StockFetcher Forums · Filter Exchange · Diagonal call spread candidate filter<< 1 2 3 >>Post Follow-up
graftonian
1,089 posts
msg #147262
Ignore graftonian
4/9/2019 1:01:13 PM

Diagonal call spreads like two fctors to do well:
1. A low IV environment
2. A slightly bullish, steady performer

Here at SF we can't do much about finding low IV, but can someone find that slow moving juggernaught moving about a buck per month?

I like Diagonal spreads because:
1. Defined risk
2. A little profit with no move, and a shit load if one can pick the correct short call

graftonian
1,089 posts
msg #147287
Ignore graftonian
4/10/2019 8:59:28 AM

Fetcher[
/*diagonal spread finder*/
optionable
Average Volume(30) > 5000000
set{ROC30, roc(30,1)}
/*ROC30 average */
set{slow1, cwma(ROC30, 15)}
set{slow2, 2 * slow1}
set{slow3, cwma(ROC30, 30)}
set{valslow, slow2 - slow3}
set{ROC30AVG, cwma(valslow, 5)}
draw ROC30AVG
add column ROC30AVG
ROC30AVG between 0 and 5
sort on column 5 descending
/* Where to place the Short call? */
set{21daygain, close - close 21 days ago}
set{short_call1, close + 21daygain}
set{short_call, round(short_call1)}
add column short_call
add column 21daygain
]



snappyfrog
731 posts
msg #147305
Ignore snappyfrog
4/11/2019 12:33:46 AM

Nice filter. I think one would want to find a stock moving like Comcast to build a filter around for diagonal option trades. Thoughts?



Cheese
1,374 posts
msg #147307
Ignore Cheese
4/11/2019 1:12:49 AM

snappyfrog 4/11/2019 12:33:46 AM
Nice filter. I think one would want to find a stock moving like Comcast to build a filter around for diagonal option trades. Thoughts?
===============================================================================

Thank you, graftonian and snappyfrog
Not an options player, just an eager learner.
Here are some thoughts

Fetcher[
/* https://www.stockfetcher.com/forums/Filter-Exchange/Diagonal-call-spread-candidate-filter/147262 */
/* graftonian 4/10/2019 8:59:28 AM */

/*diagonal spread finder*/
optionable
Average Volume(30) > 5000000
set{ROC30, roc(30,1)}
/*ROC30 average */
set{slow1, cwma(ROC30, 15)}
set{slow2, 2 * slow1}
set{slow3, cwma(ROC30, 30)}
set{valslow, slow2 - slow3}
set{ROC30AVG, cwma(valslow, 5)}
draw ROC30AVG
add column ROC30AVG
ROC30AVG between 0 and 5
sort on column 5 descending
/* Where to place the Short call? */
set{21daygain, close - close 21 days ago}
set{short_call1, close + 21daygain}
set{short_call, round(short_call1)}
add column short_call
add column 21daygain


/* **************************************** */

CHART-TIME 12 MONTHS
80 day slope of the close is above 0.5
]



Cheese
1,374 posts
msg #147308
Ignore Cheese
4/11/2019 1:14:38 AM

Fetcher[
/* https://www.stockfetcher.com/forums/Filter-Exchange/Diagonal-call-spread-candidate-filter/147262 */
/* graftonian 4/10/2019 8:59:28 AM */

/*diagonal spread finder*/
optionable
Average Volume(30) > 5000000
set{ROC30, roc(30,1)}
/*ROC30 average */
set{slow1, cwma(ROC30, 15)}
set{slow2, 2 * slow1}
set{slow3, cwma(ROC30, 30)}
set{valslow, slow2 - slow3}
set{ROC30AVG, cwma(valslow, 5)}
draw ROC30AVG
add column ROC30AVG
ROC30AVG between 0 and 5
sort on column 5 descending
/* Where to place the Short call? */
set{21daygain, close - close 21 days ago}
set{short_call1, close + 21daygain}
set{short_call, round(short_call1)}
add column short_call
add column 21daygain


