Scalium Options Setup by Jitendra Jain and Yogesh Nanda

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:

• 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.

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.

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.