SPY 1 Minute Day Trader

When scalping options, users are looking for where breakouts are going to occur instead of sitting thru areas choppy price action that drain delta and cause them to lose value even if price is up trending. This script tries to identify when a trend reversal is expected based on one minute price action on the SPY. It alerts users to prepare for potential breakout when 5 out of the 6 key optimized parameters are discovered by showing a white L or S. Once all six trigger, it informs the user at the close of that candle with a golden triangle with Pivot Up or Pivot Down. As scalping options is something that is expected to be short in duration, a take profit and stop loss of 30 cents of price actions is established. If five or more parameters occur after the pivot is initiated, then stop losses and take profits are adhered to; however, if there are less, then it waits to take profit or stop the trade, as likely it is just noise and it will finish trend with an additional breakout.

This script has been created to take into account how the following variables impact trend for SPY 1 Minute:
ema vs 13 ema : A cross establishes start of trend
MACD (Line, Signal & Slope) : If you have momentum
ADX : if you are trending
RSI : If the trend has strength

The above has been optimized to determine pivot points in the trend using key values for these 6 indicators
bounce up = ema5 > ema13 and macdLine < .5 and adx > 20 and macdSlope > 0 and signalLine > -.1 and rsiSignal > 40
bounce down = ema5 < ema13 and macdLine > -.5 and adx > 20 and signalLine < 0 and macdSlope < 0 and rsiSignal < 60

White L's indicate that 5 of 6 conditions are met due to impending uptrend w/ missing one in green below it
Yellow L's indicate that 6 of 6 conditions still are met
White S's indicate that 5 of 6 conditions are met due to impending downtrend w/ missing condition in red above it
Yellow S's indicate that 6 of 6 conditions still are met

After a downtrend or uptrend is established, once it closes it can't repeat for 10 minutes
Won't open any trades on last two minutes of any hours to avoid volatility
Will close any open trades going into last minute of hour to avoid large overnight random swings.

版本注释:

When the bounce up or bounce down is detected it shows yellow tick marks above and below the orange triangle marker so users have an idea where potential run ends or to better understand when the analytic is wrong.

版本注释:

Updated chart so it has clean chart vs other indicators.

版本注释:

Corrected strategy tester so it used 10% of equity.

版本注释:

Updated script to change wait time to 12 minutes between trades.
Since pivot logic runs based on candle close of prior candle. If prior candle had a large change of greater than expected move, then algo waits to initiate. This removes false signals that then closed immediately.

版本注释:

Updated exit strategy of trade so if trending is detected via high ADX, Average Directional Index, the .30 take profit is ignored and trade will not close until either the ADX drops, which signals no trending, or if the 5 minute close for a given minute crosses the 5 minute 13 EMA. This avoids a series of closing positions and then waits when to re-enter when trending in a direction. Even though the win % drops slightly, as the winning position is held longer it profits a greater amount. Also, when exiting a position now ensure entering proper exit portion for Pivot Up vs Pivot down. Also, updated entering Pivot Up and Pivot Down logic to only enter if not in a position.

版本注释:

If stop loss is breached it now closes trade instead of relying completely on higher degree trend closing trade.

版本注释:

By mistake deleted script. Re-adding.

版本注释:

Tweaked MACD signal to allow trades to be entered sooner for both Pivot Up and Pivot Down.

版本注释:

Updated stop loss logic to percentage so now this will work on any trending stock!

版本注释:

Main change further optimized Pivot Up and Pivot Down by including 3 new indicators: Stochastic signal, MACD difference and Root Mean Square of ATR. Also tweaked MACD signal and RSI. This slightly lessoned amounts of trades but improved their ability to enter sooner. Also by tweaking ADX from 25 to 18 was able to hold trades longer. These changes improved backtesting results by about 25%

Also did some basic house cleaning on stale duplicate code and initial header explanation.

版本注释:

Got rid of noisy trades by taking absolute difference between 5 & 13 ema on higher degree and ensuring it was > .11. This allowed the time between successful trades shrink to 7 minutes since not taking noisy trades. Now also only closing trades right before 10AM & 4PM (eliminated 1PM and 3PM). Backtest results indicated that trades shrunk by more than 50% but profits close to doubled and percent profitable jumped to over 70% due to noisy trades being removed.

版本注释:

Now including 5 min 5 EMA (blue) and 13 EMA (orange). These are used on 1 min to exit trades which are trending and not take trades when the difference is less than 0.12. If less than 0.12 and only parameter not hitting, you will see a 5 below/above the L or S that is prepping you to get ready for pivot point.

版本注释:

There are 10 parameters not 9 so needed to update for Pivot Signals and letters to show properly.

版本注释:

Prior release was correct plus needed to remove unnecessary indicators.

版本注释:

Discovered a couple inconsistencies with macdLine letter colors so updated.

