Options Score / Algo Trading

D

Drak

New member
Good day to all.
I created a lower chart to ToS charts that scores the option based on a series of checks. These checks where 'made' by u/dj_options from reddit r/algotrading, original post can be found here:
https://www.reddit.com/r/algotrading/comments/ldkt1z
The chart plots the score, and displays the all of the checks values in labels, color coded for pass/fail

Here are all the checks for B-Score. If they are True, the counter gets increased by 1.

RSI <=40

Volume >=100

Filled price <= Lower Bollinger band

SMA ( 5 days) <= VWAP

Spread >=0.05 (This might change in future)

Filled price = Current Bid

IV<=40

Today gain <= 0

Code:
declare lower;

input p = FundamentalType.CLOSE;
input length = 20;
input averageType = AverageType.SIMPLE;

def _rsi = if IsNaN(RSI()) then 0 else RSI();
def step1 = If(_rsi <= 40, 1, 0);
def _vol = if IsNaN(volume()) then 0 else volume();
def step2 = If(_vol >= 100, 1, 0);

def filled = if IsNaN(close(priceType = PriceType.LAST)) then 0 else close(priceType = PriceType.LAST);
def lowerband = if IsNaN(MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2;

def step3 = If(filled <= lowerband, 1, 0);

def sma5 = if IsNaN(MovingAverage(averageType,Fundamental(fundamentalType = p), 5)) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), 5);
def vw = vwap();
def step4 = If(sma5 <= vw, 1, 0);


def bid = if IsNaN(close(priceType = PriceType.BID)) then 0 else close(priceType = PriceType.BID);
def ask = if IsNaN(close(priceType = PriceType.ASK)) then 0 else close(priceType = PriceType.ASK);

def spread = ask - bid;
def step5 = If(spread >= 0.05, 1, 0);

def step6 = If(filled equals bid, 1, 0);
def iv = if IsNaN(imp_volatility(getUnderlyingSymbol(), priceType = PriceType.LAST) * 100) then 0 else imp_volatility(getUnderlyingSymbol(),priceType = PriceType.LAST) * 100;

def step7 = if(iv <= 40, 1, 0);


def dailyOpen = if IsNaN(open(period = AggregationPeriod.DAY)) then (if isNaN(open()) then 0 else open()) else open(period = AggregationPeriod.DAY);

def todaysGain = filled - dailyOpen;
def step8 = If(todaysGain <= 0, 1, 0);

def put = IsPut();
def putcheck = if put then -8 else 0;
def score = step1 + step2 + step3 + step4 + step5 + step6 + step7 + step8 + putcheck;
plot plotscore = score;

AddLabel(yes, if put then "PUT" else "CALL", if put then Color.ORANGE else Color.GREEN);
AddLabel(yes, "Score:" + score, if score >= 6 then if put then Color.RED else Color.GREEN else Color.RED);
AddLabel(yes, "RSI:" + _rsi, if _rsi <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Vol:" + _vol, if _vol >= 100 then Color.GREEN else Color.RED);
AddLabel(yes, "Bolngr:" + filled + "<=" + lowerband, if filled <= lowerband then Color.GREEN else Color.RED);
AddLabel(yes, "SMAVWAP:" + sma5 + "<=" + vw, if sma5 <= vw then Color.GREEN else Color.RED);
AddLabel(yes, "Spread:" + bid + "|" + ask, if spread >= 0.05 then Color.GREEN else Color.RED);
AddLabel(yes, "Filled:" + filled + "=" + bid, if filled equals bid then Color.GREEN else Color.RED);
AddLabel(yes, "IV:" + iv, if iv <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Gain:" + todaysGain, if todaysGain <= 0 then Color.GREEN else Color.RED);



Would very very very much appreciate some help. Can someone tell my why this Code is not working and could improve it. Thanks
 
Last edited:
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Drak said:
Good day to all.
I created a lower chart to ToS charts that scores the option based on a series of checks. These checks where 'made' by u/dj_options from reddit r/algotrading, original post can be found here:
https://www.reddit.com/r/algotrading/comments/ldkt1z
The chart plots the score, and displays the all of the checks values in labels, color coded for pass/fail

Here are all the checks for B-Score. If they are True, the counter gets increased by 1.

