Intraday Short Strangle Simulation with Breakout Repairs and Trailing Exits
Summary
The strategy script models a two-sided short option position around an underlying price, then reacts when price crosses an upper or lower strike boundary. It closes the threatened short leg and opens a larger long repair position in the corresponding direction. A peak-based exit closes each repair after its modeled value retreats by a specified fraction. The strategy also tracks open profit, applies a loss threshold and a profit drawdown exit, enforces a time-based close, and waits through a cooldown before starting another cycle.
The option premiums are simulated from the underlying’s change relative to the cycle’s starting price; they are not derived from live option quotes or a pricing model. The displayed code’s parameters and logic do not fully match the prose overview: for example, the code uses short entries, a 600-point strike offset, and a 25% repair-price retracement, while the overview describes different timings and thresholds. No backtest results are supplied, so the rules should be treated as a schematic strategy implementation rather than evidence of profitability.
Key ideas
- The script opens short call- and put-side legs and monitors price against strike boundaries.
- A boundary breach closes the exposed short leg and opens a larger directional repair position.
- Repair positions exit after a specified decline from their tracked peak value.
- Global exits use open-profit limits, a profit drawdown condition, a timed close, and a re-entry cooldown.
- Option values are modeled from underlying price movement, and the script’s logic differs from parts of its prose description.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.