CML TradeMachine Trade Ideas

[Djtux]

1 minute ago, Sirion said:

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

Like that ? My service is not free though.

 

If you really want free, there is https://marketchameleon.com/Overview/MSFT/Earnings/Earnings-Charts or maybe optionslam.

[NikTam]

14 minutes ago, siddharth310584 said:

@NikTam

would you suggest entering vz msft and ba today ?

Except for BA you can get in at lower prices than I did.  So I would say yes.  The historical data is encouraging.

[Sirion]

Just now, Djtux said:

Like that ? My service is not free though.

 

If you really want free, there is https://marketchameleon.com/Overview/MSFT/Earnings/Earnings-Charts or maybe optionslam.

You already got my money, man  Thanks for the support.

Do you generally think that ATM straddle RV roughly equals expected move or do you take some margin off? I think tastytrade argues a 15% discount, though I'm not sure on the methodology. 

[IgorK]

28 minutes ago, NikTam said:

Except for BA you can get in at lower prices than I did.  So I would say yes.  The historical data is encouraging.

    BOT    1    VZ Apr27'18 49 CALL    0.60   

Let's see...

[Djtux]

24 minutes ago, Sirion said:

You already got my money, man  Thanks for the support.

Do you generally think that ATM straddle RV roughly equals expected move or do you take some margin off? I think tastytrade argues a 15% discount, though I'm not sure on the methodology. 

Ah my bad then .

Go to https://www.volatilityhq.com/backtester/straddle_table/?symbol=MSFT&submit=Run+backtest then.

The ATM straddle RV is just the price of the straddle divided by the stock price. I believe it's the same definition for OptionSlam and MarketChameleon.

If you want to calculate like Tastytrade or Optionalpha, you would have to multiply the RV by 0.84, i don't remember the details of why, but it has to be related with the assumption of a normal distribution and you are trying to compute the 1 standard deviation.

https://tastytrade.desk.com/customer/en/portal/articles/2615508-where-can-i-find-the-expected-move-

Quote

The expected move range is calculated by multiplying the ATM straddle (a strategy that combines selling an at the money call and put) in the nearest expiration by 0.85. The end result is a +- number that we apply above and below the current stock price evenly.

I think that TOS as even a different metrics the MMM (market maker move), but i think it's proprietary.

[NikTam]

4 minutes ago, IgorK said:

    BOT    1    VZ Apr27'18 49 CALL    0.60   

Let's see...

I like BA right now -- but it has not been very predictable lately!

[IgorK]

8 minutes ago, NikTam said:

I like BA right now -- but it has not been very predictable lately!

A bit expensive for me now

Did I at least got right VZ call?

[NikTam]

6 minutes ago, IgorK said:

A bit expensive for me now

Did I at least got right VZ call?

Well, it’s the one I’m in.  :-)

[IgorK]

25 minutes ago, NikTam said:

Well, it’s the one I’m in.  :-)

So tomorrow is the last day? Or Monday? As I understand they report Tuesday before open.

[NikTam]

1 hour ago, IgorK said:

So tomorrow is the last day? Or Monday? As I understand they report Tuesday before open.

 Correct.  So out tomorrow or Monday.

[IgorK]

18 hours ago, NikTam said:

 Correct.  So out tomorrow or Monday.

VZ is not looking good so far.

[NikTam]

I just exited VZ for small loss.

[NikTam]

Still in BA, SQ, & MSFT.  Only SQ is profitable so far.

[NikTam]

MSFT has a great track record.

http://tm.cmlviz.com/index.php?share_key=20180420135412_3fR2bKVINhatHNb0

[IgorK]

17 minutes ago, NikTam said:

MSFT has a great track record.

http://tm.cmlviz.com/index.php?share_key=20180420135412_3fR2bKVINhatHNb0

Let's see where it goes for now. Looking at 96.5 call for now.

[IgorK]

49 minutes ago, IgorK said:

Let's see where it goes for now. Looking at 96.5 call for now.

    BOT    1    MSFT Apr27'18 96.5 CALL    1.49    

And of cause it went down
 

[IgorK]

On 4/20/2018 at 11:03 AM, IgorK said:

    BOT    1    MSFT Apr27'18 96.5 CALL    1.49    

And of cause it went down
 

    SLD    1    MSFT Apr27'18 96.5 CALL    1.70 
Just me. Don't have time to watch it. Thanks @NikTam for the idea.

Edited April 23, 2018 by IgorK

[Sirion]

On 4/18/2018 at 11:32 AM, NikTam said:

I have entered BA and MSFT for PE 7-1

ugh.. BA was in the green this morning and I didn't get to close before the bottom dropped out on me. This is brutal. Lesson learned.. the price of the option had more than doubled, I should have just taken the win.