版本注释:

Removed candle spike logic as noisy trades have been removed.

版本注释:

Updating description. Now that this works with any trending stock, stops and take profits are 0.00075%
Tweaked bounce up and bounce down logic with a
Updated description about wait period for trades as none is enabled due to removing noisy trades

版本注释:

Only cleaned-up notes in code. Reload not necessary for this version.

版本注释:

Only now entering long trades if close > open and short trades if close < open. This was added as a new condition for white and gold L's and S's as well.
Also not entering trades during first five minutes. It can enter if still trending in 6th minute. Also, now only not taking trades in last two minutes of day instead of last two minutes of every hour.

版本注释:

Released with extra unnecessary stuff. Re-releasing clean version.

版本注释:

With fuchsia line now indicate high low price of day and will not Pivot Up when within 0.05% of high of day and will not Pivot Down when within 0.05% of low of day.
Will now suggest protecting trades when longs achieve 2x take profit and shorts achieve 1.8x take profits. Stops are then set to break-even.
These changes have boosted win percentage to over 80% as indicated by backtesting.

版本注释:

Tweaked HOD / LOD logic so that won't take if within 0.1% instead of 0.05%

版本注释:

Updated to give some leeway on entering trade only if Pivot Up and Pivot Down by comparing prior candle and 3 cent buffer.

版本注释:

Changed Protect Longs to Exit Partial Longs and same with Shorts so it is more understandable
Remove extra MACD indicator added by mistake in last release.

版本注释:

Critical update as discovered issue with short stop loss that was causing it to sometimes close trade too early
Prepping tool for VWAP inclusion

版本注释:

Will now only take partial profit for Pivot Up once above 2x when a candle closes below the 5 minute 13 EMA and for Pivot Down once below 2x when a candle closes above the 5 minute 13 EMA
Added 2x Take Profit Indicators as an orange tick mark

版本注释:

Critical Update
Please note that in order to use this script Extended Hours trading must be turned off
Updated strategy and backtested/optimized 5 different trading periods throughout the day and color coordinated triangles based on best trading times of day for this script. Wasn't much of a surprise that first 90 minutes of day is best time to trade. Also lunchtime looks like good time as well for this script.
First 90 minutes: 94% win rate (green triangles)
Next hour: 80% win rate (orange triangles)
Lunchtime: 90% (green triangles)
After lunch until Power Hour: 80% (orange triangles)
Power Hour: 70% (red triangles)

Removed the following parameters from Pivot Up / Pivot Down signals: Stoichastic Signal, MACD Signal, MACD Difference between Line and Signal, RSI Signal
Removed low ADX from closing trade

版本注释:

Per other users feedback updated first line of code to stop repaint from occurring and improperly positively impacting backtest results. By add the following line backtest results were minimally impacted and first hour still rocks at 94% for last 38 days of trading.
strategy(title="SPY 1 Minute Day Trader", overlay=true, calc_on_every_tick=false, process_orders_on_close=true)

版本注释:

Removed lookahead=barmerge.lookahead_on from request.security in script to avoid repaint at end of day. Tweaked values to get backtest clean.

版本注释:

Had to remove volume or I get in trouble!

版本注释:

Updated colors based on new backtesting and determined that for this strategy
First 90 minutes and After lunch until power hour are good (green)
After first 90 minutes until lunch is bad (red)
1PM until power hour is great! (lime)

版本注释:

Added ADX to stay in trending trades that pop above 2x and tweaked 5 minute 5/13 ema difference.

版本注释:

Stay out of more trades before lunch!

版本注释:

Tweaked power hour to take less trades.

版本注释:

Fixed when one parameter short, now shows which one missing with silver L or S and Gold L or S when everything is there and trade is ongoing.
Also added barstate.isconfirmed so trades don't change at close of day. Didn't impact backtest.

版本注释:

Added 3x pin bar reversals with the ability to toggle them in inputs (positive impact to backtest with limited additional trades). Also cleaned up other inputs.

版本注释:

Updated to only take pin bar if not in that type of long/short position already and can take opposite position and close on trend reversal.

版本注释:

Updated so that pin bar has meaningful size to remove small signals that aren't true reversals. Improved win rate and lessened trades.

版本注释:

Optimized pin bar height for reversal signal
Added VWAP to stop trying to short when above VWAP 2 standard deviations and long when below VWAP 2 standard deviations. Reversals are unlikely at that point!
Show VWAP with basic 2 standard deviations
Cleaned-up function bar to remove unnecessary string of zeros

版本注释:

Disabled trading from 11 until 12 by default. Can enable in settings.
Changed 5 min difference of 5 & 13 EMA to reference percentage instead of fixed values to work with more stocks. This is however optimized for SPY.
Also optimized pin bar exit height strategy.

