 
• Short average trade holding times - 4.1 days - and this would have been much shorter if there were no short IC post-earnings trades, which tend to have long holding times.

 

Other :

• Trades were opened in the last hour of the day that the CML tests suggested.
• I started in Nov '17 and was very active with CML during Dec/Jan, but did hardly any trades in Feb.
• My closing was based on around 40-50% profit, or sometimes, I would not put in a closing GTC order and close when the trade hit these levels or higher.
• I traded with very low allocations, and even then I've made enough money to pay for years of subscription fees for CML.
• I will now formalise/structure my CML trades more and will create a separate portfolio for this.
• I am under no illusions that a 12.1% return per trade is not realistic in a non-bull market environment, but even a 5% return would result in a very healthy cumulative annual profit.

 

Edited April 2, 2018 by zxcv64

[akito]

26 minutes ago, zxcv64 said:

Other :

• Trades were opened in the last hour of the day that the CML tests suggested.
• I started in Nov '17 and was very active with CML during Dec/Jan, but did hardly any trades in Feb.

Thanks for providing a detailed summary. It's very insightful. Agreed, I would be cautious about these results continuing without a strong and consistent bull market. The fact that you hardly did any trades in February (underlined above) further reinforces the idea that caution needs to be had with the results. (although, I would imagine any straddles/strangles would have benefited in February) Based on your results, it appears the best performing trades were the pre-earning calls and strangles, and the post earning short put spreads. It's good to see further support about these particular trade ideas.

Edited April 2, 2018 by akito

[NikTam]

Case in point:  PE Momentum on PLAY.  Earnings AMC tomorrow.  PLAY is moving in lock step with S&P 500 this morning.  Was hoping for better!

[tytch168]

23 hours ago, NikTam said:

Case in point:  PE Momentum on PLAY.  Earnings AMC tomorrow.  PLAY is moving in lock step with S&P 500 this morning.  Was hoping for better!

I’m still holding it, at around 30% loss now.

[NikTam]

I’m still holding also.  

[rasar]

PLAY doesn't want to play nicely. It's stubbornly stuck around 40.5. I'm down 21%.

[NikTam]

I'm out of PLAY with 30% loss.

[rasar]

I had bought a few long 20Apr NKE 70 calls on Mar 16 for 0.75. They had suffered a large enough loss for me to ignore them and treat them as lottery tickets. Today, they've been climbing all day.

 

Just cashed out 55% profit.

[Maji]

3 hours ago, rasar said:

I had bought a few long 20Apr NKE 70 calls on Mar 16 for 0.75. They had suffered a large enough loss for me to ignore them and treat them as lottery tickets. Today, they've been climbing all day.

 

Just cashed out 55% profit.

Congrats... you won a small lottery...

now time to buy Lotto tickets

[NikTam]

Hmm.  That never happens to me!

[rasar]

4 hours ago, NikTam said:

Hmm.  That never happens to me!

:-) I'll take them when I can get them, which isn't too often.

[NikTam]

Based on CML Trade Machine ProScan results of 88% or 100% I am watching PIR, ASML, GATX, BX, TSM for 7-1 PE Momentum strategy.  These all have earnings on 4/18 or 4/19 so entry would be this week.  I have not screened for liquidity or available expiration dates.

Edited April 9, 2018 by NikTam

[cuegis]

34 minutes ago, NikTam said:

Based on CML Trade Machine ProScan results of 88% or 100% I am watching PIR, ASML, GATX, BX, TSM for 7-1 PE Momentum strategy.  These all have earnings on 4/18 or 4/19 so entry would be this week.  I have not screened for liquidity or available expiration dates.

How would you enter a trade in GATX?

Just looking at the closest strike ....April 20 65 Call. The market is $2.65 /$4.00

I guess, unless you want to buy the stock, you should take it off the list!

[ykotowitz]

2 hours ago, NikTam said:

Based on CML Trade Machine ProScan results of 88% or 100% I am watching PIR, ASML, GATX, BX, TSM for 7-1 PE Momentum strategy.  These all have earnings on 4/18 or 4/19 so entry would be this week.  I have not screened for liquidity or available expiration dates.

Thanks for the heads up. Look promising, but cheap. so high commissions. Note: ASML best at 3 to 1. PIR spreads very large.

[NikTam]

http://www.cmlviz.com/research.php?number=12007&cml_article_id=20180324_the-repeating-pre-earnings-pattern-in-netflix

Today is the day to get in on this idea.

[NikTam]

PE 3-1 NFLX bought April 20 delta 40 320 call for 11.50   According to CML support if earnings are on a Monday or Tuesday then weekend calendar days don't count.  So today (wed) is 3 days before earnings.

 

Price is lower now.  

Edited April 11, 2018 by NikTam

[cuegis]

The momentum is on your side. But, it has already gone up $25 over the past few days, even when the market was down big.

[NikTam]

4 hours ago, cuegis said:

The momentum is on your side. But, it has already gone up $25 over the past few days, even when the market was down big.

True.  But I think a 320 target is possible.

 

PS: I got in at a terrible price early today -- it's at 8.65 right now.  Should have waited until end of day.

Edited April 11, 2018 by NikTam

[Ram]

On 4/11/2018 at 10:58 AM, NikTam said:

True.  But I think a 320 target is possible.

 

PS: I got in at a terrible price early today -- it's at 8.65 right now.  Should have waited until end of day.

Are you planning to get out of it today?

[NikTam]

22 hours ago, Ram said:

Are you planning to get out of it today?

I exited half position Friday at open for 20% gain.  I kept half for exit on Monday.

[NikTam]

NFLX, MSFT, GATX and ASML were all profitable PE Momentum trades. BA was not looking good so I got out at small loss.   Apologies for lack of detail -- too busy at work right now.

If BA breaks out over 342 on a 2-4 hour chart I may re-enter.  Earnings are BMO 4/25.

Edited April 17, 2018 by NikTam

[NikTam]

I have entered BA and MSFT for PE 7-1

[NikTam]

Entered VZ for PE 3-1 

[siddharth]

@NikTam

would you suggest entering vz msft and ba today ?

[Sirion]

Does anyone know a good source for looking up previous expected and actual moves? I know this has been mentioned by other users before in other context, just blanking on good search terms right now