Verdict
No edge: do not trade this live
144 of 144 configurations negative net of costs in sample and out of sample. Selected plateau config OOS: 638 trades, ₹-141 per trade, PF 0.65, bootstrap 95% interval ₹-203 to ₹-80; negative even before charges.
- Data: Dhan 1-minute Nifty weekly options (ATM±10, with OI and volume) and index 1-minute OHLC; 968 sessions 2021-11 to 2025-09, first 60% in sample, last 40% out of sample; sealed 2025-10 onward not opened. Details in bt_out/data_discovery.md.
- The owner's draft was reviewed and fixed before use: signal exits now fill at the next open, the 15:15 exit at its open, breakout window from 09:30, contracts tracked by strike, dated charges (STT, NSE, SEBI, stamp, GST, IPFT, ₹20 per order). Rules in STRATEGY_NIFOPT3.md.
- Results (one lot of 65, 0.5 point slippage per side): draft defaults in sample 1018 trades ₹-177 each; out of sample 676 trades ₹-105 each. At slippage 1.0 the selected config loses ₹209 per trade.
- Random entries with the same exits (100 runs): median ₹-121, 90th percentile ₹-86 against ₹-141 for the rules, so the entry conditions add nothing.
- Walk-forward (12 months train, 3 months test): all 12 windows negative; 17 of 19 OOS months negative; both sides and every entry hour lose. Only trailing exits (216 trades, +₹674 each) are positive; stops and fail-fast exits cost more.
- Next ideas (not done): same breakout on index futures, or as a debit spread; range-expansion/regime filters; a real bid/ask sample to calibrate slippage.
Promotion gates
No gates published for this strategy.
Explain the strategy
The breakout rules for buying options lose money in every version we tried, even before costs.
Report
144-configuration grid (sorted by plateau score): in-sample and out-of-sample expectancy per trade
| min_extra | sl_atr | trail_atr | giveback | fail_min | itm | is_n | is_exp | is_pf | is_win | oos_n | oos_exp | oos_pf | oos_total | plateau |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 4 | 4.0 | 1.5 | 0.3 | 25 | 0 | 951 | -125.815 | 0.651 | 0.425 | 638 | -141.313 | 0.654 | -90157.398 | -141.043 |
| 4 | 4.0 | 1.5 | 0.3 | 15 | 0 | 947 | -133.507 | 0.616 | 0.397 | 638 | -133.532 | 0.663 | -85193.309 | -144.222 |
| 4 | 4.0 | 1.5 | 0.5 | 25 | 0 | 945 | -134.738 | 0.63 | 0.42 | 634 | -149.373 | 0.632 | -94702.218 | -146.035 |
| 4 | 3.0 | 1.5 | 0.3 | 15 | 0 | 951 | -141.923 | 0.585 | 0.41 | 640 | -131.626 | 0.665 | -84240.753 | -148.319 |