版本注释:

Turned off pin bar exits as closing trades too early

版本注释:

Fixed missing indicator to work on % instead of fixed value.

版本注释:

Now can see Pin Bar pivot signals vs typical pivot signal

版本注释:

Optimized Stochastic to minimize trades (Pivot Down > 0 and Pivot Up <90)
Won't close trade in first 3 minutes if 5 min EMA < 13 EMA for Pivot Up or 5 min 5 EMA > 13 EMA for Pivot Down
No trades in first 10 minutes of day and last 5 minutes of day
Close all positions in last 3 minutes of day
From 1PM until 3PM will now take HOD & LOD trades
Now showing Exit Longs if stopped as Exit Longs Stopped and if Exist Shorts if stopped as Exit Shorts Stopped

版本注释:

Now give flexibility to enable and disable trading times in Inputs. They are broken into 5 segments:
9:30 until 11 (default on)
11 until noon (default off)
Lunchtime (default on)
1 until 3 (default on)
Power Hour (default off)
This way if you don't want alerts you won't get bothered during these times.
Improved logic exiting trades to take profit sooner but if trending to allow it to run

版本注释:

Had to remove Stoichastic... ugh.

版本注释:

Cleaned-up bug in 1 to 3 5 min 5/13 diff

版本注释:

Had to remove volume.

版本注释:

Enabled all timeframes for trading by default. Can disable in Inputs. 11-12 and Power Hour are typically bad times to trade.
Made one parameters missing descriptive and on by default. Can disable in Inputs if clutters screen with ability to toggle if interested.

版本注释:

Critical Update:
Discovered that exiting partial positions weren't occurring properly unless users had proper strategy of percent of equity selected vs the default. Updated strategy in order to approx. tune for a pair of 1 DTE ATM option contracts being bought/sold on SPY. Exit Partial refers to selling one contract and holding runner until Exit flashes for remaining.
initial_capital=1800000, default_qty_type=strategy.percent_of_equity, default_qty_value=15, pyramiding=0, commission_type=strategy.commission.cash_per_order, commission_value=1.3

版本注释:

Default state of missing 1 parameter from Pivot Up and Pivot Down signals, silver Ls and Ss, will now only show recent reasons with ability to hover over and have tool tip explain why position wasn't initiated.
To see reasons for all time, simply check option box in Input (default is unchecked to show as stated above).

版本注释:

Critical Update:
Discovered a few repaints occurring so added barstate.isconfirmed to eliminate.
Also check out new SPY 4 Hour Swing Trader! It works great with SPXL!!!

版本注释:

Switched First 90 minutes of trading following one set of conditions to first 60 minutes. This in turn has next 30 minutes follow new conditions which now make 10: 30 until lunch profitable time period. Suggest not trading during power hour as this is still loses money. Also, forcing trades once over 2x to take profits vs adhere to limit order which improves profitability as well. Updated first hour of trading to lime and next 90 minutes to green.

版本注释:

Fixed partial profit logic.

版本注释:

After re-evaluating, removed partial logic as now able to re-enter if continuing trend after counter-trend.

版本注释:

Critical Update:
Was not detecting long properly and was shorting on false signals. Fixed parameters.

版本注释:

Tweaked exiting trade to improve profit

版本注释:

Updated trading pivot triangle colors for pivot signals based on how successful:
9:30 until 10:30 -> Green
10:30 until Noon -> Red (In backtesting didn't benefit)
1:00 until 3:00 -> Lime
3:00 until 4:00 -> Lime

Removed unnecessary notes

版本注释:

Updated to take more high and low of day trades first thing in morning (until noon) and during 1PM until 3PM as well.
Will start trading after first 5 minutes after open.

版本注释:

Added Stop Loss & Take Profit to Inputs
Added Configurable date that is now tuned for 4 SPY 1 DTE option contracts that are to see profit or loss for day
Found missing barstate.isconfirmed's that should correct any repaints

版本注释:

Tweaked 5 minute differences between 5 and 13 EMAs. Eventually may rethink this part of strategy as it seems to change. Maybe this will be the last time for the tweak?

版本注释:

Simplified getting into long trades by only including 5 ema > than 13 ema with 5 min 5 ema > 5 min 13 ema and RSI Signal < 49
and simplified getting into long trades by only including 5 ema < 13 ema with 5 min 5 ema < 5 min 13 ema and RSI Signal > 60

No longer need to show prep signals!

版本注释:

Added alert messages to strategies so when alerts appear they can be more descriptive and show message indicating what action to take.

Add the following code to your alert:
{{ticker}} @ {{time}}
{{strategy.order.action}}
{{strategy.order.alert_message}}

版本注释:

Forgot to remove indicators and lines.

版本注释:

Trying to see if removing plotshape fixes alerts. Also removed excess commenting.