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Here is the complete summary of the entry/exit logic and parameters extracted from the source code: --- ## STRATEGY OVERVIEW **Name:** RSI + Monday SMMA Strategy (v4) **Symbol:** Trades options (CE/PE) on NSE futures underlyings **Order type:** LIMIT orders only, NRML product type, NFO exchange --- ## 1. SMMA CROSSOVER ENTRY CONDITIONS There are **two independent triggers** (either can fire a trade): **Trigger A — SMMA2 Crossover (checked on 5-min candle close):** - SMMA(2) is calculated on 5-min futures candle closes (rolling Wilder-style smoothing) - The "line in stone" is the **Monday SMMA(2)** calculated from daily OPEN prices, locked every Monday at 9:16 AM for the entire week - A **crossover** is detected when SMMA(2) on 5-min crosses from BELOW to ABOVE the Monday SMMA (bullish), or ABOVE to BELOW (bearish) - If crossover occurs AND RSI directional gap > 3 → immediate BUY_CALL (above) or BUY_PUT (below) - If crossover occurs but RSI gap <= 3 AND RSI is already in the same direction → sets `smma_crossover_pending=True`, waits for RSI gap to widen (checked on both 5-min and 15-min cycles) - If crossover occurs but RSI gap <= 3 AND RSI is NOT in same direction → no pending set, entry is blocked **Trigger B — RSI Direction Crossover (checked on 15-min candle close):** - When RSI20(closes of LOW prices) crosses RSI120(closes of HIGH prices) from one side to the other - AND SMMA(2) is already on the **same side** as the new RSI direction - AND RSI directional gap > 3 - → BUY_CALL (if ABOVE) or BUY_PUT (if BELOW) **Monday Startup Alignment:** - On Monday at startup, if both SMMA2 and RSI are already aligned (SMMA2 side matches, gap > 3), the bot auto-enters without waiting for a fresh crossover - If holding the wrong direction (e.g. bearish but now bullish aligned), it closes and reverses --- ## 2. RSI GAP FILTER CONDITIONS **RSI Calculation:** - RSI(20) computed on 15-min candle LOW prices (fast momentum) - RSI(120) computed on 15-min candle HIGH prices (slow trend) - Both use Wilder smoothing (exponential) **Directional Gap:** - For ABOVE (bullish): gap = RSI20 - RSI120 - For BELOW (bearish): gap = RSI120 - RSI20 **Thresholds:** - **Entry (fresh):** gap must be > **3** (`RSI_ENTRY_GAP = 3`) - **RSI gap exit:** gap drops to <= 3 (see below) - **RSI re-entry after RSI exit:** gap must be > **4** (stricter) - **SL re-entry:** gap must be > **3** (same as entry) --- ## 3. EXIT CONDITIONS **A. SMMA2 Cross-Back Exit (highest priority when in position):** - Checked on every 5-min candle close - If SMMA(2) crosses to the **wrong side** of Monday SMMA while in position (e.g., holding BULLISH but SMMA2 drops below Monday SMMA) → exit immediately - On exit: clears `manual_exit_detected`, clears `rsi_exit_pending`, resets `rsi_reentry_count` is NOT reset (stays as is) - Re-entry after this exit requires a **fresh SMMA2 crossover** (gap > 3) **B. RSI Gap Exit:** - Checked on every 15-min candle close while in position - If directional RSI gap drops to <= 3 → exit - Sets `rsi_exit_pending=True`, records `rsi_exit_futures_price` (futures LTP at exit time) and direction - Re-entry threshold is raised to gap > 4 (see re-entry below) - Max 2 re-entries per original SMMA2 crossover entry **C. Stop-Loss Exit:** - Checked **every poll cycle** (60 sec) while in position - If unrealized P&L < -INR 2200 (`STOP_LOSS_AMOUNT = 2200`) → exit - Sets `sl_exit_pending=True` with direction - SL re-entry fires **at most once** per session (`sl_reentry_used` flag) **D. Friday EOD Square-Off:** - Every Friday at 15:28 (`FRIDAY_SQUAREOFF_TIME = 15:28`), any open position is closed with reason "friday_eod" **E. Manual Telegram Square-Off:** - `/squareoff <name>` or `/squareoff ALL` closes positions immediately - Sets `manual_exit_detected = True` --- ## 4. STOP-LOSS / RISK MANAGEMENT LOGIC - **Stop-loss amount:** INR 2,200 per position (`STOP_LOSS_AMOUNT = 2200`) - Calculated as: `(current_option_LTP - option_entry_price) * quantity` - If P&L drops below -2200, position is exited cleanly - After SL exit, the bot watches for **SL re-entry**: if RSI gap re-expands > 3, SMMA2 still on