Questions about CMLViz Trade Machine (Part 3)

I recently viewed a 2019 presentation from Ophir Gottlieb on the CMLViz Trade Machine PRO (TM) automated backtester. Continuing from last time, this is a laundry list of questions, suggestions, and discussion ultimately aimed toward getting clarification about what TM offers and what its limitations are.

I like that TM displays risk on the backtested trades. “Risked” is clickable (look back to the results screenshot in Part 2), and I’ll be curious to see exactly what gets displayed. I want to know the most relevant calculation of “max capital required,” “cost,” or “max risk.” Transparency is important because this will be the basis for total return percentage.

I like that we can select particular start/end dates for the backtest in addition to canned time intervals. I would also like the ability to compare results from the same strategy over different time intervals or different [tweaked] strategy over the same time interval side-by-side on the screen. This was done in the presentation, but I do not think it’s an actual feature.

I appreciate the fact that individual trade results may be viewed and exported to .csv.

I wondered if “pre-earnings” trade could be combined with other option trades like calendar, IC, [long/short] straddle, etc. The answer appears to be yes. Delta values may be specified for different legs and I should be able to incorporate directional biases by setting delta values accordingly. Unfortunately, I did not see the ability to customize percentages (ITM or OTM).

I would like to be able to focus on a particular backtrade and view the option chain as well. This is a premium product and as such, I would hope the data are clean. However, I’ve seen other premium products fail to deliver (see this about OptionNet Explorer). I want to verify option chains are complete and consistent with regard to strike arbitrage, etc.

I like that a low-liquidity warning is displayed when a TM backtest encounters such options; are we able to filter by open interest and/or option volume relative to some customizable average?

Here are some other questions about TM that I was not able to glean from the presentation:

• Can we close trades at X DTE or after Y DIT?
• Can we manage winners at Z% of initial credit or of max potential profit?
• What settings are available for studying 0-4 DTE (Weeklys) trades?
• Can we set max loss exits in terms of delta [relative to initial]?
• Can we apply a customizable IV rank filter?
• Can we apply a customizable VIX filter?

It appears the first bullet above is available as “days.” I would also like to be able to set as a percentage of original DTE for daily backtests or trades triggered by technical criteria (that may occur regardless of DTE).

Daily backtesting is the ability to open a new overlapping position every trading day. This maximizes number of occurrences and enhances trade statistics at the cost of [a] realistic equity curve [statistics]. I addressed serial and overlapping/daily backtesting approaches here and here. For me, lack of this feature would be a major disadvantage.

I did not see the ability to backtest multi-component positions. An example of this is a condor with different entry criteria for the put credit spread vs. the put debit spread, different wing widths for the two, maybe something like a call butterfly and/or another long option added as a hedge, etc. Each component may have its own set of entry/exit criteria but the whole position is maintained or closed based on the net PnL of all components or position net greeks.

Finally, are we able to backtest trades with adjustments? I did not see any examples of this, either.

TM offers a one-month free trial. If the trial includes full functionality, then I can easily answer all these questions.