Options Strategy V2.0 by olaszvandor
By olaszvandor
Performance Metrics
- Author: olaszvandor
- Symbol: AMEX:SPY
- Timeframe: 5 minutes
- Net P&L: +30,810.00 USD (+30.81%)
- Win Rate: 52.6%
- Profit Factor: 2.026
- Max Drawdown: 1,870.00 USD (1.67%)
- Total Trades: 228
- Sharpe Ratio: 0.541
Description
📈 Options Strategy V2.0 – Intraday Reversal-Resilient Momentum SystemOverview:This strategy is designed specifically for intraday SPY, TSLA, MSFT, etc. options trading (0DTE or 1DTE), using high-probability signals derived from a confluence of technical indicators: EMA crossovers, RSI thresholds, ATR-based risk control, and volume spikes. The strategy aims to capture strong directional moves while avoiding overtrading, thanks to a built-in cooldown logic and optional time/session filters.⚙️ Core ConceptThe strategy executes trades only in the direction of the prevailing trend, determined by short- and long-term Exponential Moving Averages (EMA). Entry signals are generated when the Relative Strength Index (RSI) confirms momentum in the direction of the trend, and volume spikes suggest institutional activity.To increase adaptability and user control, it includes a highly customizable parameter set for both long and short entries independently.📌 Key Features✅ Trend-Following LogicLong entries are only allowed when EMA(short) > EMA(long)Short entries are only allowed when EMA(short) < EMA(long)✅ RSI ConfirmationLong: Requires RSI crossover above a configurable thresholdShort: Requires RSI crossunder below a configurable thresholdOptional rejection filters: Entry blocked above/below specific RSI extremes✅ Volume Spike FilterConfirms institutional participation by comparing current volume to an average multiplied by a user-defined factor.✅ ATR-Based Risk ManagementBoth Stop Loss (SL) and Take Profit (TP) are dynamically calculated using ATR × a multiplier.TP/SL ratio is fully configurable.✅ Cooldown ControlAfter every trade, the system waits for a set number of bars before allowing new entries.This prevents overtrading and increases signal quality.Optionally, cooldown is ignored for reversal trades, ensuring the system can react immediately to a confirmed trend change.✅ Candle Body Filter (Noise Control)Avoids trades on candles with too small bodies relative to wicks (often noise or indecision candles).✅ VWAP Confirmation (Optional)Ensures price is trading above VWAP for long entries, or below for short entries.✅ Time & Session FiltersTrades only during regular market hours (09:30–16:00 EST).No-trade zone (e.g., 14:15–15:45 EST) to avoid low-liquidity traps or late-day whipsaws.✅ End-of-Day Auto CloseAll open positions are force-closed at 15:55 EST, protecting against overnight risk (especially relevant for 0DTE options).📊 Visual AidsEMA plots show trend directionVWAP line provides real-time mean-reversion contextStop Loss and Take Profit lines appear dynamically with each tradeAlerts notify of entry signals and exit triggers🔧 Customization PanelNearly every element of the strategy can be tailored:EMA lengths (short and long, for both sides)RSI thresholds and lengthATR length, SL multiplier, and TP/SL ratioVolume spike sensitivityMinimum EMA distance filterCandle body ratio filterSession restrictionsCooldown logic (duration + reversal exception)This makes the strategy extremely versatile, allowing both conservative and aggressive configurations depending on the trader’s profile and the market context.📌 Example Use Case: SPY Options (0DTE or 1DTE)This system was designed and tested specifically for SPY and other intraday options trading, where:Delta is around 0.50 or higherTrades are short-lived (often 1–5 candles)You aim to trade 1–3 signals per day, filtering out weak entries🚫 Important NotesIt is not a scalping strategy; it relies on confirmed breakouts with trend supportNo pyramiding or re-entries without cooldown to preserve risk integrityShould be used with real-time alerts and manual broker execution 📈 Alerts Included📈 Long Entry Signal 📉 Short Entry Signal⚠️ Auto-closed all positions at 15:55 EST✅ Proven Settings – Real Trades + Backtest ResultsThe current version of the strategy includes the optimal settings I’ve arrived at through extensive backtesting, as well as 3 months of real trading with consistent profitability. These results reflect real-world execution under live market conditions using 0DTE SPY options, with disciplined trade management and risk control.🧠 Final ThoughtsOptions Strategy V2.0 is a robust, highly tunable intraday strategy that blends momentum, trend-following, and volume confirmation. It is ideal for disciplined traders focused on SPY or other 0DTE/1DTE options, and it includes guardrails to reduce false signals and improve execution timing.Perfect for those who seek precision, flexibility, and risk-defined setups—not blind automation.