| 4 | 4.0 | 1.5 | 0.5 | 15 | 0 | 942 | -143.115 | 0.593 | 0.394 | 635 | -147.767 | 0.625 | -93832.314 | -148.996 |
| 4 | 3.0 | 1.5 | 0.3 | 25 | 0 | 955 | -144.172 | 0.594 | 0.424 | 640 | -136.946 | 0.659 | -87645.324 | -149.028 |
| 4 | 4.0 | 2.5 | 0.3 | 25 | 0 | 926 | -141.932 | 0.612 | 0.366 | 602 | -165.98 | 0.602 | -99920.09 | -149.171 |
| 4 | 4.0 | 1.5 | 0.3 | 25 | 1 | 952 | -146.624 | 0.618 | 0.415 | 632 | -109.935 | 0.728 | -69478.669 | -150.636 |
| 4 | 4.0 | 2.5 | 0.3 | 15 | 0 | 923 | -146.546 | 0.583 | 0.338 | 602 | -159.447 | 0.605 | -95987.031 | -152.228 |
| 4 | 4.0 | 1.5 | 0.3 | 15 | 1 | 948 | -148.412 | 0.6 | 0.397 | 632 | -106.727 | 0.73 | -67451.348 | -152.876 |
| 4 | 4.0 | 2.5 | 0.5 | 25 | 0 | 922 | -146.136 | 0.603 | 0.363 | 601 | -167.64 | 0.596 | -100751.6 | -153.321 |
| 4 | 3.0 | 1.5 | 0.5 | 15 | 0 | 948 | -147.882 | 0.572 | 0.406 | 637 | -147.213 | 0.624 | -93774.636 | -153.737 |
| 4 | 4.0 | 1.5 | 0.5 | 25 | 1 | 948 | -152.985 | 0.604 | 0.412 | 629 | -121.268 | 0.7 | -76277.508 | -153.964 |
| 4 | 3.0 | 1.5 | 0.5 | 25 | 0 | 952 | -152.562 | 0.575 | 0.419 | 637 | -153.021 | 0.618 | -97474.304 | -154.391 |
| 4 | 2.0 | 1.5 | 0.3 | 15 | 0 | 959 | -146.642 | 0.531 | 0.399 | 642 | -128.702 | 0.652 | -82626.725 | -154.487 |
| 4 | 2.0 | 1.5 | 0.3 | 25 | 0 | 961 | -149.122 | 0.53 | 0.401 | 642 | -129.191 | 0.653 | -82940.599 | -155.867 |
| 4 | 3.0 | 2.5 | 0.3 | 15 | 0 | 926 | -149.959 | 0.566 | 0.343 | 602 | -160.817 | 0.601 | -96811.606 | -155.969 |
| 4 | 4.0 | 1.5 | 0.5 | 15 | 1 | 944 | -153.787 | 0.587 | 0.394 | 629 | -116.696 | 0.705 | -73401.655 | -156.24 |
| 4 | 4.0 | 2.5 | 0.5 | 15 | 0 | 919 | -155.212 | 0.562 | 0.336 | 601 | -165.218 | 0.589 | -99295.753 | -156.547 |
| 4 | 3.0 | 2.5 | 0.3 | 25 | 0 | 930 | -155.973 | 0.569 | 0.355 | 603 | -167.049 | 0.595 | -100730.414 | -156.821 |
| 4 | 3.0 | 1.5 | 0.3 | 15 | 1 | 949 | -152.13 | 0.585 | 0.408 | 633 | -114.593 | 0.711 | -72537.29 | -157.141 |
| 4 | 3.0 | 1.5 | 0.3 | 25 | 1 | 955 | -156.406 | 0.587 | 0.42 | 634 | -115.663 | 0.712 | -73330.211 | -157.692 |
| 4 | 4.0 | 2.5 | 0.3 | 25 | 1 | 918 | -157.317 | 0.597 | 0.34 | 602 | -145.697 | 0.649 | -87709.329 | -158.748 |
| 4 | 3.0 | 2.5 | 0.5 | 15 | 0 | 922 | -156.039 | 0.553 | 0.342 | 601 | -166.588 | 0.585 | -100119.246 | -160.213 |
| 4 | 2.0 | 2.5 | 0.3 | 15 | 0 | 902 | -156.177 | 0.513 | 0.277 | 597 | -148.121 | 0.611 | -88428.489 | -160.262 |
| 4 | 2.0 | 1.5 | 0.5 | 15 | 0 | 956 | -158.345 | 0.494 | 0.399 | 639 | -146.115 | 0.602 | -93367.501 | -160.519 |
