Performance Summary

This algorithm, named Delta-Rotation Credit Spread Expiry, aims to capitalize on short-term market inefficiencies by identifying potential credit spread opportunities in Nifty options. The core strategy revolves around analyzing various option chain parameters like implied volatility (IV), option greeks, market energy (Hamiltonian), entropy, and price action to gauge the overall market sentiment and identify potentially mispriced options. This is done by calculating an 'alpha' value, which is derived from a combination of IV, curvature, Hamiltonian, eigenvalues, entropy, and predicted volatility. The algorithm uses this alpha, in conjunction with its momentum and a related "alpha2" value based on spot returns and implied volatility curvature changes, to make informed decisions about initiating credit spreads. The signal generation logic triggers a trade when specific conditions related to the calculated 'alpha' values are met, indicating either a bullish or bearish sentiment. A bullish signal prompts the creation of a credit put spread by selling an at-the-money (ATM) put option and buying an in-the-money (ITM) put option to cap the potential loss. Conversely, a bearish signal triggers a credit call spread by selling an ATM call option and buying an out-of-the-money (OTM) call option. Risk management involves calculating the margin required for the trade and setting a stop-loss percentage based on this margin. Additionally, the algorithm sets a target profit level, aiming for 50% of the maximum potential profit from the spread, with a time-based expiry for the target, and will not trade if a similar trade has not yet closed. It checks the position and does not open a trade if one is open. The algorithm checks the current time to make sure that a trade is valid within testing time. The algorithm will check the expiry date to see if it should trade or not. It will also not trade when the market is closed or outside the testing hours.