SPY Scalping with 5/9 SMA Crossovers, Volume, and a Time Filter

Summary

This SPY intraday strategy uses crossovers between 5-period and 9-period simple moving averages to signal long and short entries. It requires current volume to exceed the prior bar’s volume and restricts new entries to a morning window from 9:32 to 11:12 Eastern time. The script plots both averages and allows position management throughout the session.

For each position, it sets a fixed price target of $0.40 and a stop $0.50 from the average entry price, reversing those levels for short trades. The accompanying description says it is intended for a 3-minute chart and use with SPY 0DTE options, though the code places strategy orders on the underlying chart and does not model option contracts. No backtest results or performance evidence are supplied. The fixed price distances, simple prior-bar volume comparison, and narrow entry window are design choices that would need testing across market conditions, with transaction costs and options execution considered separately.

Key ideas

• Long entries occur when the 5-period SMA crosses above the 9-period SMA while volume rises from the prior bar.
• Short entries use the reverse moving-average crossover with the same volume condition.
• New entries are limited to 9:32–11:12 Eastern time, while exits remain active outside that window.
• The strategy sets a $0.40 take-profit distance and a $0.50 stop-loss distance from entry.
• The description suggests a 3-minute chart and SPY 0DTE options, but the script itself models chart-price trades.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.