Performance Summary

This algorithm, named "Delta-Shift Credit Spread Expiry", is designed to identify opportunities to profit from short-term directional movements in the NIFTY 50 index using a combination of options data and proprietary alpha signals. The core strategy relies on analyzing several key factors, including implied volatility (IV) skew changes, option volume ratios, and structural market strength, to determine when to initiate a credit spread position. The algorithm calculates two alpha signals, "alpha" and "alpha2", combining entropy decrease, volatility stress, structural strength, and directional bias based on option chain dynamics. Based on these calculated signals, the algo either looks to initiate a bullish or bearish credit spread. The algorithm specifically trades credit spreads on NIFTY 50 index options, focusing on near-expiry contracts to capitalize on the time decay of options premiums. A credit spread involves simultaneously buying and selling options at different strike prices within the same expiry. The strategy aims to profit from sideways market moves or where the price of the underlying asset i.e. Nifty 50 remains between the strike prices of the options sold and bought. If the “alpha” and “alpha2” signals suggest a bullish trend, it will initiate a credit put spread (shorting a put option and buying a further out-of-the-money put option to hedge against downside risk). Conversely, if the signals are bearish, it will initiate a credit call spread (shorting a call option and buying a further out-of-the-money call option to hedge against upside risk). The algorithm incorporates risk management measures such as stop-loss orders and target profit levels, adjusting position sizes based on market conditions and predefined risk parameters. The algo checks for trading between 10:15AM and 2:15PM.