correct side, and RSI hasn't flipped → re-enter (once per session max) - If RSI flips or SMMA2 crosses wrong side after SL exit, SL re-entry is cancelled - **2-lot cap:** Before entry, bot checks total positions for the underlying. If combined qty >= lot_size * 2, entry is blocked - **Max trades per day:** 10 per profile - **Post-exit cooldown:** Currently set to **0 minutes** (`POST_EXIT_COOLDOWN_MINUTES = 0`), effectively disabled - **Whipsaw threshold:** 7 minutes (`WHIPSAW_THRESHOLD_MINUTES = 7`) — but cooldown is 0, so it has no effect currently - **Emergency cover:** If an exit order fails to confirm, the bot buys an opposite-direction option as a hedge, then sends Telegram alerts for manual resolution --- ## 5. MANUAL_EXIT FLAG - `manual_exit_detected` is set to `True` when the **reconcile()** call discovers the bot thinks it has a position but the broker shows qty=0 (i.e., someone manually closed it) - Also set on Telegram `/squareoff` - When `manual_exit_detected = True`: - **RSI gap re-entry is blocked** (won't auto-re-enter) - **SL re-entry is blocked** - The bot requires a **fresh SMMA2 crossover** (gap > 3) to unlock trading again - When a fresh SMMA2 crossover fires, `manual_exit_detected` is cleared to `False` --- ## 6. LOT SIZE / QUANTITY PER SYMBOL | Profile | lot_size | max_lots | Quantity (lot_size x max_lots) | |---|---|---|---| | DLF_SMMA | 825 | 1 | **825** | | HAL_SMMA | 150 | 1 | **150** | | INFY_SMMA | 400 | 1 | **400** | | INDUSINDBK_SMMA | 700 | 1 | **700** | All profiles use `max_lots = 1`. Combined position cap is 2 * lot_size per underlying. Option strike selection: **1 ITM** (`itm_offset = 1`) for all profiles. --- ## 7. EXACT SYMBOL NAMES AND EXCHANGES | Profile | Broker | Futures Symbol | Underlying | Exchange | Expiry | |---|---|---|---|---|---| | DLF_SMMA | FLATTRADE | DLF28APR26FUT | DLF | NFO | 28APR26 | | HAL_SMMA | FLATTRADE | HAL28APR26FUT | HAL | NFO | 28APR26 | | INFY_SMMA | SHOONYA | INFY28APR26FUT | INFY | NFO | 28APR26 | | INDUSINDBK_SMMA | SHOONYA | INDUSINDBK28APR26FUT | INDUSINDBK | NFO | 28APR26 | Note: HAL_SMMA is **disabled** (`"enabled": False` in config). --- ## RE-ENTRY LOGIC SUMMARY | Exit Type | Re-entry Condition | Re-entry Threshold | Max Re-entries | Additional Checks | |---|---|---|---|---| | SMMA2 cross-back | Needs fresh SMMA2 crossover | gap > 3 | N/A (new sequence) | Resets rsi_reentry_count = 0 | | RSI gap exit | SMMA2 same side + gap widened + better price | gap > 4 | 2 per SMMA2 entry | Futures price must be more favorable than exit price (higher for CALL, lower for PUT) | | Stop-loss exit | SMMA2 same side + gap > 3 | gap > 3 | 1 per session | RSI must not have flipped | | Manual exit | Needs fresh SMMA2 crossover | gap > 3 | N/A | Clears manual_exit_detected flag | --- ## KEY STRATEGY PARAMETERS (constants) | Parameter | Value | Description | |---|---|---| | `SMMA2_PERIOD` | 2 | SMMA period on 5-min closes | | `RSI_ENTRY_GAP` | 3 | Min RSI directional gap for entry | | RSI exit gap | 3 (implicit) | Exit when gap <= 3 | | RSI re-entry gap | 4 (hardcoded) | Re-entry after RSI gap exit needs gap > 4 | | `STOP_LOSS_AMOUNT` | 2200 | INR stop-loss threshold | | `LIMIT_BUFFER` | 3.0 | INR buffer on LIMIT orders (buy: LTP+3, sell: LTP-3) | | `POLL_INTERVAL` | 60 sec | Main loop polling interval | | `SMMA2_CANDLE_INTERVAL` | 300 sec | 5-min candle interval | | `CANDLE_FETCH_INTERVAL` | 300 sec | How often to fetch new candles | | `CANDLE_DAYS_LOOKBACK` | 20 | Calendar days of history | | `MIN_CANDLES_FOR_RSI` | 122 | Minimum candles needed for RSI(120) calculation | | `WARMUP_DAYS` | 15 | Daily candle lookback for Monday SMMA | | `POST_EXIT_COOLDOWN_MINUTES` | 0 | Currently disabled | | `WHIPSAW_THRESHOLD_MINUTES` | 7 | Reference only (no effect with cooldown=0) | | `TRADING_START_TIME` | 09:16 | Market open | | `TRADING_END_TIME` | 15:30 | Market close | | `FRIDAY_SQUAREOFF_TIME` | 15:28 | Friday forced close | --- ## BROKER CONFIG - **SHOONYA**: OpenAlgo host at `https://shoonya.openalgo.theworkpc.com` - **FLATTRADE**: OpenAlgo host at `https://flattrade.openalgo.theworkpc.com` - Both use API keys defined in config (redacted in this summary)