Triggers - Expected Move Breach

Credit for this trigger goes to "Atticus" on the Trade Busters Discord for creating and sharing this trade, which he nicknamed "Rogue One". His original trade involved selling a put spread when the high side EM was breached and a call spread when the low side EM was breached, typically avoiding the first and last hour of the trading day.

The expected move breach trigger monitors the expected move (the price of the at the money straddle) added to (or subtracted from) the current SPX price. It keeps a low watermark for the expected move on the high side and a high watermark for the expected move on the low side. These are adjusted as SPX moves and option pricing changes during the day.

When SPX passes through one of these points a “trigger” is fired that can be used to enter a trade. The entry trigger when the SPX price moves past the lowest watermark on the higher side is the “HighSideEMBreach”. On a move down the “LowSideEMBreach” trigger is fired when SPX moves down to the high watermark of the lower expected move.

Below is an example of how the signal works. The green horizontal line moves down and the red line moves up during the day and eventually if SPX hits the red or green line, the trigger is fired. When that happens the EM line resets based on the current EM (straddle price). (Green circle = HighSideEmBreach, Red circles = LowSideEMBreach)

Entry Trigger options are either a breach of the High Side Expected move (or Low Side). You’ll need to set up two different triggers to take both high and low side trades. You should configure the start and end time that you want to enter trades based on these signals and also the max executions that you would like to enter (for each side). If you enter 3 max executions then you could enter up to 3 high side trades and 3 low side trades per day. (Many people using this signal don't take signals shortly after the market opens or during the final hour of the day.) 

This is a dedicated BYOB backtester mode for this trade available at the link below. There are two data sets available for testing. "R1 Signals Multi" enters a trade for every signal and "R1 Signals" only trades on the first signal in each direction. Signals in BYOB are taken from 10:00 AM ET - 3:00 PM ET.

https://tradeautomationtoolbox.com/byob-ticks/?mode=r1

Please Note: TAT is only able to calculate the EM when it's connected and monitoring the option pricing live. It can't go back and get the pricing of the ATM options later. So, if you open TAT up after the market is already open (or restart it during the day), the signal values will be different. Additionally, due to the nature of the calculations happening every few seconds, it is possible and expected for the values and signals to differ slightly from user to user and also from live trading with TAT vs. BYOB backtests.