TICK Scalping strategy, SPY 1 min

1 min chart scalping version of my other TICK strategy with adjusted parameters and additional entry and exit conditions better suited for 1 min SPY chart. Please refer to my original TICK strategy for explanation.

Important notes:
1. This strategy is designed for same day SPY option scalping on the 1 min chart. All profit shown in back testing report is based on Profit/Loss (P/L) estimates from trading options with approximately 6 weeks of data. By default, it is set to 10 option contracts. By default the initial capital is set to $5000. Pyramiding is set to 3.
2. This strategy works better with non-extended market data.
3. This strategy is mainly developed for SPY trading on 1 min chart, it probably will not be very profitable with other tickers or time frame without tweaking all the parameters first.

Cheers and enjoy~! Let's all make money~!!

版本注释:

Updated strategy description for clarification:

Initial capital: $5000
Pyramiding: 3
Commission: *set to approximate for 10 option contracts
Back testing range: Feb 22 - Apr 4, 2022

How it works:
When trading the indices, many rely on the TICK for market directions. This strategy is a trend following strategy that uses a combination of conditions using the following indicators:
- TICK
- RSI
- VIX volatility index
- EMA

For entries, the conditions are:
1. TICK moving average crossover with a delayed signal line
2. Bullish or bearish RSI signal, RSI > 50 for bullish , < 50 for bearish
3. VIX must be above a certain threshold to take advantage of high market volatility
4. Price must be on top of EMA line for long, and below for short
5. Price has not moved significantly already (this delta can be set)

For exits, there are 3 scenarios:
1. Stop loss set by a percentage of the daily ATR value
2. Trend changes on the TICK and the RSI
3. Bearish or bullish divergence on price with TICK

This strategy automatically signal to close all trades at 3:50 pm EST at the end of the day.

Extras:
- There is an option to show P/L for reinvesting profits

版本注释:

Made some enhancement to significantly reduce drawdowns and expanded entry opportunities:
1. Added option to trade TICK divergences (regular bullish / bearish divergences)
2. Added option to use Stochastic RSI for optimal entry (ie. when the stochastic RSI is in the lower range for longs, upper range for short)
3. Added option to "chase" the trend after an exit is the conditions are still favourable
4. Added option to hold 1/2 positions overnight on Tues / Thurs

All of these options can be turned on/off~

版本注释:

Market is always changing, and strategy should adapt too. Updating default parameters to better suit the current market conditions. Mainly determining factor is based on Net Profit from back testing results.
- Trade with price target -> default to ON
- % ATR for price target -> changed from 23 to 17.5
- RSI signal length -> changed from 5 to 6
- RSI moving average line -> changed form SMA to WMA method
- Removed pause trade on significant price movement

Back testing results comparison between previous version vs new version, from Apr 18 to May 27, 2022:
- Net profit -> 56.45% to 122.57%
- Total trades -> 83 to 112
- % Profitable -> 56.63% to 54.46%
- Profit Factor -> 1.299 to 1.505
- Max drawdown -> 34.76% to 24.55%

Overall profitability should have improved~ DM me if you would like access to old version source code.

Let's all make $$$~~!!!

版本注释:

Added option to use as an indicator only (all strategy entry/exit signals disabled)