I think MSFT flared into the green too, but at least has one more day. Hoping for a recovery.

[NikTam]

4 minutes ago, Sirion said:

ugh.. BA was in the green this morning and I didn't get to close before the bottom dropped out on me. This is brutal. Lesson learned.. the price of the option had more than doubled, I should have just taken the win.

I think MSFT flared into the green too, but at least has one more day. Hoping for a recovery.

BA:  I exited at BE at the bell this morning and then watched it take off.  After taking heat for last 3 days I flinched and missed out on the opportunity.  Sickening.

MSFT:  I am hanging on and waiting for it to live up to it's back-test history.

[Sirion]

Just now, NikTam said:

BA:  I exited at BE at the bell this morning and then watched it take off.  After taking heat for last 3 days I flinched and missed out on the opportunity.  Sickening.

MSFT:  I am hanging on and waiting for it to live up to it's back-test history.

You may have missed the peak.. but I'm wishing I got out for breakeven now. Down 60%.

[NikTam]

Which is why I tend to pull the trigger so quickly after being negative for few days.  These things can turn on a dime.  But then I miss opportunity.

[Sirion]

Just now, NikTam said:

Which is why I tend to pull the trigger so quickly after being negative for few days.  These things can turn on a dime.  But then I miss opportunity.

I almost closed (had a sell order in, just didn't get filled), and my thinking was that it already had an amazing day to day move (over x2). Still, there was positive news among other things to drive the run.. and the bottom fell out of it.

In the future, I'll be more likely to take the win (or even close half) on the last day of the trade.

If it gets much worse I might just roll the dice on earnings. Not sure.

[rasar]

I'm curious why this forum went radio-silent for the past month. Did something happen ?

[apsoccermd]

3 minutes ago, rasar said:

I'm curious why this forum went radio-silent for the past month. Did something happen ?

I think the strategies that worked in momentum market we had past year and a half stopped working.. Most of the trades backtested for success where since 2016 lows it seems.. 

[rasar]

2 minutes ago, apsoccermd said:

I think the strategies that worked in momentum market we had past year and a half stopped working.. Most of the trades backtested for success where since 2016 lows it seems.. 

Hmm. I had been contemplating signing up, but I guess I'll hold off. Either way, I would expect at least some chatter; it's like someone put out a gag order :-)

[NikTam]

6 minutes ago, apsoccermd said:

I think the strategies that worked in momentum market we had past year and a half stopped working.. Most of the trades backtested for success where since 2016 lows it seems.. 

I would agree with the above.  I had many successes last quarter of 2017 but more 50/50 in 2018.  So I've lost some of my zeal for Pre Earnings Momentum trades.  And I've been focusing more on non-directional trading -- which is SO's prime directive.

 

Absolutely no gag-order.

Edited May 18, 2018 by NikTam

[cuegis]

I sort of thought that was a big issue with regard to this thing.

And, especially using 2 or 3 year look back periods, in a straight up bull market. Even 5 years.

It really needed to have a lot of current research in full blown sideways market, which is volatile. And it really didn't.

Are you all hanging on to the Trade Machine, for now, anyway.

[Yowster]

I had originally subscribed to CML, but I recently dropped my subscription after using it less and less.  For me, it just wasn't a match for my trading style.  It was a fine tool for backtesting different options strategies based on historical stock price movement, or lack thereof.  However, trade entry and exit were based on dates and gain/loss thresholds.  So much of the SO-style trades are based on determining good entry points based on IV and earnings history and how prior cycles compare to one other.   Even the SO index trades (VIX, SPX, RUT) factor market volatility in trade entry/exit decisions. You couldn't use CML to base trade entry on volatility based triggers.

 

For the SO-style trades, having the RV analysis tools (volatilityHQ, artoftrading) are by far the most important.   Being able to easily & quickly generate RV charts for calendars and straddles, IV charts and earnings history is the most important thing.   Going back a couple of years, it was so much more difficult to do this analysis than it is now.

 

IMO, if you are looking for a tool to help with you SO-style trades then CML is certainly not a "must have" - the RV tools are so much more useful for them.   If you are looking to make other types of trades based on past history of stock price movement then you may find CML useful.  

Edited May 18, 2018 by Yowster

[Sirion]

I've personally started using the pre-earnings momentum trades again and it's gone fairly well, but yeah I'm using CML itself less and less. 

The only thing I'd use it for back-testing is post-earnings ICs. I need to devote the time again to finding them, but they've been painful so I may just avoid them.