| 4 | 4.0 | 2.5 | 0.3 | 15 | 1 | 915 | -159.21 | 0.579 | 0.319 | 602 | -140.1 | 0.656 | -84339.919 | -160.672 |
| 4 | 3.0 | 1.5 | 0.5 | 15 | 1 | 945 | -156.621 | 0.575 | 0.403 | 630 | -128.967 | 0.674 | -81249.077 | -160.705 |
| 4 | 3.0 | 2.5 | 0.5 | 25 | 0 | 926 | -159.395 | 0.562 | 0.353 | 602 | -173.717 | 0.577 | -104577.822 | -161.382 |
| 4 | 3.0 | 1.5 | 0.5 | 25 | 1 | 950 | -163.329 | 0.573 | 0.415 | 631 | -131.594 | 0.672 | -83036.016 | -161.656 |
| 3 | 4.0 | 1.5 | 0.3 | 25 | 0 | 1030 | -160.511 | 0.567 | 0.398 | 686 | -89.266 | 0.777 | -61236.294 | -161.815 |
| 4 | 2.0 | 2.5 | 0.3 | 25 | 0 | 904 | -158.373 | 0.514 | 0.281 | 598 | -151.302 | 0.605 | -90478.304 | -162.216 |
| 4 | 2.0 | 1.5 | 0.5 | 25 | 0 | 958 | -161.362 | 0.493 | 0.4 | 639 | -146.997 | 0.602 | -93930.807 | -162.474 |
| 4 | 4.0 | 2.5 | 0.5 | 25 | 1 | 914 | -161.853 | 0.587 | 0.339 | 601 | -144.111 | 0.652 | -86610.831 | -162.523 |
| 4 | 2.0 | 1.5 | 0.3 | 15 | 1 | 958 | -161.987 | 0.533 | 0.395 | 635 | -109.94 | 0.709 | -69812.099 | -162.553 |
| 4 | 2.0 | 1.5 | 0.3 | 25 | 1 | 960 | -161.693 | 0.538 | 0.397 | 636 | -106.363 | 0.72 | -67646.612 | -163.532 |
| 4 | 3.0 | 2.5 | 0.3 | 15 | 1 | 916 | -159.451 | 0.574 | 0.326 | 602 | -146.262 | 0.642 | -88049.956 | -163.625 |
| 4 | 3.0 | 2.5 | 0.3 | 25 | 1 | 921 | -164.539 | 0.576 | 0.339 | 603 | -150.777 | 0.636 | -90918.595 | -164.248 |
| 4 | 4.0 | 2.5 | 0.5 | 15 | 1 | 911 | -166.188 | 0.561 | 0.318 | 601 | -137.934 | 0.661 | -82898.21 | -164.719 |
| 3 | 4.0 | 1.5 | 0.5 | 25 | 0 | 1026 | -166.896 | 0.551 | 0.397 | 682 | -97.358 | 0.754 | -66398.178 | -164.742 |
| 4 | 2.0 | 2.5 | 0.5 | 15 | 0 | 898 | -164.28 | 0.49 | 0.275 | 596 | -155.473 | 0.59 | -92661.833 | -165.281 |
| 4 | 2.0 | 2.5 | 0.5 | 25 | 0 | 900 | -166.847 | 0.489 | 0.279 | 597 | -158.646 | 0.585 | -94711.649 | -167.047 |
| 3 | 4.0 | 1.5 | 0.3 | 25 | 1 | 1036 | -166.893 | 0.572 | 0.396 | 681 | -71.44 | 0.822 | -48650.353 | -167.55 |
| 4 | 2.0 | 2.5 | 0.3 | 15 | 1 | 904 | -164.656 | 0.538 | 0.274 | 598 | -138.343 | 0.645 | -82729.235 | -167.594 |
| 4 | 2.0 | 1.5 | 0.5 | 15 | 1 | 953 | -168.475 | 0.515 | 0.393 | 632 | -128.259 | 0.66 | -81059.595 | -167.623 |
| 3 | 3.0 | 1.5 | 0.3 | 25 | 0 | 1037 | -166.252 | 0.546 | 0.399 | 689 | -81.309 | 0.793 | -56022.192 | -167.64 |
| 3 | 4.0 | 1.5 | 0.3 | 15 | 0 | 1024 | -170.232 | 0.525 | 0.374 | 686 | -85.662 | 0.781 | -58764.124 | -167.883 |
| 4 | 3.0 | 2.5 | 0.5 | 15 | 1 | 912 | -166.826 | 0.555 | 0.325 | 601 | -149.504 | 0.633 | -89851.718 | -167.95 |
