Chartaffair.com - RV Charts & Backtesting for Steady Options

[poseidolginko]

Thanks @Christof+.  All's good!

[roadbike]

@Christof+ I just tried to sign up on Windows, Windows Defender flagged the site as a possible phishing site. Wanted to let you know in case you were not aware. 

Is this the correct message I should see when checking out with Stripe?

By confirming your subscription, you allow Chartaffair - Papa & Paul GmbH to charge your card for this payment and future payments in accordance with their terms. Here is the screenshot. 

Edited February 10, 2022 by roadbike
added screenshot

[Christof+]

@roadbike Mama Mia, thanks for the heads-up!
Hm, that is interesting. I am also on Windows but do not get that message. I do not know how it came to that (you have my word that I do not execute any phishing attacks or steal your personal or financial information, other than what you enter in order to process the service).

Yes, Chartaffair - Papa & Paul GmbH is my company, I changed the name of the company a year ago because of another project.

[WhitneyB]

Christof, you may want to check your website’s security certificate to make sure it hasn’t expired.  

[roadbike]

That's probably a good idea to check the certs. @Christof+FWIW another app I use for security displayed this message about the site 

Feature:

Online Threat Prevention

chrome.exe attempted to establish a connection relying on an unmatching security certificate to wikpi.chartaffair.com. We blocked the connection to keep your data safe since the used certificate was issued for a different web address than the targeted one.

 

[Christof+]

@roadbike Your clue made me understand what is happening, issue is solved. That message should now not be appearing anymore. . Thanks man, that was great help!

 

[poseidolginko]

Hello @Christof+.  I can't access any of the tabs on the main page.  It only has the login option.  Can you please look into this?  I tried in both Brave and Firefox but the behavior is the same.  Thanks.

[Christof+]

@poseidolginko Sorry for that. I had to check your access, it now should behave as it is supposed to. Let me know if any problems remain.

[poseidolginko]

Thanks @Christof+.  All is well now.

[B15K3]

Hi,

could you please enable symbol PATH?

Thanks!

[Christof+]

Hi @B15K3 , you should be able to query it now.

[hmunk]

Christoff: I'd like to participate in your beta testing for chartaffair.com.  How do I "PM" you?  Tnx.

[rasar]

1 minute ago, hmunk said:

Christoff: I'd like to participate in your beta testing for chartaffair.com.  How do I "PM" you?  Tnx.

Hover over the "C" avatar, then click the "Message" button.

[poseidolginko]

Hi @Christof+.  Can you add COIN to your list of symbols?  It isn't showing up and earnings are for May10 I believe.  Thanks.

[Christof+]

@poseidolginko COIN is added, thanks for your message.

[poseidolginko]

Hi @Christof+, I have another one for you: AFRM.  Could you please add that symbol?  Earnings are confirmed for May12 AC.  Thanks.

[Christof+]

@poseidolginko no problem. AFRM will be available when you start trading tomorrow.

[poseidolginko]

Thanks @Christof+.  The chart is there now.

[Christof+]

There is an issue which prevents the normal data update today. I am currently working to resolve it.

[Christof+]

All should be back to normal.

[jorvermo]

Good morning, I have a question, I remember that in ART OF TRADING you could download the rvs and volatilities in csv format but I can't find a way to do it now in chartaffair. If this option is not included, can you include it? I need that data to work with different ratios.

[Christof+]

@jorvermo this is a feature not so easy to add in the current configuration. But I will see what I can do.

[Kevin C]

Hi @Christof+, do you have any kind of trial period for chartaffair? I'm new here and would like to try it out and see it can help with the strategies.

[poseidolginko]

Hi @Christof+.  I can't access the chartaffair.com site.  Can you look into it?  It seems to be down.  Thanks.

[rasar]

20 minutes ago, poseidolginko said:

Hi @Christof+.  I can't access the chartaffair.com site.  Can you look into it?  It seems to be down.  Thanks.

It's working for me.

[poseidolginko]

Thanks @rasar.  I cleared the browser cache and that seemed to do the trick.  Have access again.

