Performance Summary

This is a sophisticated options trading algorithm called "Skew Hunter" that focuses on exploiting volatility skew in the NIFTY options market. The algorithm monitors both ATM (At-The-Money) and OTM (Out-of-The-Money) options across different strike prices, calculating various metrics including implied volatility (IV), volume ratios, and open interest changes. It uses two main alpha signals: the first alpha combines volume ratios and open interest changes for OTM calls and ITM puts, while the second alpha measures the IV skew between OTM and ITM options for both calls and puts. The trading logic is triggered when both alpha signals align in extreme regions (alpha > 0.75 and alpha2 > 0.8 for long calls, or alpha < 0.25 and alpha2 < 0.2 for long puts). The algorithm only trades during specific market hours (10:15 AM to 2:15 PM) and implements strict risk management rules: it won't enter trades if the option price is below ₹20, sets a 40% stop-loss from the entry price, and automatically squares off positions at the end of the trading day. The strategy is implemented in two versions: a regular version and a trailing stop-loss (TSL) version, both of which are managed through a database system that prevents multiple active trades from running simultaneously.