| 3 | 4.0 | 1.5 | 0.5 | 25 | 1 | 1033 | -164.435 | 0.575 | 0.401 | 679 | -80.585 | 0.798 | -54717.165 | -168.335 |
| 4 | 2.0 | 2.5 | 0.3 | 25 | 1 | 906 | -164.678 | 0.542 | 0.278 | 599 | -137.376 | 0.649 | -82288.322 | -168.427 |
| 4 | 3.0 | 2.5 | 0.5 | 25 | 1 | 916 | -170.655 | 0.561 | 0.337 | 602 | -154.479 | 0.626 | -92996.215 | -168.742 |
| 4 | 2.0 | 1.5 | 0.5 | 25 | 1 | 955 | -169.324 | 0.517 | 0.396 | 633 | -126.029 | 0.667 | -79776.504 | -169.114 |
| 3 | 3.0 | 1.5 | 0.3 | 15 | 0 | 1029 | -170.34 | 0.52 | 0.386 | 689 | -82.785 | 0.786 | -57038.762 | -169.856 |
| 3 | 4.0 | 2.5 | 0.3 | 25 | 0 | 1002 | -170.479 | 0.543 | 0.341 | 655 | -117.916 | 0.709 | -77235.217 | -170.517 |
| 3 | 4.0 | 1.5 | 0.5 | 15 | 0 | 1020 | -174.727 | 0.514 | 0.374 | 683 | -94.254 | 0.758 | -64375.41 | -170.587 |
| 3 | 3.0 | 1.5 | 0.5 | 25 | 0 | 1033 | -171.687 | 0.53 | 0.402 | 686 | -91.847 | 0.763 | -63007.313 | -171.329 |
| 3 | 2.0 | 1.5 | 0.3 | 15 | 0 | 1040 | -167.21 | 0.487 | 0.381 | 683 | -79.349 | 0.786 | -54195.047 | -171.451 |
| 2 | 4.0 | 1.5 | 0.3 | 25 | 0 | 1038 | -167.447 | 0.553 | 0.389 | 691 | -88.842 | 0.777 | -61389.991 | -171.614 |
| 4 | 2.0 | 2.5 | 0.5 | 15 | 1 | 900 | -172.757 | 0.517 | 0.273 | 597 | -143.291 | 0.632 | -85544.454 | -172.128 |
| 3 | 2.0 | 1.5 | 0.3 | 25 | 0 | 1042 | -169.709 | 0.488 | 0.383 | 683 | -79.538 | 0.786 | -54324.438 | -172.202 |
| 3 | 3.0 | 1.5 | 0.5 | 15 | 0 | 1025 | -173.408 | 0.512 | 0.386 | 686 | -92.004 | 0.76 | -63114.617 | -172.601 |
| 4 | 2.0 | 2.5 | 0.5 | 25 | 1 | 902 | -173.597 | 0.519 | 0.277 | 598 | -143.285 | 0.634 | -85684.464 | -172.961 |
| 3 | 4.0 | 1.5 | 0.3 | 15 | 1 | 1027 | -176.462 | 0.538 | 0.371 | 680 | -73.926 | 0.814 | -50269.996 | -173.12 |
| 3 | 3.0 | 1.5 | 0.3 | 25 | 1 | 1038 | -172.642 | 0.555 | 0.396 | 683 | -71.009 | 0.822 | -48499.202 | -173.238 |
| 2 | 4.0 | 1.5 | 0.5 | 25 | 0 | 1033 | -170.966 | 0.544 | 0.389 | 688 | -96.993 | 0.754 | -66731.335 | -173.303 |
| 3 | 4.0 | 1.5 | 0.5 | 15 | 1 | 1024 | -172.574 | 0.544 | 0.375 | 678 | -81.799 | 0.792 | -55460.056 | -173.391 |
| 3 | 4.0 | 2.5 | 0.5 | 25 | 0 | 998 | -173.979 | 0.538 | 0.34 | 654 | -112.067 | 0.72 | -73291.691 | -173.395 |
| 2 | 4.0 | 1.5 | 0.5 | 25 | 1 | 1042 | -168.996 | 0.567 | 0.393 | 684 | -83.903 | 0.789 | -57389.338 | -174.243 |
| 3 | 3.0 | 1.5 | 0.5 | 25 | 1 | 1035 | -171.37 | 0.555 | 0.4 | 681 | -79.728 | 0.798 | -54294.629 | -174.612 |
| 2 | 4.0 | 1.5 | 0.3 | 25 | 1 | 1045 | -173.069 | 0.561 | 0.389 | 686 | -75.362 | 0.812 | -51698.248 | -174.808 |