/* **************************************** */

CHART-TIME 12 MONTHS
21 day slope of the close is above 0.5
]



nibor100
1,048 posts
msg #147314
Ignore nibor100
4/11/2019 11:07:32 AM

@graftonian,

1. Regarding your request for "slow moving juggernaut..". I've been toying with this possible filter
Fetcher[
optionable
close > 15 and close > ma(200)
Average Volume(30) > 5000000
chart-time is 6 months

set{ROCmonth, roc(21,1)}
draw ROCmonth
/*add column rocmonth 63 days ago > 0*/
add column rocmonth 42 days ago > 0
add column rocmonth 21 days ago > 0
add column rocmonth > 0
]



2. Also, I noticed that KSK8's filter provided in the "I'm tired of losing money..." thread seems to find some slow steady movers, maybe tweaking it will find some good candidates for your option trades.

Ed S..


graftonian
1,089 posts
msg #147316
Ignore graftonian
4/11/2019 12:19:39 PM

Snappy, CMCSA looks like the perfect candidate........except earnings soon and no convenient option strikes.

Ed S, If we could quantify the slow, steady gains of CMCSA, I believe it would be a good thing.
Good Hunting,
Graf

graftonian
1,089 posts
msg #147318
Ignore graftonian
4/11/2019 12:51:02 PM

Ed S, How's this for finding the "smoothness" Some work on the time frames could perhaps improve it.

Fetcher[
chart-time is 6 months

set{ROCmonth, roc(21,1)}
draw ROCmonth
/*add column rocmonth 63 days ago > 0*/
add column separator
add column rocmonth 42 days ago > 0
add column rocmonth 21 days ago > 0
add column rocmonth > 0
/*******************/

set{y, cstddev(rocmonth, 63)}
draw y
set{y2, cstddev(y, 63)}
draw y2 and add column y2
sort on column 9 ascending
]



graftonian
1,089 posts
msg #147335
Ignore graftonian
4/12/2019 2:03:55 PM

Added a few more bells & whistles.
Fetcher[
/* Diagonal Spread Finder modified 4/12/19 */
optionable
Average Volume(30) > 5000000
set{ROC30, roc(30,1)}
/*ROC30 average */
set{slow1, cwma(ROC30, 15)}
set{slow2, 2 * slow1}
set{slow3, cwma(ROC30, 30)}
set{valslow, slow2 - slow3}
set{ROC30AVG, cwma(valslow, 5)}
draw ROC30AVG
draw ROC30AVG line at 5
draw ROC30AVG line at 0
draw ROC30AVG line at -5
add column ROC30AVG
ROC30AVG between -5 and 5
sort on column 5 descending
/******/
set{sd_roc30avg, cstddev(ROC30AVG, 63)}
draw sd_roc30avg
sd_roc30avg < 5


/* Where to place the Short call? */
set{21daygain, close - close 21 days ago}
set{short_call1, close + 21daygain}
set{short_call, round(short_call1)}
draw price line at short_call
add column short_call
add column 21daygain
]




nibor100
1,048 posts
msg #147340
Ignore nibor100
4/12/2019 4:55:21 PM

@graftonian,

I've added some slope stuff to get nearer to the CMCSA ideal...left in a lot of my test lines as I'm sometimes lazy.

Ed S.

Fetcher[
optionable
close > 15 and close > ma(200)
Average Volume(30) > 5000000
chart-time is 6 months

set{ROCmonth, roc(21,1)}
draw ROCmonth
/*add column rocmonth 63 days ago > 0*/
add column rocmonth 42 days ago > 0
add column rocmonth 21 days ago > 0
add column rocmonth > 0

draw 50 day slope of close /*on plot price*/
set{varslop, 50 day slope of the close} add column varslop
set{varslop1, 10 day slope of the close} add column varslop1
set{varslop2, 20 day slope of the close} add column varslop2
set{varslop3, 30 day slope of the close} add column varslop3
set{varslop4, 44 day slope of the close} add column varslop4
set{varslop5, 60 day slope of the close} add column varslop5
set{varslop6, 70 day slope of the close} add column varslop6
Show stocks where the 70 day slope of the close is between .06 and .25
draw varslop6
sort column 1 ascending
]



StockFetcher Forums · Filter Exchange · Diagonal call spread candidate filter<< 1 2 3 >>Post Follow-up

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