Jump to content
SteadyOptions is an options trading forum where you can find solutions from top options traders. Join Us!

We’ve all been there… researching options strategies and unable to find the answers we’re looking for. SteadyOptions has your solution.

Recommended Posts

Posted
Just now, ykotowitz said:

Earnings date is 2/22 ac. Backtests suggest entering 3 calendar days prior and exiting on earnings date, so will enter on 19th.

Market is closed on the 19th

Posted
2 hours ago, ykotowitz said:

Earnings date is 2/22 ac. Backtests suggest entering 3 calendar days prior and exiting on earnings date, so will enter on 19th.

My apologies -- I am corrected.  Guess I'm in a couple days early!

Posted (edited)

Does anyone else track their performance on the different types of CML trades?  A quick average of my Q4 2017 (started using CML in November) and Q4 2018 showed that I am either doing something completely wrong this quarter, or I am just having bad luck.  I use the same delta and profit taking strategy of ~30% for all three types of trades.  But based on my performance I should stop doing 3 days for sure, and also what has happened with my 7 day performance.  Any feedback is appreciated.

 

Type 2018

Avg Profit per Trade

Average of Held # of trades
14DPEC 21.4 4.8 32
7DPEC -6.8 4.7 16
3DPEC -16.7 2.2 6
Type 2017 Avg Profit per Trade Average of Days Held # of trades
14DPEC 26.8 4.5 10
7DPEC 18.4 2.2 18
3DPEC -19.4 2.4 5

 

 

 

 

Edited by cwerner376
Posted (edited)
3 hours ago, cwerner376 said:

Does anyone else track their performance on the different types of CML trades?  A quick average of my Q4 2017 (started using CML in November) and Q4 2018 showed that I am either doing something completely wrong this quarter, or I am just having bad luck.  I use the same delta and profit taking strategy of ~30% for all three types of trades.  But based on my performance I should stop doing 3 days for sure, and also what has happened with my 7 day performance.  Any feedback is appreciated...

I track by trade type, but not by number of days (so all pre-earnings calls lumped together, but not broken down by 3day, 7day, 14day etc). I think 2018 has just been a poor year for a lot of these types of trades, primarily because of the last couple weeks. Up until the last couple days of January, my 2018 trades were right on par with 2017, but it was a brutal 2 weeks for the CML trades - you know these little temper tantrums are going to happen sometimes, which is why I allocate less than 1% of my option portfolio per trade. Anyway, here's my stats. I'll note that I don't have a set target/stop loss across the board - each trade has a profit target and/or stop loss specific to that trade.

 

  2018 2017
Type Avg Gain Avg Days Trades Avg Gain Avg Days Trades
Pre-Earn Calls 0.9% 4.3 24 4.3% 4.7 38
Pre-Earn Straddle 12.0% 7.7 3 3.9% 7.3 9
Post-Earn Short IC -60.3% 11.0 4 -29.7% 22.9 6
Post-Earn Short PS 39.4% 30.2 5 6.2% 24.4 31
Post-Earn Straddle   n/a   -0.7% 5.0 1
Recurring Straddle -20.4% 26.5 2 75.9% 26.5 4
TTM Squeeze -7.7% 6.7 3 61.0% 15.7 3
             
TOTAL -0.7% 9.6 41 8.1% 14.1 92

 

Edited by greenspan76
Posted

@greenspan76  Overall the CML trades have been incredibly profitable even including the last few weeks.  I'm trying to figure out if others are having the same results with the 3 and 7 day trades.  Based on my 2018 performance if I stop doing them completely, then it will definitely show a benefit.  But last quarter the 7 days worked out pretty well.  Thanks for sharing your results.

Posted
1 hour ago, cwerner376 said:

@greenspan76  Overall the CML trades have been incredibly profitable even including the last few weeks.  I'm trying to figure out if others are having the same results with the 3 and 7 day trades.  Based on my 2018 performance if I stop doing them completely, then it will definitely show a benefit.  But last quarter the 7 days worked out pretty well.  Thanks for sharing your results.