| 2 | 3.0 | 1.5 | 0.3 | 25 | 0 | 1042 | -173.231 | 0.532 | 0.391 | 693 | -80.154 | 0.795 | -55546.872 | -175.791 |
| 3 | 4.0 | 2.5 | 0.3 | 15 | 0 | 995 | -179.233 | 0.504 | 0.317 | 655 | -116.948 | 0.705 | -76601.147 | -175.844 |
| 3 | 2.0 | 1.5 | 0.5 | 15 | 0 | 1037 | -176.644 | 0.455 | 0.384 | 681 | -92.272 | 0.747 | -62837.3 | -176.174 |
| 3 | 3.0 | 1.5 | 0.3 | 15 | 1 | 1027 | -180.195 | 0.527 | 0.378 | 681 | -74.712 | 0.812 | -50878.852 | -176.555 |
| 3 | 4.0 | 2.5 | 0.3 | 25 | 1 | 996 | -179.765 | 0.543 | 0.326 | 649 | -118.392 | 0.715 | -76836.546 | -176.908 |
| 3 | 3.0 | 1.5 | 0.5 | 15 | 1 | 1024 | -176.59 | 0.533 | 0.38 | 679 | -82.063 | 0.791 | -55720.793 | -177.082 |
| 3 | 3.0 | 2.5 | 0.3 | 25 | 0 | 1008 | -180.221 | 0.512 | 0.337 | 658 | -108.542 | 0.727 | -71420.345 | -177.126 |
| 3 | 2.0 | 1.5 | 0.5 | 25 | 0 | 1039 | -179.759 | 0.454 | 0.386 | 681 | -93.164 | 0.745 | -63444.883 | -177.448 |
| 2 | 4.0 | 1.5 | 0.3 | 15 | 0 | 1030 | -178.056 | 0.51 | 0.366 | 692 | -86.31 | 0.779 | -59726.486 | -177.909 |
| 2 | 3.0 | 1.5 | 0.5 | 25 | 0 | 1038 | -176.574 | 0.522 | 0.393 | 690 | -90.584 | 0.765 | -62502.648 | -178.41 |
| 3 | 3.0 | 2.5 | 0.3 | 15 | 0 | 999 | -181.683 | 0.492 | 0.323 | 657 | -109.737 | 0.72 | -72097.486 | -178.577 |
| 3 | 4.0 | 2.5 | 0.5 | 15 | 0 | 991 | -182.595 | 0.497 | 0.318 | 654 | -109.13 | 0.721 | -71371.004 | -178.692 |
| 3 | 4.0 | 2.5 | 0.5 | 25 | 1 | 993 | -182.529 | 0.536 | 0.329 | 647 | -101.321 | 0.752 | -65554.569 | -178.776 |
| 2 | 3.0 | 1.5 | 0.3 | 15 | 0 | 1034 | -177.461 | 0.506 | 0.376 | 694 | -82.272 | 0.787 | -57096.463 | -178.991 |
| 3 | 2.0 | 2.5 | 0.3 | 15 | 0 | 977 | -181.746 | 0.456 | 0.259 | 647 | -102.141 | 0.729 | -66085.37 | -179.289 |
| 2 | 4.0 | 1.5 | 0.5 | 15 | 0 | 1026 | -181.147 | 0.502 | 0.366 | 689 | -94.683 | 0.755 | -65236.566 | -179.32 |
| 3 | 3.0 | 2.5 | 0.5 | 25 | 0 | 1004 | -183.45 | 0.506 | 0.338 | 657 | -102.859 | 0.738 | -67578.278 | -179.582 |
| 3 | 2.0 | 1.5 | 0.3 | 25 | 1 | 1042 | -181.518 | 0.499 | 0.384 | 677 | -72.823 | 0.811 | -49300.924 | -179.695 |
| 2 | 4.0 | 2.5 | 0.3 | 25 | 0 | 1008 | -178.016 | 0.527 | 0.334 | 658 | -116.412 | 0.711 | -76599.091 | -179.707 |
| 3 | 2.0 | 2.5 | 0.3 | 25 | 0 | 979 | -184.342 | 0.458 | 0.263 | 648 | -104.789 | 0.724 | -67903.459 | -180.181 |
| 2 | 3.0 | 1.5 | 0.3 | 25 | 1 | 1045 | -178.898 | 0.544 | 0.389 | 686 | -72.318 | 0.818 | -49609.956 | -180.283 |
| 2 | 4.0 | 1.5 | 0.5 | 15 | 1 | 1031 | -178.596 | 0.532 | 0.368 | 683 | -84.409 | 0.785 | -57651.633 | -180.39 |
