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Long Straddle Pre-Earnings - Number of Cycles = 12, Winrate >= 70%, Return >= 15%

Long Straddle Pre-Earnings - Number of Cycles = 12, Winrate >= 70%, Return >= 15%

Expiration date is just after the earnings date.
Closing Day = GTC reached or, if not reached: Earnings date if AMC, the day before if BMO.
Trading days range: openings at T-15, T-10 and T-5.
Evolution of the trade from Buy Date to T-0.
Win Rate is when the GTC is reached or Return positive at the last day. GTC = 15%.
Cycles = [4, 8, 12, 16, 20]
WARNING: This scanner is a statistical study of past results and does not predict future behavior. Always make your trading choices with full knowledge. Math-Trading is not financial advice and is not responsible for any losses incurred by your trades.
Showing 22 results (Winrate > 70%, Cycles: 12, Return > 15%)
Select Ticker Buy Day Winrate (%) Return (%) RV Mean N. cycles
AAPL T-3 75.00% 16.12% 0.0426 12
AMAT T-10 75.00% 21.91% 0.0778 12
ANET T-10 75.00% 16.14% 0.1086 12
CMCSA T-2 75.00% 17.93% 0.0483 12
GILD T-15 100.00% 28.04% 0.0525 12
GILD T-4 75.00% 15.85% 0.0446 12
PLTR T-10 75.00% 20.12% 0.1530 12
PANW T-15 83.33% 19.81% 0.0946 12
AMZN T-3 75.00% 16.17% 0.0700 12
UNH T-15 83.33% 18.15% 0.0602 12
AMD T-10 75.00% 16.99% 0.1004 12
ZM T-15 91.67% 16.96% 0.1094 12
DOCU T-15 83.33% 15.54% 0.1220 12
NOC T-10 75.00% 15.85% 0.0550 12
GD T-15 83.33% 30.35% 0.0443 12
TSM T-15 75.00% 15.32% 0.0764 12
ADI T-15 75.00% 15.51% 0.0701 12
VRTX T-1 75.00% 19.08% 0.0441 12
ISRG T-15 75.00% 19.68% 0.0781 12
CVS T-15 75.00% 16.24% 0.0710 12
MAR T-15 83.33% 17.94% 0.0617 12
BK T-5 75.00% 17.58% 0.0526 12
Earnings Date Expiration Last Close Day of GTC/Final ATM Strike Straddle Value at Buy Straddle Value at Sell GTC Return (%) Final Return (%) Gain ($) Call Delta at Buy Put Delta at Buy RV at Buy IV at Buy