Darcy MacDonald

If they're looking to do it via technical analysis, I can't suggest anything. But if they're more interesting in doing so based on fundamental (quantitative) analysis, then www.portfolio123.com is a good place to do so. It's a whole lot more than just one particular strategy or timeframe, but some of the smallcap models do tend to have shorter holding periods, and the tools are there to model and backtest ideas based on short term trends, mean reversion and so on.

Exactly, this is an enormous improvement in the service. Very happy to see this.

It may be the difference between earnings before open versus after close. I've noticed before that if a company announces BO on Aug 15th for example, and you configure the rule to enter 0 days before earnings, you'll actually miss it by a day (it'll enter EOD on the 15th, AFTER the earnings release).

The benefit though is that your ONE tradelog is kept up to date automatically; no need to subsequently import the data from IB reports and link trades (which is pretty cumbersome). Trying to link a trade with several rolls over a few days is very difficult when you trade a lot. Doing it in ONE avoids all that work at least.

Yeah, after a roll of one or more legs I have not found a way to re-create the new spread in the portfolio view. Frustrating.

Are you sure? Their application form still says you must be a US permanent resident.

They've added more data now back to the start of 2012. You just have to enter an earlier start date in the settings.

Agreed. But take a strategy and try it out on 50 or even 100 stocks, 5 at a time, and record your results in a spreadsheet. This allows you to calculate median returns, and if you're good with excel, you can even do a little portfolio modelling. When you do that a few times, you can often find things that stand a much better chance of working in the future. I've been trading a simple credit spread setup that I tested this way and it's done done extremely well over the last few months.

I don't really care about the model portofolio size so much, I'd just like to see more official trades, so however that gets done would be great.

Many here use OptionNET Explorer. There's a discount for members.

I've used it a bit. It's pretty good if you can get over the learning curve. I particularly like the way it can select strikes based on max risk-reward instead of just a static delta.

I've been very interested in this post-earnings put spread idea since it was posted a while ago. So now that the margin calculation is fixed, I did a more extensive backtest. I screened for the 100 most liquid stocks 3 years ago (to avoid any survivorship bias), and tested the same trade on all 100 of them over a 3 year period. I sold a 50/20 delta put spread 2 days after earnings and closed 29 days after, using closest 30 DTE (in practice you get something between 30 and 60 DTE). No profit target or stop loss. The results are in the spreadsheet attached, which compares the strategy to buying and holding the same stocks (dividends were not accounted for. The results are really good. I'm tempted to believe there really is a persistent anomaly here, and it's not just a convenient uptrend magnified by options delta). Bear in mind that the average returns at the bottom are 3 year total returns. You'd have to calculate the CAGR to get an apples to apples comparison, and there are multiple ways to approach that, so I left it out. CML Post Earnings put spread backtest.xlsm

So as I've learned and as Kim has said before, you can't trust the mid price quoted for a spread in TWS. Rather, you need to look at the individual legs and add/subtract their mid prices yourself to get the true mid. But I'm curious, does anyone know what exactly TWS is doing to get the price they're quoting? There must be some reason why they're quoting a different number?

Right, but the other aspect of leverage is the fact that the gains or losses are magnified in comparison to the movement of the underlying. Your position will move more than the stock, but in the same direction, that's all. I'm comparing it to buying the stock only because I think the rationale for the trade is the same. There must be some reason for believing AMZN will go up in the next 6 days or you wouldn't take this one.

I just mean that it's comparable to buying the stock but with the extra leverage afforded by the option position. The trade depends entirely on a directional bet for the stock itself, so I think that's where the analysis lies, not as much the options position.

Well, that's basically just a very highly leveraged long position. Certainly over the last 3 years that was a winning proposition. Take another stock that tanked in that same timeframe though, and the leverage cuts the other way: http://tm.cmlviz.com/index.php?share_key=PsVOrdTRi1SORW9u Making a trade like this indicates you are extremely bullish on AMZN go forward. Instead of doing the trade because it worked in the past, I think you need to do it because you believe it will work in the future. I am personally pretty optimistic about AMZN's performance, but not to the extent that I'd take a bet like that.

So I've been experimenting with butterflies on RUT (balanced ones, not broken wing). I cam up with this using puts: http://tm.cmlviz.com/index.php?share_key=DsmflSzQHWR3pWFX The results are fantastic, but after digging into it, I realized that the strikes are unbalanced. I think the backtesting is picking strikes based on the closest delta, which may not always be balanced. I'm guessing that when they're unbalanced, the margin requirement goes up, which skews the percentage gains calc?

I think it's more useful when you have an idea and want to backtest that specific idea to see if it works or not. For example, I've been interested in selling credit spreads against stocks I like. I've been able to use the tool to explore that idea and find the best deltas, profit targets and days to expiry that would have worked well in the past. From there I took the results and did further manual backtesting on things the tool doesn't support, like seeing what happens when I only sell premium on higher IV days, stuff like that. I recently did several trades based on that work and have been very happy with the results. It was a huge time saver in terms of doing the research and testing to make sure my idea was sound enough to give me the confidence to start trading it. Finding a random trade that did well on a single stock 12 times over the last three years doesn't really tell you anything I don't think. However, if a setup is profitable over many different stocks, then maybe there's something there.

Yeah, but I think you could broaden the idea to other stocks. I'm very uncomfortable with the idea of a systematic trade that "works" on just one stock. The chance that the backtest is just curve-fitting is extremely high. But if there's an underlying thesis that makes sense and works across many stocks with a given characteristic, then I think there's an opportunity.

This makes a ton of sense to me. I suspect pre-screening this one to enter only after a positive earnings event would be even better.

You can do this (and a lot more) on portfolio123.com. They have an extremely sophisticated stock screener and portfolio-level backtester. I've had some luck taking my more profitable models from p123 and then backtesting a few different directional options strategies on the trade machine.

Just signed up yesterday. I like it so far. It's very focused on simpler mechanical trades at the moment, but it's pretty good at that. I spent a lot of time playing around with the VXX and had some eye openers that I think were well worth the cost. It'll be fantastic when it supports intraday data and limit orders. It'd also be much better if you could build a little logic into the entries, like only if VIX < 20, stuff like that.

So for those interested, I setup a limit order on the PCLN trade before market open (1650 puts in an IB paper trade account). I priced it at 3.70 (I figured this was a very generous price and should absolutely get filled). No fills, not even one, while Kim got in at 3.00. In the quote page, both the 1650 puts are still showing previous closed prices. It seems as though the paper trading algorithm thinks these haven't traded yet today. I am subscribed to market data.

I've found that when I roll it breaks up the combo only on the day of the trade. Next day it's back in the combo.

So I've been following along for some time now in an IB paper account. I'm having a terrible time getting fills. In the course of digging around for ideas on how to do better, I came across this: https://www.interactivebrokers.ca/en/software/am/am/manageaccount/paper_trading_limitations.htm Note where it says "Fills are simulated from the top of the book; no deep book access". So I'm thinking, what does this mean for a spread limit order? Does it mean that you'll only get filled if both legs are top of book for a given spread price? Having one leg touch the bid or ask without the other also touching or being under at the same time means no fill? If I chart the spread, I'm frequently seeing the graph dip under my limit orders with no fills. I'm thinking this top of book limitation may explain why. Can anyone confirm?