About this template
The edge of this strategy is to collect a part of the premium from selling short positions on a coin flips 50/50 of what the market is going to do next within the upcoming 24 trading hours. The bot opens classic 30/10 delta Iron Condors one trading day out and manages the positions tightly through dynamic Exit Options.
The biggest risk to this strategy is the overnight gap with too many positions opened. At the same time the overnight decay also serves the biggest profits.
This bot used to have a hedge for legs that turned into the money included. The data showed that the hedge was basically irrelevant to the overall performance and led me to believe that for this short DTE period my type of hedge did not work.
To leave room for bot volatility (drawdowns can be scary) as well as to build funds the bot only opens 7 positions per day from net liquid 10% each. The 2DTE version only a total of 8 positions with a max of 6 per day.
Before opening a position there is a sanity check around the market and ticker symbol which has done the overall performance well. Again, some values might be a bit too tight and excluding opportunities that would have gone well - the aim here was to minimize drawdowns as much as possible.
This bot has run on 5min intervals once those were introduced but I couldn’t find any difference to 15min scans. (Entries are very 30min anyhow and exits via Exit Options every 1min per se)
The live performance (SPY) is pretty much the same as the paper version. This bot has been designed for SPY. Any other ticker might need adjustment like b/a spread, … QQQ I have only tried lately with mixed results as it gets stopped out more often due to higher volatility. No other tickers tested so far.
The bot also produced some pretty promising results for longer durations.
This is a high risk strategy, so manage your position size appropriately.
If you take it live, start with 1 contract per position to get comfortable and analyse behaviour.
You want to have PDT enabled
Current version 2.0 since Nov 23 in paper
I don't think that this performance is representative for future development. This bot had a good run in a market that only had a few overnight gaps. Nevertheless it did well in a low VIX environment.
Current version 2.0 since Dec 8th live @ TDA. 10k allocation limited to one contract until Jan 4th.
Version 1.0 since May 23
It got itself a bleeding nose last Nov with two large overnight gaps from FOMC meeting and CPI data release. New version doesn’t trade around those events anymore. Interesting here is the recovery in a low VIX environment.
