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CML TradeMachine Trade Ideas

NikTam

By NikTam
in General Board

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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.

Posted Images

Djtux Hero Member

Djtux

Posted
Posted
5 minutes ago, krisbee said:

stock: YY

https://tm2.cmlviz.com/index.php?share_key=20180225175617_3QyYtW7Mb1soyAG0

image.png

Thanks for sharing.

Stats for closing 1 days before earnings :

image.png

If you close 0 days before earnings instead of 1 days before earnings : http://tm.cmlviz.com/index.php?share_key=20180226150507_bnxnGRCGhllCWqqv you get a lower win rate.

image.png

If you close 2 days before earnings : http://tm.cmlviz.com/index.php?share_key=20180226150612_8c5bOf21sHvQ37c0

image.png

Also seems that last cycle, YY moves sideways, not sure why so i might pass. I have enough calls opened as of this moment.

image.png

 

NikTam Hero Member

NikTam

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Posted
26 minutes ago, Djtux said:

Thanks for sharing.

Stats for closing 1 days before earnings :

image.png

If you close 0 days before earnings instead of 1 days before earnings : http://tm.cmlviz.com/index.php?share_key=20180226150507_bnxnGRCGhllCWqqv you get a lower win rate.

image.png

If you close 2 days before earnings : http://tm.cmlviz.com/index.php?share_key=20180226150612_8c5bOf21sHvQ37c0

image.png

Also seems that last cycle, YY moves sideways, not sure why so i might pass. I have enough calls opened as of this moment.

image.png

 

Not a compelling profile.  I will pass on this one....

NikTam Hero Member

NikTam

Posted
  • Author
Posted (edited)

Just exited IMAX for a 5% loss.  Not liking the early weakness since today is T-0.  The risk - reward based on back-testing is not compelling for me so I decided not to take any more heat.

ADSK and MRVL still doing ok.

 

IMAX now looking better (of course!) -- but there's still quite a gap to fill from recent pullback, all the way up to $25.

Edited by NikTam
Sirion Hero Member

Sirion

Posted
Posted (edited)
58 minutes ago, NikTam said:

Just exited IMAX for a 5% loss.  Not liking the early weakness since today is T-0.  The risk - reward based on back-testing is not compelling for me so I decided not to take any more heat.

ADSK and MRVL still doing ok.

 

IMAX now looking better (of course!) -- but there's still quite a gap to fill from recent pullback, all the way up to $25.

Isn't IMAX earnings tomorrow after close?

Also, THO took the F off on some subsidiary news.. looking for a good spot to close, but damn.

Edit: a momentary price surge (literally saw the b/a on underliying pop to 135 from 132 for about 2 seconds) filled my order (that was over ask).. soo, yay for now? 120% gain.

 

Edited by Sirion
greenspan76 Hero Member

greenspan76

Posted
Posted (edited)
8 minutes ago, Sirion said:

Isn't IMAX earnings tomorrow after close?

Also, THO took the F off on some subsidiary news.. looking for a good spot to close, but damn.

Edit: a momentary price surge (literally saw the b/a on underliying pop to 135 from 132 for about 2 seconds) filled my order (that was over ask).. soo, yay for now? 120% gain.

 

Yeah, I closed my THO 130 calls for $8 after entering for $3.70. I'm not entirely sure why I only had 1 contract - must have gotten a partial fill and not realized, but if I had more contracts, I would have kept 1/2 open. Edit: Just realized I also had some 135s and closed half of those for $6.30 after entering at $2.20. I actually split the trade at entry and only got a partial on the 1/2 that was 130 calls

Edited by greenspan76
NikTam Hero Member

NikTam

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Posted
7 minutes ago, Sirion said:

Isn't IMAX earnings tomorrow after close?

Also, THO took the F off on some subsidiary news.. looking for a good spot to close, but damn.

Edit: a momentary price surge (literally saw the b/a on underliying pop to 135 from 132 for about 2 seconds) filled my order (that was over ask).. soo, yay for now? 120% gain.