RSI <=40

Volume >=100

Filled price <= Lower Bollinger band

SMA ( 5 days) <= VWAP

Spread >=0.05 (This might change in future)

Filled price = Current Bid

IV<=40

Today gain <= 0

Code:
declare lower;

input p = FundamentalType.CLOSE;
input length = 20;
input averageType = AverageType.SIMPLE;

def _rsi = if IsNaN(RSI()) then 0 else RSI();
def step1 = If(_rsi <= 40, 1, 0);
def _vol = if IsNaN(volume()) then 0 else volume();
def step2 = If(_vol >= 100, 1, 0);

def filled = if IsNaN(close(priceType = PriceType.LAST)) then 0 else close(priceType = PriceType.LAST);
def lowerband = if IsNaN(MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2;

def step3 = If(filled <= lowerband, 1, 0);

def sma5 = if IsNaN(MovingAverage(averageType,Fundamental(fundamentalType = p), 5)) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), 5);
def vw = vwap();
def step4 = If(sma5 <= vw, 1, 0);


def bid = if IsNaN(close(priceType = PriceType.BID)) then 0 else close(priceType = PriceType.BID);
def ask = if IsNaN(close(priceType = PriceType.ASK)) then 0 else close(priceType = PriceType.ASK);

def spread = ask - bid;
def step5 = If(spread >= 0.05, 1, 0);

def step6 = If(filled equals bid, 1, 0);
def iv = if IsNaN(imp_volatility(getUnderlyingSymbol(), priceType = PriceType.LAST) * 100) then 0 else imp_volatility(getUnderlyingSymbol(),priceType = PriceType.LAST) * 100;

def step7 = if(iv <= 40, 1, 0);


def dailyOpen = if IsNaN(open(period = AggregationPeriod.DAY)) then (if isNaN(open()) then 0 else open()) else open(period = AggregationPeriod.DAY);

def todaysGain = filled - dailyOpen;
def step8 = If(todaysGain <= 0, 1, 0);

def put = IsPut();
def putcheck = if put then -8 else 0;
def score = step1 + step2 + step3 + step4 + step5 + step6 + step7 + step8 + putcheck;
plot plotscore = score;

AddLabel(yes, if put then "PUT" else "CALL", if put then Color.ORANGE else Color.GREEN);
AddLabel(yes, "Score:" + score, if score >= 6 then if put then Color.RED else Color.GREEN else Color.RED);
AddLabel(yes, "RSI:" + _rsi, if _rsi <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Vol:" + _vol, if _vol >= 100 then Color.GREEN else Color.RED);
AddLabel(yes, "Bolngr:" + filled + "<=" + lowerband, if filled <= lowerband then Color.GREEN else Color.RED);
AddLabel(yes, "SMAVWAP:" + sma5 + "<=" + vw, if sma5 <= vw then Color.GREEN else Color.RED);
AddLabel(yes, "Spread:" + bid + "|" + ask, if spread >= 0.05 then Color.GREEN else Color.RED);
AddLabel(yes, "Filled:" + filled + "=" + bid, if filled equals bid then Color.GREEN else Color.RED);
AddLabel(yes, "IV:" + iv, if iv <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Gain:" + todaysGain, if todaysGain <= 0 then Color.GREEN else Color.RED);



Would very very very much appreciate some help. Can someone tell my why this Code is not working and could improve it. Thanks
Click to expand...
What is it not doing for you?
 
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Drak said:
Good day to all.
I created a lower chart to ToS charts that scores the option based on a series of checks. These checks where 'made' by u/dj_options from reddit r/algotrading, original post can be found here:
https://www.reddit.com/r/algotrading/comments/ldkt1z
The chart plots the score, and displays the all of the checks values in labels, color coded for pass/fail

Here are all the checks for B-Score. If they are True, the counter gets increased by 1.

RSI <=40

Volume >=100

Filled price <= Lower Bollinger band

SMA ( 5 days) <= VWAP

Spread >=0.05 (This might change in future)

Filled price = Current Bid

IV<=40

Today gain <= 0

Code:
declare lower;

input p = FundamentalType.CLOSE;
input length = 20;
input averageType = AverageType.SIMPLE;

def _rsi = if IsNaN(RSI()) then 0 else RSI();
def step1 = If(_rsi <= 40, 1, 0);
def _vol = if IsNaN(volume()) then 0 else volume();
def step2 = If(_vol >= 100, 1, 0);

def filled = if IsNaN(close(priceType = PriceType.LAST)) then 0 else close(priceType = PriceType.LAST);
def lowerband = if IsNaN(MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), length) - StDev(close, 20) * 2;

def step3 = If(filled <= lowerband, 1, 0);

def sma5 = if IsNaN(MovingAverage(averageType,Fundamental(fundamentalType = p), 5)) then 0 else MovingAverage(averageType, Fundamental(fundamentalType = p), 5);
def vw = vwap();
def step4 = If(sma5 <= vw, 1, 0);


def bid = if IsNaN(close(priceType = PriceType.BID)) then 0 else close(priceType = PriceType.BID);
def ask = if IsNaN(close(priceType = PriceType.ASK)) then 0 else close(priceType = PriceType.ASK);