[rasar]

1 minute ago, poseidolginko said:

Thanks @rasar.  I cleared the browser cache and that seemed to do the trick.  Have access again.

👍

[poseidolginko]

Is anyone else seeing only two results for the return matrix under the "historical straddle performance" area?  Here's an example:

 

 

[rasar]

5 minutes ago, poseidolginko said:

Is anyone else seeing only two results for the return matrix under the "historical straddle performance" area?  Here's an example:...

This back-test on the Earnings Chart page is outdated - should have been removed. Use the one under the "BACKTEST" link on the main page

[Pascal]

Hello Community and @Christof+  👋

First i'd like to thank you for pulling such an amazing product online for us to help our trading with SO. this is much appreciated and great!

Now, I am sorry in advance for my newbie questions, I tried to find some answers on the Forum but I guess I will take a chance and ask them here as well.

I am starting to use chartaffair.com especially the backtest module and I want to make sure I understand the data and heatmap correctly

Below is an example of SNAP for the last 8 cycles of earnings.

 

I just want to confirm i read the data correctly there looking at this specific example where I consider the straddle entry T-12 and exit T-5 for SNAP in the past 8 cycles:

1. Does that mean we consider entering the straddle ATM (closest strike available to the underlying at that point in time) 12 days before earnings?
2. What type of bars are you looking at to build the numbers are they hourly/daily or else type of data? I am puzzled to understand if by default we consider entering the trade at market opening or close, 12 days before earnings announcement. 
3. Are you using again daily or more granularity to get the Avg DD and Avg Max DD figures? Or are you looking at historical intraday option pricing to have a better estimate of what the DD can actually be during a day and the trading duration? 
4. Also, for the exit on T-5, do we consider the Close price on the day 5 days before earning? Meaning I should have exited the trade at the end of the trading hours on that day/at market closure?
5. Finally, what would T-0 represent? is it the day before the earnings or the actually day of earnings (i bet the latter) but how this logic applies if for instance, the company reports before market open? Do we still consider T-0 the day where the earnings is announced regardless if ithe annoucement is BMO or AMC?

I apologize in advance if you had to answer these questions and if there are some posts I can consult on this front I will gladly check them out.

Again, thanks for this awesome service, the UI is neat and the plotly integration is just next level! I wish i could code something that cool! I use ib_insync as an aficionado developer and will check more of what I can do on the IB integration part to retrieve such data myself probably from a direct IB subscription. But I will keep using chartaffair.com as it is just awesome all the elements you've put together.

Regards,

Pascal

 

[Christof+]

Hi Pascal,

Great you like it and really appreciate your words, thank you very much.

Yes, I am also familiar with ib_insync and do like it as well, in my opinion the best option for connecting python to IB (for example, not sure how much processing of IB data you need to do for tax purposes, but in case it can be helpful I did a quite useful 'portfolio module' in python pulling in fills and keeping track of positions).

To your questions:

1) Correct

2) All prices used for calculation, are the mid of the closing bid and offer of each respective day. Chartaffair currently is based on EOD prices.

3) Again, all is based on day end prices, so any DD does not take into account any intra-day movements

4) Again correct (self speaking, this straddle is not necessarily ATM anymore at T-5)

5) Depending on whether the announcement is before the open or after the close, I determine the actual last trading session on which the announcement is not known yet by the market. This is T=0

 

Let me add a word of caution as my personal perspective: 

I know those heatmaps are liked very much by the community, the reason I did them in the first place. In my humble opinion you need to be careful when drawing inference from them. Each stock has a beta component, i.e., it does move with the market. And since you keep the straddle strikes fixed, any movements caused by the market will show up as returns in the heatmap for a particular cycle (this fixing of strikes is the difference to RV charts).

Now, since you only have a couple of datapoints for each heatmap cell, chances are high that significant average returns in reality are driven by market movements which have amassed on that particular T-x just by chance. There might neither be good reasons logically nor fundamentally to expect the same market movements at the same T-x in future cycles. So concluding, those heatmap returns might be but are not necessarily connected with sustainable systematic patterns associated with that particular stock. I also need to add that over the years I have not come across convincing fundamental or market structure reasons so far why a particular T-x should consistently experience significant movements in either stock price or IV apart from the general IV increase before EAs - what SO strategies are taking advantage of. But I am willing to learn if you know one. My point is: Exercise some good amount of discretion when dealing with them.