[clipsnation183]

There are too many variables to just rely on CML TM results. You have to factor in volatility/pricing, fundamentals, technicals, and overall market environment.    

Edited May 18, 2018 by clipsnation183

[zxcv64]

57 minutes ago, rasar said:

it's like someone put out a gag order :-)

 

The best gag order is making a few losses in a row :-)

My success with the first 100 CML trades is documented on page 32 (I wish I knew how to link a post - someone? help?).

 

The next 50 trades didn't fare so well - for the same reasons posters have already mentioned above.

Plus, I have been going hell-for-leather on the straddles/calender's, doing these like they are going out of fashion, literally trading 6-7 hours a day. I am still a CML subscriber, and will start trading it's ideas again in a week or so. CML trades can be a little 'shallow' (minimal thought required, no real fine-tuning at entry points, nor at exit, a monkey with typing skills could do them) but I feel that if they were combined with some discretionary trading then maybe the results would be better.

 

Update : trying to link post :

 

 

 

Edited May 18, 2018 by zxcv64

[Djtux]

1 minute ago, zxcv64 said:

The best gag order is making a few losses in a row :-)

My success with the first 100 CML trades is documented on page 32 (I wish I knew how to link a post - someone? help?).

 

The next 50 trades didn't fare so well - for the same reasons posters have already mentioned above.

Plus, I have been going hell-for-leather on the straddles/calender's, doing these like they are going out of fashion, literally trading 6-7 hours a day. I am still a CML subscriber, and will start trading it's ideas again in a week or so. CML trades can be a little 'shallow' (minimal thought required, no real fine-tuning at entry points, nor at exit, a monkey with typing skills could do them) but I feel that if they were combined with some discretionary trading then maybe the results would be better.

 

This post ? https://steadyoptions.com/forums/forum/topic/4072-cml-trademachine-trade-ideas/?do=findComment&comment=98547

 

You can get the link by clicking on the top right of the post :  

 

[rasar]

Now we have some chatter. (sorry I was out for the evening)

I agree - SO trades are also central to my trading. But I liked the idea of having a number of smaller "satellite" trades hanging around to make the days a bit more exciting. I found the CML suggestions, coupled with the associated volatilityhq heat maps provided me with just enough science to validate and place a handful of these trades every couple of days.

I did read @zxcv64's post detailing the trade history; despite the recent losses, that's what had actually added to my desire to keep doing those trades. I don't remember who had mentioned it earlier (a few months ago - I think it was @Sirion), but a comment about "trade small and trade often" had spurred me to add these momentum trades to my portfolio, and I was mostly happy with the results (of course, my sample size isn't as extensive as others').

The reason for nudging this thread was to try and some momentum plays going again, and I figured CML would be a good place to get some ideas.

 

[greenspan76]

It is just a couple weeks short of 1 year trading these and I've actually made more CML trades during that period than SO trades. The problem I run into is that they're almost all bullish trades, so it is easy for big swings to occur when the market throws a fit. If you look at a chart for SPY, you'll see two large drops in a relatively short period of time this year - one at the end of January through mid-February and another mid-March through early April. During those two periods, my average returns on CML trades were -17.4% and -21.2%, respectively. The period in-between (mid-February through mid-March was +11.1% and the period since (early-April to now) was +11.2%. So since the last week of January, I've had returns of +0.5% per trade on the CML trades. I don't find these up-and-down swings to be surprising or unexpected and that's why I allocate less than 1% per trade and keep the overall allocation below 10% of my portfolio. But to answer your question, I haven't been posting on here because of time - I've traveled more and had less time during the day for most of this year. Plus, I don't really have any new trades to add since I still don't subscribe to CML and all the trades I've made are either from the CML blog or from what others have posted.

[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.

We also know how, if you wait for the "official" alert to come out, more often then not, the price jumps and you either miss the trade entirely, or have to wait a few days, if you are lucky.

Sometimes they jump a huge amount right away.

So, I added the CML concept of price having a run up in the period approaching earnings, and if it backtested well in this area, I would put on less expensive (RV) calendars, which were a few strikes above where the price currently was, and where the "official " trade strike was.

I have found that this has worked far more often, for me, than not.

This is a way of not using CML entirely for a trade, but using an aspect of it, to add to the overall mix of an SO trade.

 

Just a recent example would be NTES, where the official trade was around the $245 strike.

I put on $265 and $270, and the price was $268 the last 3 days before earnings.