Gotcha. I'd have to go line by line to get that info and I don't want to spend the time on it. However, I took a quick look at only my 3 day pre-earnings calls in 2018 and saw that I had 5 trades with avg gain of 4.7% and avg holding period of 2.6 days - I stopped opening calls when volatility exploded, though, so only one closed trade in February and it lost 26%

Posted
53 minutes ago, Djtux said:

I might get in as well.

image.png

Thank you @Djtux for the table. I have a general observation/comment that I would like some input from you and the other members. 

In general, the CML trades appear to be over optimized, imo. It is like choosing the RSI period and overbought/oversold levels that show large profits but for a very small zone. Your table does help to identify the plateaus of profit zone, which too me is a better entry area. Looks like T-5 or T-4 is a better entry with exit around T-2. Do you feel the same way, or you rather go with the backtest results from CML?

Posted
3 minutes ago, Maji said:

Thank you @Djtux for the table. I have a general observation/comment that I would like some input from you and the other members. 

In general, the CML trades appear to be over optimized, imo. It is like choosing the RSI period and overbought/oversold levels that show large profits but for a very small zone. Your table does help to identify the plateaus of profit zone, which too me is a better entry area. Looks like T-5 or T-4 is a better entry with exit around T-2. Do you feel the same way, or you rather go with the backtest results from CML?

In the matrix, i count the days using business/trading days so it doesn't count the weekends, and it doesn't count holidays like the next monday (president's day).

I too would feel more comfortable entering a trade if the backtest parameters are robust, meaning if you enter or exit one day before or one day after, then does the backtest change significantly or not. That's just my opinion.

Posted (edited)
1 hour ago, Djtux said:

I might get in as well.

image.png

@Djtux Help me understand this chart:  If I look at T-4, I see a 41, then at T-1 I see a 66.  So the difference btw the two as Median Return is 25 points.  Or it could be viewed as a 60.9% increase in Median Return (25/41=.609).  Is this relevant, or a we simply looking for the biggest number -- like 66.  But then how do we pick an entry date based on this graph?  Are we simply looking to avoid negative median returns?  In which case T-5 and T-4 look the best.

Edited by NikTam
Posted
1 minute ago, NikTam said:

@Djtux Help me understand this chart:  If I look at T-4, I see a 41, then at T-1 I see a 66.  So the difference btw the two as Median Return is 25 points.  Or it could be viewed as a 60.9% increase in Median Return (25/41=.609).  Is this relevant, or a we simply looking for the biggest number -- like 66.  But then how do we pick an entry date based on this graph?

If you enter the call at T-4 (everything is counted using trading days) and exit at T-3, then the median return over the last 8 cycles (cutoff date is 2016-02-01) is 41%.

If you enter the call at T-4 and exit at T-1, then the median return is 66%.

If you enter the call at T-5 and exit at T-1, then the median return is 58%

Then you read the entire matrix by looking at entering at T-X and exiting at T-Y.

I'm not sure if it helps.

Also know that T-0 is the trading session just before the earning announcement (so for AMC announcement, it's the same day. For BMC announcement, it's the day before).

 

Posted
2 minutes ago, NikTam said:

So if this holds true, then according to @Djtux chart next Monday would be 5 trading days until 2/26.  Correct?

The earning is not confirmed, i didn't see it on the company IR website.

If they announce 02/26 BMO, then T-5 trading days is today, because next monday the markets are closed (Washington's Birthday Monday, February 19th : https://www.nyse.com/markets/hours-calendars).

Posted
1 minute ago, Djtux said:

If you enter the call at T-4 (everything is counted using trading days) and exit at T-3, then the median return over the last 8 cycles (cutoff date is 2016-02-01) is 41%.

If you enter the call at T-4 and exit at T-1, then the median return is 66%.

