About this template
This bot is a credit spread selling bot, with entry based on a set of EMA (Trend), RSI (Momentum), CCI (Leading momentum indicator). The bot is best traded with a Daytrading account (>25k). The statistics is based on the following table:
Up Probs = probabilities that a day is "Green" (close > hl2)
Count = number of days that satisfy this condition
Significant Count = minimum number of days (or trades) to achieve within +-5% of the quoted probabilities.
On the other hand, the bot protects selling during gappy days and only sells when the gap is closed. Here, gap = open > previous day's high | open < previous day's low. If price retrace to within a pct OR dollar amt. of previous high/low, it is considered a gapfill. After this, the bot will sell spreads. If gap down on uptrend or gap up on downtrend, this is seen as an opportunity, and the bot will sell spreads as usual.
With this bot I am trying my best to have a recipe for success. Then later we can make a pdt safe version, which is going to be quite involved.
Since V5, we have incorporated countertrend hedger for gapping days. Here are some statistics on commonly traded tickers to reference:
Based on this we can set the percentage amount for the hedger stop loss (by price of the underlying symbol). For SPY, the stop for the gap up SCS hedger is 0.6% from open (using the 75th percentile). You can adjust this number in the automation monitor file.
Breakaway gap analysis
As we came across an instance of breakaway gap, I would like to share some analyses below. Most notable pattern across 4 tickers below is the close of the day after the breakaway gap is very likely above the low of the gap day.
For those who are making the decision on whether to go live, here's a reference for the theoretical number of trades you need for some expected win rate %
Time of gap fills on SPY
