What’s New in Option Alpha: November 2024

Backtesting

New 0DTE backtester features based on community feedback

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Thank you to everyone in the community who took time to contribute creative ideas and feedback for how to improve the new 0DTE backtester. Here are the changes that made it into this release:

• IWM added as a supported symbol
• Backtest capital allocations and % of capital position sizing
• Simple/exponential moving average filters
• Change % since market open filter
• Overnight gap % filter
• Standard deviation based price change filter
• More precise leg delta selections
• Additional Expiration exit option choices
• Compare up to 5 backtests at once
• Delete multiple backtests at once
• Improved filtering of invalid pricing and wide bid/ask spreads
• Search backtest descriptions
• Generate a bot with a scan time frame instead of a fixed time
• Link to backtest automatically added to generated bot notes

Click here to try the backtester free

Bots

Customize the schedule for automations and exit options

You can now change the time bots start scanning for new positions and monitoring existing ones.

• Scanners and exit options can start as early as 9:31am
• Run scanners until 5 minutes before market close
• Monitor exit options until 1 minute before market close

New decisions for VIX and overnight gap %

• Check VIX change from high/low/open/close over a specific period of time
• Check gap % - the overnight change % from previous day close price to current day open price
• Added gap and gap % to symbol decision recipe

Additional updates worth mentioning...

• IWM added to 0DTE Oracle‍
• Select deltas for position legs in .01 increments instead of .05
• Added 5 minutes, 10 minutes and 3 hours to the Expiration exit option
• Added "change as std dev" to symbol decision recipe