 

I thought IMAX was BMO tomorrow?

NikTam Hero Member

NikTam

Posted
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Posted (edited)
9 minutes ago, greenspan76 said:

Yeah, I closed my THO for $8 after entering for $3.70. I'm not entirely sure why I only had 1 contract - must have gotten a partial fill and not realized, but if I had more contracts, I would have kept 1/2 open.

Wow. Nice surprise!  I missed out on this one.

Only news I see for today is an announced $40M investment in Airstream, a subsidiary.  Must be the "RV Effect" :-)

Edited by NikTam
Djtux Hero Member

Djtux

Posted
Posted

Personally i will wait to see what happens, the move on THO is like 2-3 standard deviations, the IV of the March options jumped from 50% to 55% today (10% increase).

You can see the stock is slowly grinding down.

 

9 minutes ago, siddharth310584 said:

http://www.cmlviz.com/cmld3b/index.php?number=11803&app=news&cml_article_id=20171116_pattern-one-week-pre-earnings-momentum-in-thor-industries-inc&source=TM_insights

Do you think its good to enter today after this sudden increase ?

 

 

On 2/21/2018 at 12:37 PM, Djtux said:

THO

http://tm.cmlviz.com/index.php?share_key=s_0_20180221120831_85PJgTKw1C45Rm3f

https://www.volatilityhq.com/backtester/return_matrix/?symbol=THO&start_date=2016-02-21&strategy_type=40DCall&submit=Run+backtest

Not sure if the momentum is going to continue on this one. Too many RVs ?

image.png

image.png

 

Sirion Hero Member

Sirion

Posted
Posted
1 minute ago, Djtux said:

Exited ADSK for 40% gain. Seems the trend is still going up, but i prefer to book the gains.

You must have had a good entry! I'm still looking at low 30s. I'll likely exit at end of day unless it retraces down.

Djtux Hero Member

Djtux

Posted
Posted
1 minute ago, Sirion said:

You must have had a good entry! I'm still looking at low 30s. I'll likely exit at end of day unless it retraces down.

My average cost was 3.125 and exit at 4.40

Djtux Hero Member

Djtux

Posted
Posted
On 2/15/2018 at 2:48 PM, Djtux said:

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.

WUBA.

Exited earlier today at 1.70 for a 29% loss. Not a good timing. Mid at 1.88 now.

greenspan76 Hero Member

greenspan76

Posted
Posted

Today I've exited:

- THO Mar16 130 Call. In $3.70, Out $8, Gain of 115.2% - if you saw my earlier post, I was mixing up my IRA and cash account and for some reason actually did only have the one contract in my cash account)

- ADI Mar2 91 Call. In $1.50, Out $2.50 avg, Gain of 63.8%

- DQ Mar16 70 Call. In $1.35, Out $0.65, Loss of 52.7%. @NikTam was right on this one, but I've been ignoring TA for my CML trades.

NikTam Hero Member

NikTam

Posted
  • Author
Posted (edited)
32 minutes ago, scubaskeeter said:

Not an expert, but look at the 20 Deltas, have a great return. Is that Unusual for a low Delta?

 

Current MAR 9 Calls 42 at 45x65 Delta .24

Looks very interesting.  It's been in a bearish short term trend since first day of February.  I'm going to wait for some sign of reversal on the 2 hour and even 4 hour chart.  Not sure why the Delta 20's look so good.  The CML back testing history looks legit.

Edited by NikTam
greenspan76 Hero Member

greenspan76

Posted
Posted
16 minutes ago, greenspan76 said:

Today I've exited:

- THO Mar16 130 Call. In $3.70, Out $8, Gain of 115.2% - if you saw my earlier post, I was mixing up my IRA and cash account and for some reason actually did only have the one contract in my cash account)

- ADI Mar2 91 Call. In $1.50, Out $2.50 avg, Gain of 63.8%

- DQ Mar16 70 Call. In $1.35, Out $0.65, Loss of 52.7%. @NikTam was right on this one, but I've been ignoring TA for my CML trades.

And almost forgot IMAX Mar16 23 Call. In $1.05, Out $1.30 avg, Gain of 21.7%

NikTam Hero Member

NikTam

Posted
  • Author
Posted

FDX PE Momentum trade:  T-15 is tomorrow Feb 27 -- unless I'm missing some holidays?   CML back testing doesn't look that good, but the Return Matrix looks very interesting.

FDX T-15.png

Djtux Hero Member

Djtux

Posted
Posted
27 minutes ago, NikTam said:

@Djtux  Been looking at your new scanner -- I like it a lot but the dates aren't exporting to Excel in a format that I understand...?

Return Scanner to Excel.pdf

This is just the excel date representation in integer.

You can reformat to date by selecting the 2 columns and apply the date formatting.

I haven't found a way to apply the formatting automatically unfortunately.

image.png

Djtux Hero Member

Djtux

Posted
Posted
15 minutes ago, NikTam said:

Got it.  Thank you.  Will be adding other delta filters for the scanner?

That will need to be tested. Do you have other deltas you would like to see ?

You have to remember that there are sometimes not that many strikes available, and the choice of delta might be limited, and it might be preferable not to try to over optimize the delta setting. 

Sirion Hero Member

Sirion

Posted
Posted
17 hours ago, NikTam said:

FDX PE Momentum trade:  T-15 is tomorrow Feb 27 -- unless I'm missing some holidays?   CML back testing doesn't look that good, but the Return Matrix looks very interesting.

FDX T-15.png

I'm worried this is flukey. It looks like it's largely weighted by a few big winners, and I'm not sure our thesis of pre-earnings momentum is really that viable this far out, especially when the trend doesn't continue for closer-in entries. The idea would be that for this stock it gets "priced in" early? It's not like two weeks out a bunch of news articles start talking all about fedex? 

 

NikTam Hero Member

NikTam

Posted
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Posted
39 minutes ago, Sirion said:

I'm worried this is flukey. It looks like it's largely weighted by a few big winners, and I'm not sure our thesis of pre-earnings momentum is really that viable this far out, especially when the trend doesn't continue for closer-in entries. The idea would be that for this stock it gets "priced in" early? It's not like two weeks out a bunch of news articles start talking all about fedex? 

 

I don't disagree.  I will probably stay out, or take a very small position just to see how it behaves going in from this far out.

Sirion Hero Member

Sirion

Posted
Posted
Just now, NikTam said:

I don't disagree.  I will probably stay out, or take a very small position just to see how it behaves going in from this far out.

Personally, looking at entering the straddle will which will perform well on a good bull run too - but looks like it's getting bid up right now, which is a little unfortunate.

NikTam Hero Member

NikTam

Posted
  • Author
Posted
Just now, Sirion said:

Personally, looking at entering the straddle will which will perform well on a good bull run too - but looks like it's getting bid up right now, which is a little unfortunate.

You're right -- that makes more sense for the longer time frame.

Djtux Hero Member

Djtux

Posted
Posted
23 hours ago, Djtux said:

Personally i will wait to see what happens, the move on THO is like 2-3 standard deviations, the IV of the March options jumped from 50% to 55% today (10% increase).

You can see the stock is slowly grinding down.

@siddharth310584 See THO is slowing going down after reacting to the news yesterday.

IgorK Hero Member

IgorK

Posted
Posted
5 minutes ago, NikTam said:

Here is KR on Return Matrix - not as compelling.  We are at T-7 in trading days.

KR Return Matrix.png

 

3 minutes ago, NikTam said:

The past year shows 4-0 wins, but year before was 0-4 losses.  So 2 year is 4-4.

Too late.

    BOT    1    KR Mar09'18 28 CALL    0.66  

I'll let you know.

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