CML Trade Machine

The Rookie said:
What is your opinion of this back tester machine? Has this machine given you good results?
More...

I've used it for a month. Results were "good", depending on what "good" means to you.
CML seems good for people who are using basic options strategies and want to validate them, improve them, and discover and learn a few new things.
I find posts by CML owner interesting: https://www.elitetrader.com/et/search/7913187/
And if you find them interesting as well then CML Trade Machine can be good for validating and playing around with similar ideas.
But it may not help you discover a holy grail, or take you to a next level on its own. It's just a good tool to have, or at least to try and see how useful it is for you personally.
I stopped using it as it's somewhat limited for my purposes, but I may get back to it in the future when needing to validate or "play with" some strategies again.
 
I haven't use CML but have used ONE (optionet explorer). CML seems good except it is missing one important piece for me: intraday candle information (I have mentioned the need for this data to them in the past). With the amount of volatility that can happen in a day for an option's price, I would really like to see the intraday information because in RL, I would trade based on the intraday pricing. I cannot close a trade on the end of day close price for an option. the RL bid-asks are stupidly wide at the end of the day. For me, their studies are not grounded in a RL scenario, but their programming world. For me, to make RL trades based on a programming universe would be a poor trading decision. That's just one person's opinion tho.
 
Thanks or the feedback!

I trade it and use the back-tests as my guide but of course place my stops and limits as GTC which can get triggered at any point in the day through my brokerage. The vast majority of our members do that.

Also, we do not use EOD prices, we use EOD before the prices go wide. We are all traders, i am a former market make and hedge fund manager -- so this was created for trading analysis, not academic pointlessness.

Any way, appreciate the feedback.
 
good to know. did not know that EOD was not EOD. How and when do you take your EOD snapshot? Has the market making game changed much since you were one? I imagine with AI, algo trading, etc... that MM is mostly automated/run by computers these days...

As well, I hope you will one day get intraday data. ONE gets 5 minute candle bars, so hopefully you can do something similar.

Thanks!
 
EOD snapshot is taken by Option Metrics right before the market goes wide, so probably 5 minutes before the close (ish). Option Metrics is the definitive source for institutional entities. We pay a lot of money for that data, as opposed to say, ZACKS (or whatever), for poor quality data.

The MM world was mostly automated even when I was there, or, say at east 50/50.

That was a good time bc you could see which frms were making which prices by their size. For example, Citadel would make a market of 11 lots, so the could have size pro rate advantage over the default 10 lot on CBOE.

Once we could see which machine was doing what, you could price accordingly.
 
CML_Ophir said:
Thanks or the feedback!

I trade it and use the back-tests as my guide but of course place my stops and limits as GTC which can get triggered at any point in the day through my brokerage. The vast majority of our members do that.

Also, we do not use EOD prices, we use EOD before the prices go wide. We are all traders, i am a former market make and hedge fund manager -- so this was created for trading analysis, not academic pointlessness.

Any way, appreciate the feedback.
More...
'academic pointlessness'... love it. reminds me of LTCM. ;p
 
CML_Ophir said:
EOD snapshot is taken by Option Metrics right before the market goes wide, so probably 5 minutes before the close (ish). Option Metrics is the definitive source for institutional entities. We pay a lot of money for that data, as opposed to say, ZACKS (or whatever), for poor quality data.

The MM world was mostly automated even when I was there, or, say at east 50/50.

That was a good time bc you could see which frms were making which prices by their size. For example, Citadel would make a market of 11 lots, so the could have size pro rate advantage over the default 10 lot on CBOE.

Once we could see which machine was doing what, you could price accordingly.
More...
interesting comment about the lots... i've often wondered if I could get better fills with smaller lots. commish has come down all over the place so lot sizes can be smaller and still cost efficient (not time efficient).

what has been ppl's experience with lot sizing and fills? is it a lot size thing, or is it a $ value thing? I think it is more the latter, and based on the liquidity of the stock. ppl focus on lot size but a 10 lot of AMZN is not the same as 100 lot of $20 stock.
 
You must log in or register to reply here.
Back
Top