Cold and rainy here in Denver, good day to just look at data. I have an interesting report here for you on #CoveredCall performance, also tied to #PieTrades. Let me first lay out the process I took. 1. I ran a scan on TOS for high yielding calls over a 7-14DTE ( http://tos.mx/oIfUU7 DO NOT CLICK THE LINK, instead use your “Setup Sprocket” and “open shared item”, then copy/paste the link) . I ran it on “weeklies” so ETF’s would be included. That gave me about 108 tickers. Then I ran a 2-year covered call backtest using 10 lots on everything: Buying 1000 shares and selling 10 50-delta calls with a 7DTE on everything. From that test I selected only tickers that yielded over a 50% Return-on-Risk over the two year test. Then I figured that looking at the last 6 months on each of those vs 2 years would look quite different–given the market conditions we’ve experienced. So on just these tickers I also ran a 6-month backtest. Surprisingly there is only ONE ticker in the list that has a negative return over the last 6 months (RCL). “Win Rate” in the backtester means at expiration the trade had a net profit. At expiration the backtester virtually rolls calls to the next expiration using closing prices. There are no filters here for liquidity, other than using only weekly tickers with over 1M volume daily. Sorry the columns are wonky, I didn’t want to search out the BB code for table inserts 🙂 This might give some good ideas to y’all for #PieTrades or #CoveredCall targets. With the filters I used almost any one of these would be a good pick, but there are some standouts.
Ticker: 2 year net return: ROR%: Win Rate: 6-month ROR%
ADBE $81,890 69% 82% 29%
ADSK $58,780 86.1% 81.5% .9%
AMZN $507,000 64% 70.5% 28.7%
ANDV $48,953 64.6% 74.3% 14.5% SCRATCH due to acquisition
AXP $29,913 56.9% 73.3% 4%
BA $147,000 77.6% 76.2% 36.1%
BURL $58,460 85.1% 82.1% 41%
CME $54,932 56.1% 70.5% 23.4%
EA $61,020 93.4% 75% 33.8%
HCA $35,878 69.6% 71.4% 38.5%
IWM $36,640 43.9% 72.4% 8.2%
KSU $44,723 76.5% 69.5% 15.6%
LULU $29,725 59.2% 67.6% 58.5%
LYB $39,646 60.1% 72% 10.7%
MA $60,176 61.7% 75.2% 22.1%
MAR $51,397 68.1% 79.3% 19.1%
MON $76,134 115% 80% 32.5% (scratch due to Bayer takeover)
NFLX $1.49M 129% 60.6% 30.1%
NOC $92,967 50.8% 78.9% 10.4%
NOW $98,575 113% 76% 35.4%
NSC $54,856 67.5% 72.4% 14.3%
NVDA $121,000 95.1% 76.2% 18.9%
PSX $43,519 67.7% 78.1% 21.7%
RCL $40,886 58.5% 72.9% -8.9%
RHT $60,550 71.9% 79.2% 27.7%
SPGI $60,780 59.3% 76.3% 21.1%
STZ $65,779 55.4% 85.7% 14.8%
TQQQ $151,000 83.8% 71.4% 10.9%
TTWO $50,260 85.9% 82.4% 4.3%
TXN $30,708 51% 74.3% 2.9%
UNH $65,685 51.8% 74.3% 12.3%
UNP $48,904 64.5% 74.3% 20.2%
V $39,786 59.7% 77.1% 12.5%
VLO $47,877 72.6% 78.1% 30.4%
WDAY $67,845 88.3% 75.2% 13.3%
WYNN $68,710 67.8% 67.6% 24.6%