Have fun with chartaffair!

[Christof+]

There has been a problem with today's update. I am aware of it and currently working on it.

[Christof+]

Site is back to normal, all problems are resolved.

[Sandor]

Hi Christof,

I signed up to your site yesterday. It's great, I'm learning how to use it! Thank you.

 

I just wanted to do some analysis now (in the morning European time) but as I see data hasn't been refreshed yet. It's still Mondays close data, not yesterday's.

When do you normally update your database?

It would be great to display the status of the data (last refresh time, next refresh) somewhere on your site.

Thanks,

Sandor

[Christof+]

Hi @Sandor,

Welcome, great to have you aboard!

Data is up to date now.

You are right that it had not updated until about a few minutes ago. I see a socket connection issue in the logs. But all seems to be resolved.

Data is up-to-date a few hours after each sessions close. So in the morning European time you should be seeing fresh data in any case.

To display the time of the last refresh is a very good idea.

[Sandor]

Hi @Christof+.

It looks like the stock prices didn't get updated last night.

E.g. PDD's price is 70.97 on your site but that's Nov 15th closing price not yesterdays. Last close is 67.56.

Following up yesterday's idea on displaying the last refresh time, if you have multiple main data sources then I guess there should be last refresh time displayed for each of them on the page. 

Thanks,

Sandor

[Christof+]

@Sandor, Thanks for the heads-up. I will immediately look into it.

[Faraway1984]

HI, are there any coupons for SO members available right now? Thanks

 

[Christof+]

Hi @Faraway1984,

We do not do any special Black Friday deals as we perceive that unfair to all existing customers.

However, the coupons available and displayed on the website are still valid an can be used.

[poseidolginko]

Hi @Christof+.  I'm noticing a bunch of cycles missing from the straddle & calendar graphs for DKNG and BMBL.  Can you correct this please?  Thanks.

[Christof+]

@poseidolginko done for both symbols.

Thanks for the headsup. There is still some kind of 'data drain' with some symbols I could not yet completely track down.

[RCA]

H. Christof:  TYVM for all your work  In reading through the earlier messages above, it is clear that your work has been well thought out, conscientiously applied, and is much appreciated by the folks who have belped you develop CA. Which is why I decided CA was worth a try.

From above:

" Let me add a word of caution as my personal perspective: 

I know those heatmaps are liked very much by the community, the reason I did them in the first place. In my humble opinion you need to be careful when drawing inference from them. Each stock has a beta component, i.e., it does move with the market. And since you keep the straddle strikes fixed, any movements caused by the market will show up as returns in the heatmap for a particular cycle (this fixing of strikes is the difference to RV charts).

Now, since you only have a couple of datapoints for each heatmap cell, chances are high that significant average returns in reality are driven by market movements which have amassed on that particular T-x just by chance. There might neither be good reasons logically nor fundamentally to expect the same market movements at the same T-x in future cycles. So concluding, those heatmap returns might be but are not necessarily connected with sustainable systematic patterns associated with that particular stock. I also need to add that over the years I have not come across convincing fundamental or market structure reasons so far why a particular T-x should consistently experience significant movements in either stock price or IV apart from the general IV increase before EAs - what SO strategies are taking advantage of. But I am willing to learn if you know one. My point is: Exercise some good amount of discretion when dealing with them."

End Quote

In noting your personal perspective on the use of heatmaps above, it occurred to me that I really don't understand how to use them, or, more precisely, I thought I did, but don't. I cannot find a clear label or definitions of the following things (so, I may have missed them; if so, I apologize). I am using as my example the Historical Straddle Performance heatmap,

1. What are the numbers on the heatmap actually intended to represent?

2. What are the colors/shades of colors under of the numbers intended to represent?

3. Since there are both positive and negative numbers, what is the relationship between positive & negative?

In short, I think that what is not clear to me is whether performance as indicated in the numbers is potential profit & loss, or just a measurement of change between one cycle (or series of cycles) and another for any given entry or exit, or something else.