| 2 | 3.0 | 1.5 | 0.5 | 25 | 1 | 1042 | -175.688 | 0.548 | 0.393 | 684 | -80.547 | 0.795 | -55094.452 | -180.447 |
| 3 | 2.0 | 1.5 | 0.3 | 15 | 1 | 1038 | -182.291 | 0.493 | 0.378 | 676 | -77.363 | 0.799 | -52297.154 | -180.593 |
| 3 | 3.0 | 2.5 | 0.5 | 15 | 0 | 995 | -182.107 | 0.493 | 0.326 | 656 | -102.683 | 0.734 | -67360.137 | -180.893 |
| 2 | 2.0 | 1.5 | 0.3 | 15 | 0 | 1045 | -177.03 | 0.467 | 0.369 | 688 | -79.326 | 0.785 | -54576.235 | -180.924 |
| 2 | 3.0 | 1.5 | 0.5 | 15 | 0 | 1030 | -180.024 | 0.499 | 0.377 | 691 | -91.275 | 0.76 | -63071.112 | -180.935 |
| 2 | 4.0 | 1.5 | 0.3 | 15 | 1 | 1034 | -182.615 | 0.526 | 0.364 | 685 | -77.135 | 0.805 | -52837.296 | -181.249 |
| 2 | 2.0 | 1.5 | 0.3 | 25 | 0 | 1047 | -179.701 | 0.467 | 0.372 | 688 | -79.514 | 0.786 | -54705.625 | -181.567 |
| 2 | 4.0 | 2.5 | 0.5 | 25 | 0 | 1003 | -181.095 | 0.523 | 0.333 | 657 | -110.602 | 0.721 | -72665.546 | -181.987 |
| 3 | 2.0 | 2.5 | 0.5 | 15 | 0 | 974 | -182.525 | 0.451 | 0.262 | 646 | -97.103 | 0.738 | -62728.396 | -182.039 |
| 3 | 4.0 | 2.5 | 0.3 | 15 | 1 | 988 | -187.58 | 0.514 | 0.302 | 649 | -120.005 | 0.708 | -77883.054 | -182.284 |
| 3 | 2.0 | 1.5 | 0.5 | 25 | 1 | 1039 | -186.017 | 0.483 | 0.388 | 676 | -88.355 | 0.769 | -59727.901 | -182.751 |
| 3 | 3.0 | 2.5 | 0.3 | 25 | 1 | 998 | -184.964 | 0.528 | 0.328 | 650 | -117.545 | 0.716 | -76404.308 | -182.883 |
| 3 | 2.0 | 1.5 | 0.5 | 15 | 1 | 1035 | -185.853 | 0.479 | 0.382 | 675 | -91.82 | 0.76 | -61978.389 | -183.067 |
| 3 | 2.0 | 2.5 | 0.5 | 25 | 0 | 976 | -185.476 | 0.451 | 0.265 | 647 | -100.041 | 0.732 | -64726.749 | -183.475 |
| 2 | 4.0 | 2.5 | 0.3 | 25 | 1 | 1002 | -185.738 | 0.532 | 0.321 | 655 | -125.783 | 0.697 | -82387.818 | -184.108 |
| 3 | 4.0 | 2.5 | 0.5 | 15 | 1 | 985 | -189.956 | 0.507 | 0.306 | 647 | -102.101 | 0.748 | -66059.311 | -184.154 |
| 2 | 3.0 | 1.5 | 0.5 | 15 | 1 | 1030 | -182.057 | 0.523 | 0.372 | 683 | -83.699 | 0.786 | -57166.302 | -184.311 |
| 2 | 2.0 | 1.5 | 0.5 | 15 | 0 | 1042 | -185.644 | 0.436 | 0.373 | 686 | -92.55 | 0.745 | -63489.096 | -184.552 |
| 2 | 3.0 | 1.5 | 0.3 | 15 | 1 | 1033 | -186.111 | 0.516 | 0.37 | 685 | -76.934 | 0.805 | -52700.084 | -184.647 |
| 2 | 3.0 | 2.5 | 0.3 | 25 | 0 | 1013 | -186.768 | 0.498 | 0.331 | 660 | -106.089 | 0.731 | -70018.752 | -184.826 |
| 3 | 3.0 | 2.5 | 0.5 | 25 | 1 | 995 | -189.745 | 0.517 | 0.329 | 648 | -99.885 | 0.754 | -64725.408 | -185.038 |