If you enter the call at T-5 and exit at T-1, then the median return is 58%

Then you read the entire matrix by looking at entering at T-X and exiting at T-Y.

I'm not sure if it helps.

Also know that T-0 is the trading session just before the earning announcement (so for AMC announcement, it's the same day. For BMC announcement, it's the day before).

 

Perfect.  Thank you, @Djtux.   It's another form of back-testing.  CML is nice because it can do a search.  But this is great for confirmation, detail and fine-tuning.  And the 8 cycle parameter is a good standard, I think.  And i like the Median Return calculation better than an average.  I think this is very useful.

Posted
Just now, Djtux said:

The earning is not confirmed, i didn't see it on the company IR website.

If they announce 02/26 BMO, then T-5 trading days is today, because next monday the markets are closed (Washington's Birthday Monday, February 19th : https://www.nyse.com/markets/hours-calendars).

Dang. You're right -- those holidays can't be counted.  And if it's BMO we don't count that day.  Got it.

Posted
4 minutes ago, Djtux said:

The earning is not confirmed, i didn't see it on the company IR website.

The WUBA (58.com) site is in (I believe) Mandarin. You can read Mandarin ? :D

 

Posted (edited)
20 minutes ago, Djtux said:

The earning is not confirmed, i didn't see it on the company IR website.

If they announce 02/26 BMO, then T-5 trading days is today, because next monday the markets are closed (Washington's Birthday Monday, February 19th : https://www.nyse.com/markets/hours-calendars).

So this is the CML back-test.  If entering today then by CML rules it's either 9 days, or 11 days, before earnings.  I'm not sure because earnings is on a Monday and I'm not sure if that last weekend is counted as two additional days.

9 days http://tm.cmlviz.com/index.php?share_key=20180215171716_RHVfKbrY3JpSJWxi

11 days http://tm.cmlviz.com/index.php?share_key=20180215171745_krYKM8vD86D1Ebjv

The point is that neither of these back-tests are attractive in comparison to your chart.  Is the Median Return metric that different in terms of results, do you think?

Edited by NikTam
Posted
4 minutes ago, NikTam said:

So this is the CML back-test.  If entering today then by CML rules it's either 9 days, or 11 days, before earnings.  I'm not sure because earnings is on a Monday and I'm not sure if that last weekend is counted as two additional days.

9 days http://tm.cmlviz.com/index.php?share_key=20180215171716_RHVfKbrY3JpSJWxi

11 days http://tm.cmlviz.com/index.php?share_key=20180215171745_krYKM8vD86D1Ebjv

The point is that neither of these back-tests are attractive in comparison to your chart.  Is the Median Return metric that different in terms of results, do you think?

You have to check what's wrong with the cml backtest, i see strange things after Sept 2017.