Best,

RCA

 

[Moor]

Hi @Christof+

I am trying to sign up for CharAffair, but when I press the register button at the bottom, nothing happens.  Are you aware of any issues with the site at the moment?

Many thanks

[Christof+]

@Moor Thanks for bringing this to my attention. I just tried and can confirm that I experience the same issue.

I did some updates yesterday, I will check what is going on and come back.

[Christof+]

@Moor Possibly not the Sunday activity I expected today, but I was able to track down the issue. You should be able to sign up now. Thanks again for that heads-up.

That triggered quite a few changes in the backend with my payment service provider. Please let me know in case you experience anything not working properly or behaving in unexpected ways (easiest and fastest via chris@chartaffair.com).

I've only seen your post now @RCA. Sorry for that. You have valid questions. I will come back as soon as I get a chance.

[RCA]

18 hours ago, Christof+ said:

 

I've only seen your post now @RCA. Sorry for that. You have valid questions. I will come back as soon as I get a chance.

Thanks,  No reason to hurry..............

RCA

 

[Christof+]

There is some delay in the data update routine today. Currently, values have not updated. I am currently exploring why this is happening.

[Christof+]

Most data should now be up-to-date at that point.

[Christof+]

 

@RCA  now, again, sorry for my sluggish reply. You have some good questions. This should clarify them:

>> I am using as my example the Historical Straddle Performance heatmap,

>> 1. What are the numbers on the heatmap actually intended to represent?

The number in each cell represents the performance of an ATM straddle position, entered at T-x (vertical axis) and exited at T-x (horizontal axis). The number is averaged (mean or median) over the cycles between start date and end date. You can choose if those numbers should represent the mean or the median, and - for drawdowns - the maximum instead of the simple.

 

>> 2. What are the colors/shades of colors under of the numbers intended to represent?

The color/shade corresponds to the number in each field, like commonly used in heatmaps. They should just help you to grasp visually what is going on and immediately see if there is a pattern across the fields.

 

 

>>  3. Since there are both positive and negative numbers, what is the relationship between positive & negative?
>> In short, I think that what is not clear to me is whether performance as indicated in the numbers is potential profit & loss, or just a measurement
>> of change between one cycle (or series of cycles) and another for any given entry or exit, or something else.

You are correct in that is potential profit or loss. Other than in RV charts, which always shows the straddle with the respective ATM strikes, and are hence not tradable, these numbers would have been achievable performance wise if you had traded them (neglecting transaction costs).

 

[RCA]

On 3/21/2023 at 11:32 AM, Christof+ said:

Thanks very much. Sehr Gut.  It appears that I, too, am a bit sluggish in my thanks to you.

Best

RCA

@RCA  now, again, sorry for my sluggish reply. You have some good questions. This should clarify them:

>> I am using as my example the Historical Straddle Performance heatmap,

>> 1. What are the numbers on the heatmap actually intended to represent?

The number in each cell represents the performance of an ATM straddle position, entered at T-x (vertical axis) and exited at T-x (horizontal axis). The number is averaged (mean or median) over the cycles between start date and end date. You can choose if those numbers should represent the mean or the median, and - for drawdowns - the maximum instead of the simple.

 

>> 2. What are the colors/shades of colors under of the numbers intended to represent?

The color/shade corresponds to the number in each field, like commonly used in heatmaps. They should just help you to grasp visually what is going on and immediately see if there is a pattern across the fields.

 

 

>>  3. Since there are both positive and negative numbers, what is the relationship between positive & negative?
>> In short, I think that what is not clear to me is whether performance as indicated in the numbers is potential profit & loss, or just a measurement
>> of change between one cycle (or series of cycles) and another for any given entry or exit, or something else.

You are correct in that is potential profit or loss. Other than in RV charts, which always shows the straddle with the respective ATM strikes, and are hence not tradable, these numbers would have been achievable performance wise if you had traded them (neglecting transaction costs).