Edited May 19, 2018 by cuegis

[mustafaoe]

I am still registered users for Trademachine, not that I am always follow their recommendation but it is some kind of other information source. I am just curious how this tool is developing. Most of the trade recommendation are obviously directional but this is not bad by definition. I always check the entriy signal and validate with other pattern analysis, e.g.  Trademachine tells me to enter a trade and I see that the trade did runaway couple days ago and now is locked at a resistance level. I would not enter this trade. But this depends on each personal style. I am basically using is as research tool than trading tool

[eric nyc]

I'm a new subscriber to TradeMachine. My biggest complaint so far is that while the site claims that its default fill type is the more realistic halfway between mid-market, the Pro Scanner uses mid-market. Which means that its results are basically worthless since you have to click into each trade and change the setting to halfway and watch the majority of the trades collapse, which I imagine is also indicative of how illiquid a lot of those trades would be in reality. Is there a way to set default trade settings across all searches?

[Sirion]

So, https://cmlviz.us12.list-manage.com/track/click?u=8740b0e4e1d86119b842cbdf2&id=a9d07ee62f&e=512930d399 MU pre-earnings long call was published today.

However, it seems to disagree with @Djtux's return matrix, which shows some cycles losing.

Also, against the thesis of the trade, it seems to only show optimism for a short period - and then holds steady for the last week.

I'm leaning against this one personally - I don't see enough to pull me in in this environment, but I am curious about where the difference lies in the CML data and vol hq's?

[ykotowitz]

11 minutes ago, Sirion said:

So, https://cmlviz.us12.list-manage.com/track/click?u=8740b0e4e1d86119b842cbdf2&id=a9d07ee62f&e=512930d399 MU pre-earnings long call was published today.

However, it seems to disagree with @Djtux's return matrix, which shows some cycles losing.

Also, against the thesis of the trade, it seems to only show optimism for a short period - and then holds steady for the last week.

I'm leaning against this one personally - I don't see enough to pull me in in this environment, but I am curious about where the difference lies in the CML data and vol hq's?

The results appear to be inconsistent with their own back tests. I poited this out to them and am awaiting a response.

Will report.

[Djtux]

13 minutes ago, Sirion said:

So, https://cmlviz.us12.list-manage.com/track/click?u=8740b0e4e1d86119b842cbdf2&id=a9d07ee62f&e=512930d399 MU pre-earnings long call was published today.

However, it seems to disagree with @Djtux's return matrix, which shows some cycles losing.

Also, against the thesis of the trade, it seems to only show optimism for a short period - and then holds steady for the last week.

I'm leaning against this one personally - I don't see enough to pull me in in this environment, but I am curious about where the difference lies in the CML data and vol hq's?

I guess there are 3 factors at least from a very quick look :

• we don't count the same : i use trading days, CML uses either calendar or trading days depending on some conditions
• there is no stop loss or profit taking on volatilityhq.com
• the last cycle gave a huge profit

Here is the original backtesting from CML : https://tm4.cmlviz.com/index.php?share_key=20180601173651_HjKkVvbCyCUuHSJV

Enter 15 days before earning, exit 1 day before earning. I guess it's calendar days.

 

If you set to enter 14 days before earning and exit 1 day before earning, here is the backtesting link : http://tm.cmlviz.com/index.php?share_key=20180601194513_7fVaVw6R2uHb5T4A

 

[cuegis]

10 minutes ago, Sirion said:

So, https://cmlviz.us12.list-manage.com/track/click?u=8740b0e4e1d86119b842cbdf2&id=a9d07ee62f&e=512930d399 MU pre-earnings long call was published today.

However, it seems to disagree with @Djtux's return matrix, which shows some cycles losing.

Also, against the thesis of the trade, it seems to only show optimism for a short period - and then holds steady for the last week.

I'm leaning against this one personally - I don't see enough to pull me in in this environment, but I am curious about where the difference lies in the CML data and vol hq's?

I don't see how you can compare these two approaches.

They really have absolutely nothing in common.

CML is a 100% directional trade, that is just outright long delta in the period leading up to earnings.

The results are based on a data set of 8 most recent cycles, which all took place in a straight up, raging bull market, all around,as the wind blowing in it's sails.

The Vol HQ approach is way of measuring the RV of the options pricing of either straddles, or calendars, which are as much as possible, non directional trades, also during a period leading up to earnings.

It is the most clear case of apples and oranges.

The only things they have in common is that they are making a trade in the period leading up to earnings, and they both are out of the trade before earnings are released, so not making any earnings bets.

Other than that, they have nothing to do with each other.

But, I do think that you can use the CML Trade Machine as a tool to backtest previous outcomes of straddles, calendars, etc. in those pre earnings periods, to see how they behaved AFTER first using the data you have examined from volatility hq, to provide you with the candidates, that appear to have the best RV's working for them.