Quote

Date    Description    Size    Symbol    Expiration    Strike    Type    Trade Price    Profit/Loss    Stock Price
16-Feb-16    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Mar18`16    55    Call     $1.8          $49.8
24-Feb-16    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Mar18`16    55    Call     $3.6     $178     $55.36
23-May-16    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Jun17`16    50    Call     $2.17          $49.42
31-May-16    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Jun17`16    50    Call     $4.7     $251     $54.05
 8-Aug-16    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Sep16`16    55    Call     $2.45          $54.7
16-Aug-16    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Sep16`16    55    Call     $1.82    -$65     $53.96
31-Oct-16    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Nov18`16    45    Call     $0.4          $41.85
 8-Nov-16    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Nov18`16    45    Call     $0.62     $20     $41.91
21-Feb-17    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Mar17`17    35    Call     $0.88          $32.52
24-Feb-17    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Mar17`17    35    Call     $0.65    -$25     $31.97
15-May-17    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Jun16`17    45    Call     $1.38          $42.76
23-May-17    Close 1DaysBeforeEarnings:Long Calls    -1    WUBA    Jun16`17    45    Call     $1.75     $35     $43.66
11-Aug-17    Open 9DaysBeforeEarnings:Long Calls    1    WUBA    Sep15`17    55    Call     $1.58          $52.14
15-Sep-17    Roll-Close DaysToExpiration:Long Calls    -1    WUBA    Sep15`17    55    Call     $12.3     $1070     $67.15
15-Sep-17    Roll-Open 30DaysToExpiration:Long Calls    1    WUBA    Oct20`17    70    Call     $1.68          $67.15
20-Oct-17    ExpiredOutOfMoney DaysToExpiration:Long Calls    -1    WUBA    Oct20`17    70    Call         -$169     $67.08
20-Oct-17    Roll-Open 30DaysToExpiration:Long Calls    1    WUBA    Nov17`17    70    Call     $2.17          $67.08
17-Nov-17    Roll-Close DaysToExpiration:Long Calls    -1    WUBA    Nov17`17    70    Call     $4.8     $261     $74.8
17-Nov-17    Roll-Open 30DaysToExpiration:Long Calls    1    WUBA    Dec15`17    75    Call     $2.9          $74.8
15-Dec-17    ExpiredOutOfMoney DaysToExpiration:Long Calls    -1    WUBA    Dec15`17    75    Call         -$291     $69.25
15-Dec-17    Roll-Open 30DaysToExpiration:Long Calls    1    WUBA    Jan19`18    70    Call     $2.7          $69.25
19-Jan-18    Roll-Close DaysToExpiration:Long Calls    -1    WUBA    Jan19`18    70    Call     $10.1     $738     $80.13
19-Jan-18    Roll-Open 30DaysToExpiration:Long Calls    1    WUBA    Feb16`18    85    Call     $1.55          $80.13
15-Feb-18     ClosingMark:Long Calls    -1    WUBA    Feb16`18    85    Call     $0.03    -$153.5     $77.24

 

Posted
3 minutes ago, Djtux said:

You have to check what's wrong with the cml backtest, i see strange things after Sept 2017.

 

Wow.  I've never seen that.  I am going to send that up to support at CML.

Posted
3 minutes ago, Sirion said:

I closed round 1 of INTU for just over 40%. May re-open on a pullback or on tuesday, as T-0 day seems favorable. 

I'm up over 40% but will stay with it for now.  The 30 min chart still showing some upward momentum.  Maybe will close by end of day.

Posted
13 hours ago, greenspan76 said:

I track by trade type, but not by number of days (so all pre-earnings calls lumped together, but not broken down by 3day, 7day, 14day etc). I think 2018 has just been a poor year for a lot of these types of trades, primarily because of the last couple weeks. Up until the last couple days of January, my 2018 trades were right on par with 2017, but it was a brutal 2 weeks for the CML trades - you know these little temper tantrums are going to happen sometimes, which is why I allocate less than 1% of my option portfolio per trade. Anyway, here's my stats. I'll note that I don't have a set target/stop loss across the board - each trade has a profit target and/or stop loss specific to that trade.

 

  2018 2017
Type Avg Gain Avg Days Trades Avg Gain Avg Days Trades
Pre-Earn Calls 0.9% 4.3 24 4.3% 4.7 38
Pre-Earn Straddle 12.0% 7.7 3 3.9% 7.3 9
Post-Earn Short IC -60.3% 11.0 4 -29.7% 22.9 6
Post-Earn Short PS 39.4% 30.2 5 6.2% 24.4 31
Post-Earn Straddle   n/a   -0.7% 5.0 1
Recurring Straddle -20.4% 26.5 2 75.9% 26.5 4
TTM Squeeze -7.7% 6.7 3 61.0% 15.7 3
             
TOTAL -0.7% 9.6 41 8.1% 14.1 92

 

 

I don't have for 2017 like below, Too many trades in 2017. At least i'll maintain in 2018 like below.

2018 CML results
         
 
         
           
Quote Entered Exit Holding days % Posted in SO
INFY Did not enter       Here
ASML Did not enter       Here
CHKP Did not enter       Here
TXN Did not enter       Here
SEIC Did not enter       Here
GD Did not enter       Here
NSC Did not enter       Here
SHW Did not enter       Here
EA Did not enter       Here
MAR 1/28/2018 1/30/2018 2 5.19% Here
AKAM 1/31/2018 1/31/2018 0 33.23% Here
ACIA Did not enter       Here
STT Did not enter       Here
INTU Did not enter       Here
SQ 2/13/2018 2/13/2018 0 40.00% Here
VALE 2/12/2018 2/14/2018 2 40.00% Here
WUBA Did not enter       Here

 

 

 

Posted (edited)

Exited INTU for 70% gain.  There may still be gas in the tank on this one.  I will wait for any kind of pullback and may get back in.

 

Also exited SQ for 77% gain.  

 

I stayed out of WUBA -- it's taken off, too.

 

Not forgetting this is market that is roaring back.  So I did not set my GTC exits for 40% gain, as I usually do.

Edited by NikTam
Posted
8 minutes ago, NikTam said:

Exited INTU for 70% gain.  There may still be gas in the tank on this one.  I will wait for any kind of pullback and may get back in.

I exited at 40% gain earlier today, i think you made a good decision to keep it a little bit longer and exit before the end of day. Good job.

8 minutes ago, NikTam said:

I stayed out of WUBA -- it's taken off, too.

I filled at 2.40 the Mar16 85 call earlier today but it was filled by mistake actually but i kept it just to track it.

 

4 minutes ago, NikTam said:

ACIA and VALE still looking good. 

Still in ACIA as well. I'm a little bit less confident in this that the stock can continue higher.

  • Like 1
Posted
2 minutes ago, Sirion said:

@Djtux any chance for your heat map for CW and W? curious if we should try to enter before EOD today. 

For CW, i'm not totally sure where the diff are coming from but from a quick first look, it seems that it's coming from :

  • there is the strike selection as the strikes are $5 apart so the 2 strikes gives a delta that is sometimes far from 40 delta
  • no profit/loss early exit

 

image.png

image.png

Posted

Last few days have been good -- thanks all!  I'm almost back to where I should be without TLT and SVXY losses.  That's where I want to be -- like they never happened. :-)

 

Posted
1 minute ago, NikTam said:

@Djtux  Thanks!  W looks good.  Looks like good idea to hold to the day before earnings.  Since it is BMO.  Does your charting contain EOD pricing?

T-0 for W is the day before the earnings announcement because it is BMO. That should be equivalent to the T-1 for CML if they have changed their code (close 0 days before earnings meant to close after the earning announcement for a stock announcing BMO.)

Quote

Does your charting contain EOD pricing?

What do you mean ?

Posted (edited)
1 minute ago, Djtux said:

T-0 for W is the day before the earnings announcement because it is BMO. That should be equivalent to the T-1 for CML if they have changed their code (close 0 days before earnings meant to close after the earning announcement for a stock announcing BMO.)

What do you mean ?

End of Day.  How do you factor in prices?

Edited by NikTam
Posted
Just now, Sirion said:

Entered W, avoiding CW. Thanks for the help @Djtux!

My chart is still in beta, so please do your own due diligence with the cml backtest. it's good practice to take a look at the tradelog of the cml backtest just to double check.

Join the conversation

You can post now and register later. If you have an account, sign in now to post with your account.
Note: Your post will require moderator approval before it will be visible.

Guest
Reply to this topic...

×   Pasted as rich text.   Paste as plain text instead

  Only 75 emoji are allowed.

×   Your link has been automatically embedded.   Display as a link instead

×   Your previous content has been restored.   Clear editor

×   You cannot paste images directly. Upload or insert images from URL.

Loading...
×
×
  • Create New...