transform a spy ODTE trading strategy into a bot for use on option alpha

ALGORITHM STRUCTURE: SPY WARRIOR v5.1 PHASE 1: THE SCANNER (Runs Every 1 Minute) This loop constantly filters the market for the "Goldilocks" conditions. 1. Global Time Check: o IF Current Time is between 10:00 AM EST and 3:00 PM EST o OR IF Open_Gap_Percent > 1.5% AND Time is 9:31 AM EST (Gap-and-Go Override) o THEN Proceed to Step 2. o ELSE End Loop (Wait for next minute). 2. VIX Regime Filter (The Gatekeeper): o IF VIX is between 15.00 and 30.00 o THEN Proceed to Step 3. o ELSE End Loop (Market too boring or too dangerous). 3. Compression Filter (The "Narrow State"): o IF Bollinger_Bandwidth(20, 2) < 0.10% (v4.20 Elite Setting) o OR IF Bollinger_Bandwidth_Percentile < 5th Percentile o THEN Proceed to Step 4. o ELSE End Loop (No stored energy). ________________________________________ PHASE 2: THE TRIGGER (Signal Detection) This logic validates if the specific candle matches the "Institutional Ignition" profile. 4. Trend Direction Filter: o IF Price > SMA(20) -> Set Mode to BULLISH. o IF Price < SMA(20) -> Set Mode to BEARISH. 5. Candle Geometry (Elephant Bar) Check: o Calculate Bar_Range = (High - Low). o Calculate Prev_Bar_Range = (Previous High - Previous Low). o Check 1 (Relative Size): Is Bar_Range > (2.0 * Prev_Bar_Range)? o Check 2 (Absolute Size): Is Bar_Range > (1.5 * ATR(14))? (Noise Filter) o Check 3 (Volume): Is Current_Volume > (1.5 * Volume_SMA(10))? o IF ALL TRUE -> SIGNAL VALIDATED. Proceed to Step 6. ________________________________________ PHASE 3: THE CALCULATOR (Position Sizing) Before firing, the bot calculates exact risk based on account size and location. 6. Base Risk Calculation: o Account_Risk = Net_Liquidity * 0.006 (0.6%). +1 7. "Gamma Flip" Safety Check: o IF Price is within 0.5% of Yesterday_High OR Yesterday_Low o THEN Trade_Risk = Account_Risk / 2 (Half Size). o ELSE Trade_Risk = Account_Risk (Full Size). 8. Instrument Selection (VAV): o IF VIX is 15 - 18 -> Select Debit Spread ($5 wide). o IF VIX is 18 - 30 -> Select Long Option (Delta 0.45). ________________________________________ PHASE 4: THE MANAGER (Post-Trade Logic) This runs continuously on every open position to manage the exit. 9. Hard Time Exit: o IF Time > 3:45 PM EST -> CLOSE IMMEDIATELY (Market Order). 10. The "Elite" 60% Win Rate Breakeven Logic: o IF Position_ROI > +10% o THEN Update Stop Loss to Entry_Price (Break-even). Do not wait. 11. Profit Taking (The "Warrior Shield"): o Condition A (Home Run): IF Total_Profit > $2,000 -> Trail Stop at 50% of Peak Profit. o Condition B (Base Hit): IF Position_ROI > +20% -> Trail Stop at 10% Trailing. 12. Stop Loss (The Guardrail): o IF Position_ROI < -20% (or derived from 0.6% risk math) -> CLOSE IMMEDIATELY. ________________________________________ Variable Data Dictionary (For Misha) Variable Name Value/Formula Source Ref ATR_Period 14 RVOL_SMA 10 Risk_Percent 0.6% Elephant_Mult 2.0x Breakeven_Trigger +10% ROI v4.20 Spec Audit_Slippage $0.10

Projekt-ID: 40241485