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Scalium Options Setup by Jitendra Jain and Yogesh Nanda

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Scalium Options Setup by Jitendra Jain and Yogesh Nanda.
This strategy works on Options Buying and Options Selling using VWAP, RSI, OI, Volume

Also, know as :
  1. Options algo trading
  2. Options buying software or Options selling software
DISCLAIMER:
  1. We, Myalgomate Technologies LLP, are a technology provider platform and do not act/intend to act as a wealth manager/ advisor in any capacity.
  2. This tool is an automated version of the strategy available in the public domain.
    We neither endorse this strategy nor provide backtest data or any standard configuration.
    All the parameters are configurable and user needs to decide their own parameter to use the software.
  3. The intention behind automating this strategy is to help those traders who are already trading on a similar strategy and want to automate it.

19,999.00 +18% GST

Strategy Details

Instruments to trade:

  • Index Options

Intraday or Positional:

  • Intraday

Order Type:

  • Entry – MIS market, SL – SLM
  • Entry and Exit both happen on market price (Best available BID – ASK price).

Entry Conditions:

  • The signal is scanned on a candle closing based. Signal scanning and trading both happen on the option.

Buy-side:

  • Price > VWAP AND
  • Volume >= Volume Multiplier * (SMA of Volume) AND
  • RSI > Overbought AND
  • OI < OI Multiplier * (SMA of OI) AND
  • The latest candle should satisfy all the above conditions and the previous candle should not satisfy all the above conditions.

Sell-side:

  • Price < VWAP AND
  • Volume >= Volume Multiplier * (SMA of Volume) AND
  • RSI < Oversold AND
  • OI > OI Multiplier * (SMA of OI) AND
  • The latest candle should satisfy all the above conditions and the previous candle should not satisfy all the above conditions.

Target and SL and trailing:

  • Users can configure the following parameters for Target, SL, and Trailing.
  • All parameters can be set in either a % basis or point basis.
    • Target % / Target Points
    • SL % / SL Points
    • Trail % / Trail Points
    • Trail by % / Trail by Points
  • If the user has set parameters on a % basis, it will convert them into points based on the LTP at the time of entry and % values.
  • For example, if LTP at the time of entry is 100, Target % = 10% and SL % = 5%, then target points will be equal to 100 * 10% = 10 points and SL Points will be equal to 100 * 5% = 5 points.
  • In the above example, the target price will be equal to 110, SL price will be equal to 95.

Order Type Selection for Stoploss (SL-M or SL):

SL-M Order:
When you use SL-M order, it always gets filled. But there are chances of slippages.

SL order:
When you use SL order stop loss, the slippage will be limited based on the limit price of order stop loss. But there are chances that it may not get filled due to illiquidity. We have given the following mechanism to handle this:
SL price = 100
SL order buffer % = 10%
Modify Seconds = 10
Entry Type= Sell

With the above parameters, your trigger price for SL order will be 100, limit price will be 110. So when the price reaches 100, your SL order may get filled anywhere between 100 to 110. If there are no sellers available in this range, then your order will be converted into a limit order. After 10 seconds, if the order is open, it will modify it to market.

You can tweak the above parameters as per your requirement to get the best results.
If the broker’s API fails due to any reason while modifying the SL order to market after X seconds, then your position will be open without any SL. In this type of scenario, you will need to manage and exit manually. If you’re reluctant to use an SL order due to this, then you can use an SL-M order.

 

Trailing Logic:

Example 1: Equal distance trailing

For trailing, if LTP = 100, Initial SL % = 10% Trail % = 5%, and Trail by % = 5%, then it will trail like following:

  • Trail points = 100 * 5% = 5
  • Trail by points = 100 * 5% = 5
  • Initial SL = 100 – (100*10%) = 90
  • When LTP reaches 105, it will trail the SL to 95.
  • When LTP reaches 110, it will trail the SL to 100.
  • When LTP reaches 115, it will trail the SL to 105. And so on…

Example 2: Unequal distance trailing

For trailing, if LTP = 100, Initial SL % = 10% Trail % = 5%, and Trail by % = 3%, then it will trail like following:

  • Trail points = 100 * 5% = 5
  • Trail by points = 100 * 3% = 3
  • Initial SL = 100 – (100*10%) = 90
  • When LTP reaches 105, it will trail the SL to 93.
  • When LTP reaches 110, it will trail the SL to 96.
  • When LTP reaches 115, it will trail the SL to 99. And so on…

Common Buy-Sell Conditions Flags:

Buy Sell Conditions

  • These flags are applicable to all the symbols added.
  • If you want to enable/disable the condition of any particular indicator, you can do it from this window.

Adding Symbols:

For single contract selection:

  • Select Contract has two radio buttons, if the user selects Single Contract, then in drop down user will be able to select individual contract.

Single Contract

For Multiple contract selection:

  • Select Contract has two radio buttons, if the user selects Underlying, then based on the underlying, Expiry, Instrument Type, and strike price selection. If the ATM strike is checked, then it will add ATM contracts.

If No of the OTM contracts mentioned is 2, then it will add two OTM contracts from the ATM. Similarly, for ITM contracts.

Multiple Contract

Exit Conditions:

  • Target
  • SL
  • User exits position
  • Time-based exit
  • Max Profit / Max Loss

Quantity Logic:

  • As per set by the user

Special Notes:

  • If you add multiple options contracts, then it will take trade in all of them as and when the signal comes.

Configurable Parameters

Global Configurable Parameters:
(These parameters are common for all the symbols/underlying added for the strategy.)
1. Start Time
2. Stop Order Placement Time
3. Exit Time
4. Timeframe
5. Max Profit
6. Max Loss
7. Place Orders

Configurable Parameters at symbol level:
(These parameters can be configured at symbol/stock/options level.)
1. No of lots
2. Entry Direction
3. SL % / SL Points
4. Target % / Target Points
5. Trail % / Trail Points
6. Trail by % / Trail by Points
7. Max Price
8. Min Price
9. Volume SMA Period
10. Volume Multiplier
11. RSI Period
12. RSI Overbought
13. RSI oversold
14. OI SMA Period
15. Buy Condition flags:
a. VWAP
b. Volume
c. RSI
d. Open Interest
16. Sell Condition flags:
a. VWAP
b. Volume
c. RSI
d. Open Interest

Salient Features

Screens:

  1. Signal Window
  2. Order Book
  3. Position Book
  4. Parameter Window
    • The Signal window shows the live signals generated and all different values like Entry Price, Target Price, SL Price, Quantity, etc. depending upon the strategy.
    • Order Book shows all the orders placed by the software.
    • Position Book shows the live MTM and open positions generated due to software.
    • Parameter Window displays all the parameters set by the user.

Some Other Functionalities:

  • Paper trading functionality with PNL and order book generation.
  • User can save the configuration in case if he wants to trade the same configuration every day

Pre Requisites

Supported Broker:

  • Zerodha ( Required API Subscription of Interactive + Historical )

Infrastructure :

  • Cloud Machine ( AWS Provides it for Free ) can be used in Windows / MAC System
  • If you opt for a Cloud machine then there is no other requirement related to internet speed or min computer requirement.
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