| 2 | 4.0 | 2.5 | 0.5 | 25 | 1 | 999 | -187.949 | 0.526 | 0.324 | 654 | -110.758 | 0.729 | -72436.051 | -185.392 |
| 2 | 2.0 | 1.5 | 0.5 | 25 | 0 | 1044 | -188.931 | 0.436 | 0.375 | 686 | -93.435 | 0.743 | -64096.679 | -185.491 |
| 2 | 4.0 | 2.5 | 0.3 | 15 | 0 | 999 | -188.408 | 0.483 | 0.31 | 658 | -116.13 | 0.706 | -76413.735 | -185.564 |
| 3 | 3.0 | 2.5 | 0.3 | 15 | 1 | 988 | -192.23 | 0.504 | 0.308 | 649 | -119.692 | 0.709 | -77679.907 | -185.803 |
| 3 | 2.0 | 2.5 | 0.3 | 25 | 1 | 978 | -191.452 | 0.482 | 0.265 | 644 | -116.166 | 0.709 | -74811.139 | -186.614 |
| 2 | 3.0 | 2.5 | 0.5 | 25 | 0 | 1009 | -190.177 | 0.492 | 0.331 | 659 | -100.435 | 0.741 | -66186.666 | -187.057 |
| 2 | 3.0 | 2.5 | 0.3 | 15 | 0 | 1004 | -189.679 | 0.474 | 0.316 | 660 | -107.728 | 0.723 | -71100.49 | -187.493 |
| 3 | 3.0 | 2.5 | 0.5 | 15 | 1 | 985 | -195.067 | 0.496 | 0.31 | 647 | -101.344 | 0.749 | -65569.372 | -187.543 |
| 2 | 4.0 | 2.5 | 0.5 | 15 | 0 | 995 | -191.724 | 0.477 | 0.312 | 657 | -108.362 | 0.722 | -71193.573 | -187.554 |
| 3 | 2.0 | 2.5 | 0.3 | 15 | 1 | 975 | -193.454 | 0.475 | 0.259 | 644 | -118.971 | 0.702 | -76617.025 | -187.586 |
| 2 | 2.0 | 2.5 | 0.3 | 15 | 0 | 980 | -187.178 | 0.446 | 0.255 | 651 | -101.023 | 0.731 | -65766.002 | -187.935 |
| 2 | 2.0 | 1.5 | 0.3 | 25 | 1 | 1050 | -192.239 | 0.48 | 0.374 | 682 | -74.523 | 0.805 | -50824.657 | -188.504 |
| 2 | 2.0 | 2.5 | 0.3 | 25 | 0 | 983 | -190.129 | 0.447 | 0.258 | 652 | -103.657 | 0.726 | -67584.091 | -188.612 |
| 2 | 2.0 | 1.5 | 0.3 | 15 | 1 | 1046 | -192.24 | 0.475 | 0.368 | 681 | -78.946 | 0.794 | -53761.997 | -189.261 |
| 3 | 2.0 | 2.5 | 0.5 | 25 | 1 | 976 | -192.872 | 0.475 | 0.269 | 642 | -103.553 | 0.737 | -66480.719 | -189.395 |
| 2 | 3.0 | 2.5 | 0.5 | 15 | 0 | 1000 | -191.164 | 0.473 | 0.318 | 659 | -100.718 | 0.737 | -66373.121 | -189.395 |
| 2 | 3.0 | 2.5 | 0.3 | 25 | 1 | 1002 | -190.385 | 0.519 | 0.321 | 655 | -122.446 | 0.702 | -80202.166 | -189.835 |
| 3 | 2.0 | 2.5 | 0.5 | 15 | 1 | 973 | -194.303 | 0.47 | 0.264 | 642 | -105.461 | 0.732 | -67705.682 | -189.86 |
| 2 | 2.0 | 2.5 | 0.5 | 15 | 0 | 977 | -189.23 | 0.437 | 0.258 | 650 | -96.305 | 0.738 | -62598.431 | -190.046 |
| 2 | 4.0 | 2.5 | 0.3 | 15 | 1 | 992 | -193.832 | 0.501 | 0.296 | 655 | -126.647 | 0.691 | -82953.73 | -190.36 |
| 2 | 2.0 | 1.5 | 0.5 | 25 | 1 | 1047 | -195.299 | 0.466 | 0.379 | 681 | -89.294 | 0.765 | -60809.28 | -190.605 |
| 2 | 2.0 | 1.5 | 0.5 | 15 | 1 | 1043 | -194.362 | 0.464 | 0.373 | 680 | -92.648 | 0.756 | -63000.877 | -191.072 |
