About this template
I came across this Tasty Trade YouTube video about 0 DTE strategies, and created a bot to test one of the strategies they discussed. I have not done any testing yet, but will turn on the bot in my paper account starting next week.
The strategy is as follows:
- At 9:45am open a 0 DTE ATM IB w/ $3 wide wings in SPY w/ 25% profit target and 50% stop.
- Every subsequent hour, (10:45am through 2:45pm), close the existing IB (if it's still open) and open a new one, re-centered at the money
- The bot in theory should open 6 positions throughout the day, with the final position closing out at 3:45pm.
- This template is set up to open 10 contracts each time - but you can adjust for whatever you want. I gave the bot a $10k allocation which is way more than enough to run the strategy, just in case it draws down early.
Important Notes:
- I would only run this in a live environment that does not charge commissions (i.e. Tradier, etc.)
- This is not a perfect strategy since sometimes the market will not have moved and it's not really necessary to re-center, but we'll see how it goes.
Backtest:
I was able to run a series of backtests for this strategy using Option Omega and put them together in a Portfolio with $5k starting capital and no compounding (10 contracts per trade). The backtest runs from the beginning of 2019 through current. See below:
