Strategy description

Strategy Overview

This strategy is a non-directional weekly option-selling approach designed to benefit primarily from time decay (theta) and controlled volatility. It involves selling At-The-Money (ATM) Call (CE) and Put (PE) options of the current weekly expiry, while simultaneously buying ATM Call (CE) and ATM Put (PE) options of the next weekly expiry, with predefined risk management rules.

Positions are held for the duration of the week or exited earlier based on stop-loss or profit conditions.

Key Rules

1. Trades are initiated only after 09:20 AM on the entry day by selling 1 lot of ATM CE and 1 lot of ATM PE of the same weekly expiry.
2. On gap-up or gap-down days, the algorithm waits for initial volatility to settle before initiating the weekly calendar structure to avoid unstable option premiums.
3. This strategy is not a guaranteed money-making system. Its objective is to reduce emotional and discretionary errors by executing rule-based trades consistently.
4. A maximum of 10 calendar sets per week is allowed.
5. This means the algorithm may execute up to 10 option sell trades (10 CE + 10 PE) during the week, ensuring controlled re-entries and no over-trading.
6. Re-entries are permitted only after a complete exit of the previous calendar and when market conditions again favor premium decay.
7. Strategy performance is influenced by the following factors:
   1. Broker execution quality
   2. Option liquidity and bid-ask spreads
   3. Volatility expansion or contraction during the week

The Algorithm Is Designed To

1. Perform best in range-bound or moderately volatile markets
2. Capture weekly theta decay
3. Limit drawdowns using strict stop-loss rules
4. Protect and lock profits using trailing stop-loss logic

Note

1. On event-driven days such as major announcements, budgets, RBI policy decisions, elections, or global events, market behavior can be highly unpredictable. Trade cautiously and strictly at your own risk.
2. It is strongly recommended to backtest or paper-trade thoroughly to validate the strategy’s behavior before deploying it in live markets.

Disclaimer

NeuraTrader is not a SEBI-registered analyst. This strategy is shared strictly for educational purposes only and does not constitute a buy or sell recommendation. Please consult a qualified financial advisor before taking any trading or investment decisions.