The Falcon 10 sells short put spreads on a group of 10 tickers per bot. The current version uses the newly available TA recipes with MACD and BBands for filtering, with parameters that produced an 87.5% win rate when backtested on SPY over the past 3 years using OptionStack.
This bot was designed from the beginning to be more of a framework for anyone to quickly adjust to their own preferred settings, so custom inputs were used extensively. That said, the "as designed" strategy for this bot is as follows:
Find up-trending tickers
I filter each ticker to be sure that 1) the MACD (12,26,9 EMA) is above the signal line, 2) the price is above the 7 day EMA, and 3) the price is below the upper BB. All of these are checked both currently as well as at the previous day's close.
We make sure there's sufficient Open Interest as well as ≥ 20% Return on Risk, then we open a 25DTE $5 wide spread with the short strike at a 30Delta. If the b/a spread is less than 0.25, we open with SmartPricing set @ up to 100% of the spread, otherwise we only allow up to 70% of the spread.
Basic Strategy: Take Profit at 75% profit target. If there's a trend reversal, then take profits if any or close position if loss is at least 75% (don't tighten this, or you'll be closing out potential winners at a loss).
Details (at least more of them!):
- Pattern Day Trading protection is turned on/off by a switch. When PDT is not allowed, the monitor will not close a position the same day it was opened. Neither will the Scanner open a position in the same underlying on the same day a position was closed.
- Hedging is also turned on/off by a switch. When hedging is allowed (and all conditions line up!), a Short Call Spread will be opened with the same expiration and quantity as the challenged Short Put Spread. When choosing to allow hedging, the maximum number of positions that the scanner can open can be limited via an input in the bot settings to allow room for the monitor to open a hedge position if necessary.
- Hard Profit Target is set to 75%, but I still use a SmartStop and won't trigger the close until it has trailed by at least 0.5%.
- DTEs and (soft) Profit Targets are progressive. If a position is still >15DTE, profits will only be taken if it trails a 50% profit target by 15%. If the DTE is between 7 and 15, the SmartStop is set to 35%;5%. If the DTE is between 3 and 7 it is 15%;5%. Once DTE is below 3, the position will simply be closed unless the return in over 70% in which case it will go to expiration.
FWIW, I was sizing the trades at up to $1000 of risk and only 1 concurrent position.
My personal recommendation for this bot is to give it at least a $5k allocation.