def spread = ask - bid;
def step5 = If(spread >= 0.05, 1, 0);

def step6 = If(filled equals bid, 1, 0);
def iv = if IsNaN(imp_volatility(getUnderlyingSymbol(), priceType = PriceType.LAST) * 100) then 0 else imp_volatility(getUnderlyingSymbol(),priceType = PriceType.LAST) * 100;

def step7 = if(iv <= 40, 1, 0);


def dailyOpen = if IsNaN(open(period = AggregationPeriod.DAY)) then (if isNaN(open()) then 0 else open()) else open(period = AggregationPeriod.DAY);

def todaysGain = filled - dailyOpen;
def step8 = If(todaysGain <= 0, 1, 0);

def put = IsPut();
def putcheck = if put then -8 else 0;
def score = step1 + step2 + step3 + step4 + step5 + step6 + step7 + step8 + putcheck;
plot plotscore = score;

AddLabel(yes, if put then "PUT" else "CALL", if put then Color.ORANGE else Color.GREEN);
AddLabel(yes, "Score:" + score, if score >= 6 then if put then Color.RED else Color.GREEN else Color.RED);
AddLabel(yes, "RSI:" + _rsi, if _rsi <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Vol:" + _vol, if _vol >= 100 then Color.GREEN else Color.RED);
AddLabel(yes, "Bolngr:" + filled + "<=" + lowerband, if filled <= lowerband then Color.GREEN else Color.RED);
AddLabel(yes, "SMAVWAP:" + sma5 + "<=" + vw, if sma5 <= vw then Color.GREEN else Color.RED);
AddLabel(yes, "Spread:" + bid + "|" + ask, if spread >= 0.05 then Color.GREEN else Color.RED);
AddLabel(yes, "Filled:" + filled + "=" + bid, if filled equals bid then Color.GREEN else Color.RED);
AddLabel(yes, "IV:" + iv, if iv <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Gain:" + todaysGain, if todaysGain <= 0 then Color.GREEN else Color.RED);



Would very very very much appreciate some help. Can someone tell my why this Code is not working and could improve it. Thanks
Click to expand...
You can add the following code before the the first addlabel:
addlabel(1," " + step1 + " " + step2 + " " + step3 +" " +step4 + " " + step5 + " " + step6 + " " + step7 + " " + step8 +" " + putcheck);
Then you can tweak each individual step to get the results you want.
Hope this helps.
 
Last edited:
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anugraham said:
Awesome ideas and work. The labels work now. How do we interpret the labels? For example, for SPY it shows gain in RED 4.68
Click to expand...

Since this is an implementation of the algo linked to this thread. The Original Poster (dj_options) mentioned that he takes a trade whenever the gain is less than 0 (green label) or as close to 0 and the Score is >= 6 or 7 (higher number is the most probable trade).
 
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jhilou said:
You can add the following code before the the first addlabel:
addlabel(1," " + step1 + " " + step2 + " " + step3 +" " +step4 + " " + step5 + " " + step6 + " " + step7 + " " + step8 +" " + putcheck);
Then you can tweak each individual step to get the results you want.
Hope this helps.
Click to expand...
I cleaned the labels : (delete all addlabel at the end and replace with this):
addlabel(1," " + step1 + " " + step2 + " " + step3 +" " +step4 + " " + step5 + " " + step6 + " " + step7 + " " + step8 +" " + putcheck, color.yellow);
AddLabel(yes, if put then "PUT" else "CALL", if put then Color.ORANGE else Color.GREEN);
AddLabel(yes, "Score:" + round(score,2), if score >= 6 then if put then Color.RED else Color.GREEN else Color.RED);
AddLabel(yes, "RSI:" + round(_rsi,2), if _rsi <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Bar Vol:" + _vol, if _vol >= 100 then Color.GREEN else Color.RED);
AddLabel(yes, "LBB:" + round(filled,2) + "<=" + round(lowerband,2), if filled <= lowerband then Color.GREEN else Color.RED);
AddLabel(yes, "SMAVWAP:" + round(sma5,2) + "<=" + round(vw,2), if sma5 <= vw then Color.GREEN else Color.RED);
AddLabel(yes, "Spread:" + bid + "|" + round(ask,2), if spread >= 0.05 then Color.GREEN else Color.RED);
AddLabel(yes, "Filled:" + round(filled,2)+ "=" + round(bid,2), if filled equals bid then Color.GREEN else Color.RED);
AddLabel(yes, "IV:" + round(iv,2), if iv <= 40 then Color.GREEN else Color.RED);
AddLabel(yes, "Gain:" + round(todaysGain,2), if todaysGain <= 0 then Color.GREEN else Color.RED);

I do weekly options and don't see how this helps you make any money.
Good luck!
 
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