| 2 | 2.0 | 2.5 | 0.5 | 25 | 0 | 980 | -192.532 | 0.437 | 0.261 | 651 | -99.227 | 0.732 | -64596.785 | -191.168 |
| 2 | 4.0 | 2.5 | 0.5 | 15 | 1 | 989 | -196.744 | 0.493 | 0.3 | 654 | -110.795 | 0.726 | -72460.198 | -191.408 |
| 2 | 3.0 | 2.5 | 0.5 | 25 | 1 | 999 | -194.692 | 0.509 | 0.322 | 654 | -106.81 | 0.736 | -69853.477 | -191.424 |
| 2 | 3.0 | 2.5 | 0.3 | 15 | 1 | 991 | -197.6 | 0.493 | 0.301 | 655 | -125.803 | 0.693 | -82401.167 | -193.931 |
| 2 | 3.0 | 2.5 | 0.5 | 15 | 1 | 988 | -201.058 | 0.484 | 0.303 | 654 | -109.512 | 0.729 | -71620.842 | -195.054 |
| 2 | 2.0 | 2.5 | 0.3 | 25 | 1 | 983 | -199.636 | 0.469 | 0.258 | 650 | -118.991 | 0.7 | -77344.438 | -195.157 |
| 2 | 2.0 | 2.5 | 0.3 | 15 | 1 | 979 | -200.555 | 0.463 | 0.253 | 650 | -121.679 | 0.693 | -79091.434 | -196.102 |
| 2 | 2.0 | 2.5 | 0.5 | 25 | 1 | 981 | -201.699 | 0.46 | 0.263 | 649 | -108.556 | 0.722 | -70452.643 | -196.969 |
| 2 | 2.0 | 2.5 | 0.5 | 15 | 1 | 977 | -202.052 | 0.456 | 0.258 | 649 | -110.352 | 0.717 | -71618.715 | -197.608 |
Rules and parameters
Rules
- Breakout of the 09:15-09:29 range and prior 20-bar high/low, body/range ≥0.5, 5- and 15-minute close beyond EMA20 with EMA slope
- ≥3 of 4 confirmers: spot vs VWAP, 5-min RSI band, ATM±2 OI shift, option premium rising
- Entries 09:30-14:30, expiry day skipped, premium ≥20, cooldown 10 min, ≤3 trades, stop after 2 losses or ₹1,500
- Initial stop clip(3×ATR14, 3, 10) points; breakeven at +1R; trail peak − max(2×ATR, 40% of open profit); no target
- Fail-fast at 20 minutes below 0.5R; VWAP-against exit before +1R; 60-minute cap; 15:15 hard exit
Parameters
- capital
- 1 lot of 65 (₹ P&L); points also reported
- periods
- in sample 2021-11 to 2024-03, out of sample 2024-03 to 2025-09, sealed 2025-10 onward not opened
- costs
- dated Dhan-style charges (estimates), slippage 0.5 and 1.0 point per side
- data
- Dhan expired options 1-minute + index 1-minute OHLC
- pre-registration
- research/nifopt3/STRATEGY_NIFOPT3.md
- code
- research/nifopt3/ (prep, bt, run_bt, analyze)
Instrument
Nifty weekly options, ATM or 1 ITM, one lot of 65 · capital ₹100,000
Known limitations
- No bid/ask: fills are bar prices ± slippage
- Index volume zero: VWAP is an equal-weighted proxy
- OI is a step series (changes in about 40% of minutes)
- Events list missing (Budget days skipped in a sensitivity run only)
- Fees are estimates; pre-2026 STT history approximate
- Sealed period untouched
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.