This is a bar chart showing the strength of a potential option spread entry using 8 conditions for each side of a trade, bull or bear.
In theory, if the SE Strength (Spread Entry Strength) is at one of the extremes of the Bear or Bull side, then a spread is prime for entry.
To calculate this, the 8 conditions receive a 1 or zero dependent on whether the condition is true (1) or false (0), and then all of those are summed. The primary gist of the strength comes from Nishant's book, or my interpretation thereof, with some additives that limits what I need to review (such as condition 8 below.)
The 8 Bull Conditions are: 1) Bollinger Bands are outside of the Keltner Channels 2) ADX is trending up 3) RSI is trending up 4) -DI is trending down 5) RSI is under 30 6) Price is below the lower Keltner Channel 7) Price is between the lower Bollinger Band and the Bollinger basis. 8) Price at one point within the last 5 bars was below the lower Bollinger Band
The 8 Bear Conditions are the inverse conditions (except the first), and the conditions are given a negative disposition (meaning they sum to -8 :)): 1) Bollinger Bands are outside of the Keltner Channels 2) ADX is trending down 3) RSI is trending down 4) +DI is trending up 5) RSI is over 70 6) Price is above the upper Keltner Channel 7) Price is between the upper Bollinger Band and the Bollinger basis. 8) Price at one point within the last 5 bars was above the upper Bollinger Band
Release Notes
⋅
Updated with quite a bit, and to version 5 of pinescript.
Updates include:
Use of Synthetic VIX in algo
Projection of spread with using a "bars to expiry" setting
Historical trade table, only allows 1 trade at time
Hi why are you creating a synthetic VIX vs using the VIX? Instead of the ticker VIX or are you trying to replicate an instrument specific IV? and is that not available? (in my case and where this is coming from:) for BTC options I use Deribit Bitcoin Volatility Index: DVOL and compare vs RV.
Just curious to your reasons / approach. Are you not trading the volatility, but price here? going from various indicator consensus + pivot and range derived synthetic IV (In DVOL, BTC vs DXY IV can go both ways depending on the strength of the up or down move)
Instead of the ticker VIX or are you trying to replicate an instrument specific IV? and is that not available?
(in my case and where this is coming from:) for BTC options I use Deribit Bitcoin Volatility Index: DVOL and compare vs RV.
Just curious to your reasons / approach. Are you not trading the volatility, but price here? going from various indicator consensus + pivot and range derived synthetic IV (In DVOL, BTC vs DXY IV can go both ways depending on the strength of the up or down move)