Verdict
No edge, and the idea cannot be tested as written
Development 137 trades, mean ₹-17 per day (t -1.4); validation 28 trades, ₹-25; 3 of 11 conditions passed
- Data gate first: the brief needs live dealer gamma from a validated provider and tick-level option history. Neither exists here, and the brief forbids end-of-day open interest. We therefore tested a different, weaker version (v1D): a daily gamma profile rebuilt from the previous close's NSE open interest. A failure of v1D does not prove a true intraday-GEX system fails; it shows this accessible form has no edge.
- The brief's own numbers conflict: a 0.20-delta short leg earns a credit of about 14% of the spread width (median), so the required 25% credit rejected 291 of 292 signals. Run exactly as written it produces 4 trades in 1,000 sessions. We recorded this as a disclosed amendment (floor 10% of width) before any result was seen.
- Debit (breakout) spreads almost never trigger: negative gamma at spot, the hourly close below the flip line and implied volatility up more than 3% rarely coincide (1 signal in 700 sessions; 4 trades in 1,000). Credit spreads are 97% of the sample.
- Credit spreads earn about ₹14 per trade before costs and pay ₹98 in charges. At 2x costs the mean day is ₹-36; at 3x ₹-58. Roughly half of trades end on the structural stop; one in eight on the take-profit.
- Gamma added nothing: the no-GEX ablation lost ₹23 a day in development and ₹3 in validation, against ₹17 and ₹25 with it. The base is below the random-trigger null in both periods (null median ₹-3 and ₹-8). Reality check p = 0.98.
- Every spread uses at least one leg priced by the Black-76 model with a fitted skew (the 0.20-delta strike lies outside the observed ATM ±2 window): the model-priced share of trades is 100% in development and 96% in validation, so no observed-only result exists. Bank Nifty, Sensex and MCX Crude Mini were not tested (no option history on disk). Sealed period (from 2025-10-13) unopened. No paper trading: the pre-registered rule allows it only if every condition passes.
Promotion gates
No gates published for this strategy.
Explain the strategy
The brief says: work out where big option dealers are forced to buy or sell, then sell option spreads near support or resistance when they dampen moves, and buy spreads when they amplify them. We could not get the live dealer data, so we rebuilt a daily version from public end-of-day numbers. The trades barely made money before costs and lost to charges, and a version without the gamma idea did no worse. The brief's credit rule also made nearly every trade impossible until we relaxed it.
Report
Development and validation: base, original-brief rule, neighbours, ablation, cost stress and the random-trigger null
| Period | Variant | Trades | Mean per day | t-stat | Win rate | Gross per trade | Charges per trade | Total | Max drawdown on ₹10 lakh |
|---|---|---|---|---|---|---|---|---|---|
| Development 2020-12 to 2024-07 | Base (Amendment 1: credit floor 10% of width) | 137.0 | ₹-17 | -1.4 | 49% | ₹14 | ₹98 | ₹-11,427 | 1.3% |
| Development 2020-12 to 2024-07 | Original brief: credit floor 25% of width | 1.0 | ₹-7 | -1.0 | 0% | ₹-4,674 | ₹99 | ₹-4,774 | 0.5% |
| Development 2020-12 to 2024-07 | Short leg 0.15 delta | 93.0 | ₹-14 | -1.6 | 47% | ₹-7 | ₹97 | ₹-9,660 | 1.1% |
| Development 2020-12 to 2024-07 | Short leg 0.25 delta | 154.0 | ₹-17 | -1.2 | 49% | ₹24 | ₹99 | ₹-11,547 | 1.3% |
