About this template
The bot formerly shared as 0DTE BW Iron Fly Sidewinder 50% EO w/Hedging 25% EO shall henceforth be known as 0DTE π¦β¬ BlackBird π¦β¬ BWIB/IC_SPY... "take these broken wings and learn to fly".
I'm finally giving this bot its own template page... it was originally shared as an idea for a variant to run Broken Wing Iron Butterfly's instead of skewed Condors on @Viraj's 0DTE Iron Condor w Iron Fly Hedging bot back in Dec 2022. He never did incorporate the idea into that bot and I never expected it to perform like it has.
Subsequently, @Khaaan asked people to post their top performing bots back in May of 2023. At the time this thing was chugging along under the radar with a 98.5% win rate and a 21.76 profit factor after 67 trades, so I shared it in that thread. I recently took a look at the template and it has over +350 clones, so I thought it deserved its own template thread. That way I can continue sharing updates and tweaks without junking up Khaaan's thread with posting template updates that are impossible to keep up with through the comments.
You can go back and read through Viraj's original bot to understand the majority of what it does.
The main changes that were made were to:
- Use BWIB's instead of Skewed IC's
- Incorporate some logic I've used on other bots called "Sidewinder" that looks for certain market signals for a higher probably of sideways action. Therefore, it will NOT run everyday and may go looong periods of time without any trades.
Market Gap Check
- Runs a 2 standard deviation gap check (up or down) since the close the prior market day. If YES, bot will not open any positions and wait until the next day to check again. The thought here is that a large move can either continue or lead to a mean reversion, so if there was a gap since the last close the bot will not open up any new positions and just let that energy dissipate. It’s certainly not ALWAYS guaranteed that a gap will result in poor performance, but my hypothesis was that over the long term it does not produce "ideal conditions" and avoiding these days could reduce risk of movement that could go against an IB/IC position.
The default of .36 for the 2 Std Dev move was based on @Larry Rupp's logic here:
https://app.optionalpha.com/community/bookmarks/post/fade-opening-move
VIX Entry Limit of 33
- Contains a VIX Limiter that will prevent new positions from opening when the VIX is above the specified threshold (default is set at 33). There is not a day-to-day correlation between VIX level and poor conditions for an IB/IC, but by definition an elevated VIX indicates a period of increased volatility where the market will most likely move more, so this is just an attempt to remove MORE risky periods from the long term performance. We have not spent a lot of time at that level since the bot has been running, so it is a level that I may play with once we have more historical data around there.
Market Conditions Check
- Checks the 14 day RSI for extreme levels and will not open new positions while the RSI Levels are above or below the thresholds (default is 75 upper & 35 lower). When the market is at these extremes there is an increased chance of mean reversion, so if these conditions are identified no positions open.
- Checks to see if there has been an increase or decrease of .25%. If YES, bot will not open any new positions while those thresholds are exceeded. If it does not see the right market conditions it will not open any positions.
The bot was originally created back when 15 min intervals was the only option, so a portion of the historical results were using that speed. However, for the past 6-8 months it has been running at 5 min. Running at continuous will cause the positions to fill up too early, but it seems 5 min still allows decent spacing.
After nearly a year and a half and 248 trades it is doing pretty well. Here's the latest performance with an original starting allocation of $10K. The win rate and profit factor have come off their high horse, but still respectable nonetheless:
