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Python bot (bot/alpaclaudia): alpaca-py client, wheel strategy (CSP + covered calls) plus equity trailing stops, risk gates (cash buffer, cost-basis guard, per-symbol concentration cap), SQLite state log, Typer CLI (tick/loop/status/ report/dump-state), Discord daily report, pytest suite. Next.js 14 dashboard (dashboard/): read-only — reads the bot's SQLite directly and pulls live account/positions/orders from Alpaca. KPIs, equity chart, positions, bot-intents audit table, and orders table. Dark UI with Tailwind. systemd/: user-unit templates for the polling loop and the post-close report timer. docs/STRATEGY.md: wheel mechanics, risk invariants, later candidates. Defaults to BOT_MODE=dry — nothing is submitted to Alpaca until explicitly enabled in .env. ALPACA_ENV=paper by default; flipping to live requires an explicit second guard.
48 lines
2.1 KiB
Markdown
48 lines
2.1 KiB
Markdown
# Strategy notes
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## The Wheel
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A short-volatility, cash-secured income strategy. Two phases per underlying:
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**Phase 1 — no shares held:** sell a cash-secured put (CSP). The bot picks a
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contract 14-28 DTE (`WHEEL_PUT_DTE_MIN/MAX`) with absolute delta closest to
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`WHEEL_PUT_TARGET_DELTA` (default 0.30). If the trade's annualised yield falls
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below `WHEEL_MIN_ANNUAL_YIELD`, it's skipped. If delta data is missing (Alpaca
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snapshot), it falls back to "closest to `WHEEL_PUT_OTM_PCT` below spot".
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Two outcomes at expiry:
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- Put expires worthless → keep premium, repeat Phase 1.
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- Put is assigned → own 100 shares per contract at strike, go to Phase 2.
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**Phase 2 — shares held:** for each uncovered 100-share lot, sell a covered
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call ~same DTE, same target delta, **at or above cost basis** (hard floor in
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`risk.check_covered_call`). Two outcomes at expiry:
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- Call expires worthless → keep premium, keep shares, sell another call.
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- Call is assigned → 100 shares called away at strike (a locked-in gain,
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because strike ≥ cost basis), back to Phase 1.
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Assumption: the underlying is one we'd be happy to own. That's why
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`WHEEL_UNIVERSE` should be small and considered.
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## Trailing stops
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Separate from the wheel — applies to any long equity position. On each tick,
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for every long stock position without an existing open trailing-stop order,
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the bot submits a `trailing_stop` sell at `TRAILING_STOP_PCT` trail.
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In practice this is idempotent: duplicates are avoided by the open-order check.
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## Why not long calls / verticals?
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Deliberately kept out of v0. They require managing more Greeks than the wheel
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and increase the surface area of risk mistakes. Easy to add under
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`strategies/` once the wheel is stable on paper for weeks.
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## Candidates to consider later
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- **Trailing-stop on short puts** once they're deep ITM vs. the underlying's
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drift — close early and re-roll.
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- **Cash-sweep** into BIL/SGOV for idle cash while waiting for assignments.
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- **Volatility filter** — skip CSPs when IV rank is below a threshold (low premium).
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- **Earnings blackout** — skip CSP entries within N days of earnings.
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