| Development 2020-12 to 2024-07 | Debit long leg 0.45 delta | 137.0 | ₹-17 | -1.4 | 49% | ₹14 | ₹98 | ₹-11,427 | 1.3% |
| Development 2020-12 to 2024-07 | Debit long leg 0.65 delta | 137.0 | ₹-17 | -1.4 | 49% | ₹14 | ₹98 | ₹-11,427 | 1.3% |
| Development 2020-12 to 2024-07 | Rejection zone 0.10 ATR | 130.0 | ₹-26 | -2.0 | 45% | ₹-35 | ₹98 | ₹-17,265 | 1.8% |
| Development 2020-12 to 2024-07 | Rejection zone 0.20 ATR | 150.0 | ₹-16 | -1.3 | 47% | ₹25 | ₹98 | ₹-10,968 | 1.4% |
| Development 2020-12 to 2024-07 | Ablation: no GEX (regime from IV and H1 vs prior close) | 115.0 | ₹-23 | -1.6 | 45% | ₹-34 | ₹98 | ₹-15,139 | 1.5% |
| Development 2020-12 to 2024-07 | Base at 2x costs and slippage | 135.0 | ₹-36 | -3.2 | 44% | ₹17 | ₹196 | ₹-24,140 | 2.5% |
| Development 2020-12 to 2024-07 | Base at 3x costs and slippage | 133.0 | ₹-58 | -4.8 | 35% | ₹1 | ₹294 | ₹-38,968 | 3.9% |
| Development 2020-12 to 2024-07 | Base with the brief's 10% haircut on gross profits | 137.0 | ₹-22 | -1.8 | 48% | ₹-8 | ₹98 | ₹-14,520 | 1.6% |
| Validation 2024-07 to 2025-10 | Base (Amendment 1: credit floor 10% of width) | 28.0 | ₹-25 | -1.7 | 36% | ₹-182 | ₹99 | ₹-7,892 | 0.9% |
| Validation 2024-07 to 2025-10 | Original brief: credit floor 25% of width | 3.0 | ₹-15 | -1.5 | 0% | ₹-1,472 | ₹109 | ₹-4,744 | 0.5% |
| Validation 2024-07 to 2025-10 | Short leg 0.15 delta | 24.0 | ₹-15 | -1.4 | 42% | ₹-102 | ₹99 | ₹-4,823 | 0.6% |
| Validation 2024-07 to 2025-10 | Short leg 0.25 delta | 28.0 | ₹-24 | -1.4 | 39% | ₹-165 | ₹101 | ₹-7,427 | 1.0% |
| Validation 2024-07 to 2025-10 | Debit long leg 0.45 delta | 29.0 | ₹-34 | -2.0 | 34% | ₹-266 | ₹100 | ₹-10,622 | 1.2% |
| Validation 2024-07 to 2025-10 | Debit long leg 0.65 delta | 25.0 | ₹-10 | -0.9 | 40% | ₹-28 | ₹98 | ₹-3,147 | 0.5% |
| Validation 2024-07 to 2025-10 | Rejection zone 0.10 ATR | 24.0 | ₹-19 | -1.4 | 38% | ₹-154 | ₹99 | ₹-6,077 | 0.8% |
| Validation 2024-07 to 2025-10 | Rejection zone 0.20 ATR | 24.0 | ₹-23 | -1.5 | 42% | ₹-203 | ₹100 | ₹-7,258 | 0.8% |
| Validation 2024-07 to 2025-10 | Ablation: no GEX (regime from IV and H1 vs prior close) | 31.0 | ₹-3 | -0.2 | 48% | ₹69 | ₹101 | ₹-981 | 0.5% |
| Validation 2024-07 to 2025-10 | Base at 2x costs and slippage | 28.0 | ₹-37 | -2.2 | 32% | ₹-210 | ₹199 | ₹-11,446 | 1.3% |
| Validation 2024-07 to 2025-10 | Base at 3x costs and slippage | 28.0 | ₹-46 | -2.7 | 29% | ₹-212 | ₹298 | ₹-14,271 | 1.5% |
| Validation 2024-07 to 2025-10 | Base with the brief's 10% haircut on gross profits | 28.0 | ₹-27 | -1.8 | 36% | ₹-198 | ₹99 | ₹-8,333 | 1.0% |
| Development 2020-12 to 2024-07 | Random trigger time, same spread type and exits (30 seeds): median / 90th percentile mean per day | ₹-3 / ₹4 | |||||||
| Validation 2024-07 to 2025-10 | Random trigger time, same spread type and exits (30 seeds): median / 90th percentile mean per day | ₹-8 / ₹10 | |||||||
| Development 2020-12 to 2024-07 | Time block A_1000_1130 | 66.0 | ₹-3 | ₹63 | ₹98 | ||||
| Development 2020-12 to 2024-07 | Time block B_1130_1330 | 44.0 | ₹4 | ₹156 | ₹97 | ||||
| Development 2020-12 to 2024-07 | Time block C_1330_1500 | 27.0 | ₹-17 | ₹-335 | ₹99 |
Rules and parameters
Rules
- Daily inputs from the previous close: ATR14, prior-day high/low, opening range (09:15-09:30), a gamma-exposure curve from NSE open interest (call OI +gamma, put OI −gamma, Black-76 gamma), the flip line (zero crossing) and the call and put walls.
