Weekly Short Strangle Rules Using ATR-Based Strikes and Price Stops
Summary
This script describes a weekly short strangle framework that places call and put strike levels around a center based on VWAP or EMA. It offsets the center by a multiple of ATR, rounds the levels to a selected strike interval, and can skip entries when the resulting width is too narrow. Entries are limited to selected weekdays and an intraday window in India time, with optional SuperTrend and RSI filters and a one-trade-per-week limit.
The script estimates option premiums from distance to the strikes, sets price-based stop levels using a configurable multiple, and exits on a stop or selected expiry-day time. It also plots strike levels, stop levels, a profit-zone fill, signals, and a dashboard. These are indicator and strategy mechanics rather than evidence of profitability: the excerpt provides no backtest results. Its option legs are represented by opposite positions in the underlying chart instrument, and premium estimates use a simple delta approximation, so its simulated trades do not model actual option prices or payoff behavior faithfully.
Key ideas
- Strike levels are placed above and below a VWAP or EMA center by an ATR-based offset, then rounded to a chosen interval.
- Entries can be restricted by weekday, time window, minimum width, RSI, and SuperTrend-related conditions.
- A weekly flag limits the strategy to one entry, while price-level stops and a scheduled expiry exit manage closure.
- The script approximates option premium and represents option legs with underlying positions, limiting the realism of its backtest.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.