 

[Djtux]

Just now, cuegis said:

I don't see how you can compare these two approaches.

They really have absolutely nothing in common.

CML is a 100% directional trade, that is just outright long delta in the period leading up to earnings.

The results are based on a data set of 8 most recent cycles, which all took place in a straight up, raging bull market, all around,as the wind blowing in it's sails.

The Vol HQ approach is way of measuring the RV of the options pricing of either straddles, or calendars, which are as much as possible, non directional trades, also during a period leading up to earnings.

It is the most clear case of apples and oranges.

The only things they have in common is that they are making a trade in the period leading up to earnings, and they both are out of the trade before earnings are released, so not making any earnings bets.

Other than that, they have nothing to do with each other.

But, I do think that you can use the CML Trade Machine as a tool to backtest previous outcomes of straddles, calendars, etc. in those pre earnings periods, to see how they behaved AFTER first using the data you have examined from volatility hq, to provide you with the candidates, that appear to have the best RV's working for them.

 

I do have other features than just the RV charts. But it is only available to subscribers.

Under the Beta tab, you have the 'return matrix' which for MU gives the screenshot below. This is what @Sirion was referring to.

I detailed the return matrix in this thread but is probably lost under the 34 pages :).

The return matrix allows to change the entry and exit parameter to test the robustness of the strategy : if timing perfectly the entry and exit is necessary to get a huge return, i feel like it's like over-fitting on your in-sample data. 

You can see the details of each earning cycle to drill down as well and double-check before making your own decision.

[Sirion]

5 minutes ago, Djtux said:

I guess there are 3 factors at least from a very quick look :

• we don't count the same : i use trading days, CML uses either calendar or trading days depending on some conditions
• there is no stop loss or profit taking on volatilityhq.com
• the last cycle gave a huge profit

Here is the original backtesting from CML : https://tm4.cmlviz.com/index.php?share_key=20180601173651_HjKkVvbCyCUuHSJV

Enter 15 days before earning, exit 1 day before earning. I guess it's calendar days.

 

If you set to enter 14 days before earning and exit 1 day before earning, here is the backtesting link : http://tm.cmlviz.com/index.php?share_key=20180601194513_7fVaVw6R2uHb5T4A

 

Derp, I see the problem. Mixed issue of looking at the wrong entry date and not realizing the 2016-12 cycle had one very good day and would have been closed due to profit-taking before it crashed and burned. Hm.

Still on the fence about this one - I've seen better pre-earnings momentum trades, though there aren't a lot available right now.

[cuegis]

2 hours ago, Djtux said:

I do have other features than just the RV charts. But it is only available to subscribers.

Under the Beta tab, you have the 'return matrix' which for MU gives the screenshot below. This is what @Sirion was referring to.

I detailed the return matrix in this thread but is probably lost under the 34 pages :).

The return matrix allows to change the entry and exit parameter to test the robustness of the strategy : if timing perfectly the entry and exit is necessary to get a huge return, i feel like it's like over-fitting on your in-sample data. 

You can see the details of each earning cycle to drill down as well and double-check before making your own decision.

Sorry, I did not know that. It didn't seem to come up as I was exploring your site as a non-subscriber. All I saw was the straddles, calendars, and, the scanner, which I asked you about yesterday.

I guess I better subscribe soon.

[OPtrdr]

Return Matrix for MTG looking hearty:

[Yowster]

@OPtrdr Note that MTG has not confirmed earnings date.   Most cycles has this date prior to July 20, but there are a few that are later.   So, if you enter a Jul20 straddle and earnings date winds up later, then IV (and therefore straddle price) would drop significantly.   Conversely, if earnings date is announced prior to Jul20, then the straddle would likely get the benefit of a smaller IV increase (although the increase would be much less than the drop in the case of earnings after Jul20).   Just something to be aware of.

[lrfsdad]

This Thread seems to have died off. Still haven't decided to subscribe but I took the Google momentum trade they emailed out the other day.  closed part for a small winner holding one more to see if I get the 40% Target they mentioned. anyone else take the same trade?

[mustafaoe]

Yes, I did the same trade, but slight different. Instead of the call I have opened a BCS. the idea is basically the same.

 

[cuegis]

26 minutes ago, mustafaoe said:

Yes, I did the same trade, but slight different. Instead of the call I have opened a BCS. the idea is basically the same.

 

Is that a Bear Call Diagonal?

It looks like you are short 8/17 1300 calls, and long 9/21 1320 calls.

[mustafaoe]

Yes, it is. Instead of the plain Call, I prefer a bear call. It  gives some time more.