- From 10:00, every 15 minutes: State 1 (credit) if gamma at spot is positive on two polls, the last hourly close is above flip + 0.10 ATR and ATM implied volatility is flat or falling; State 2 (debit) if gamma is negative on two polls, the hourly close is below flip − 0.10 ATR and implied volatility is up more than 3%.
- Credit: M15 rejection of the prior-day/opening-range extreme zone (±0.15 ATR) with a close back inside, above the session average price; stop order 1 tick beyond the rejection candle, cancelled after 2 candles; sell the 0.20-delta strike, buy 100 points further out (credit at least 10% of width). Debit: breakout above both levels, bullish retest candle, long 0.55-delta strike, short at the next gamma wall (100 to 200 points).
- Risk: 0.5% of equity per trade, lots = floor(risk / (max loss per lot + ₹100)); day lock −1%, week lock −2%. Exits: structural stop 0.05 ATR beyond the signal candle (on 15-minute closes), 1.5×M15-ATR trail once a debit spread is +30%, 80% take-profit on credit within 225 minutes, gamma-wall shift at the day-2 open, two polls of reversed gamma, 15:15 on day 2.
Parameters
- capital
- ₹10 lakh assumed (not given)
- lot
- 75 / 50 / 25 / 75 / 65 by date (assumed NSE revisions)
- periods
- development 2020-12 to 2024-07; validation to 2025-10; sealed 2025-10-13+ unopened
- pre-registration
- research/mgts/STRATEGY_MGTS.md (written before any result; Amendment 1 disclosed)
- costs
- Dhan ₹20 per order, STT 0.10% (0.15% from 2026-04-01), exchange 0.03503%, SEBI, GST, stamp; slippage 0.5% per fill (1% per leg cycle)
- gamma
- daily, from NSE bhavcopy (public); not live GEX
Instrument
Nifty weekly option vertical spreads (bull put, bear call, bull call, bear put), sized at 0.5% of equity risk per trade, 15:15 time stop on day 2 · capital ₹1,000,000
Known limitations
- The brief's real-time GEX, futures VWAP, futures volume filter and intraday VIX were unavailable; they are replaced by a daily open-interest gamma profile, a time-weighted session average, no volume filter and ATM implied volatility (see STRATEGY_MGTS.md section 1).
- The sign convention for dealer positioning (dealers long calls, short puts) is an assumption; a different convention would change the regime split.
- Option legs are model-priced (Black-76 with fitted skew); real quotes for 0.20-delta weekly strikes were not available.
- One position at a time and two entries a day are assumptions (the brief is silent); the trailing-stop ATR is read as the 15-minute ATR.
- Charges rest on Dhan's published tariff; the sample is small (165 trades), so a modest real edge could be missed, but no variant or stress shows one.
Logs and raw data
Downloads appear once a data window is loaded.
Files are plain CSV so results can be re-computed independently. Trade dates are IST sessions; returns are net of modelled costs and slippage.