Signal on Nifty spot · loser · worst 10% of 806 trades

09 Jan 2025expiry day

BUY ITM4−₹4,370−₹4,270 before ₹100 costs
SELL ITM4−₹3,971−₹3,871 before ₹100 costs
Entry10:50 at 23,554.20 — the 10:45 candle closed below the OR lowExit23,606.55 — 12:15 candle closed back inside the range — out at its close
23,50023,55023,60023,650OR high 23,682.5OR low 23,601.7 · stop: close back aboveEntryExit9:1510:0011:0012:0013:0014:0015:0015:30200EntryExit9:1511:0013:0015:00BUY · ITM4 23,750 PE bought · 217.75 → 152.05200300EntryExit9:1511:0013:0015:00SELL · ITM4 23,350 CE sold · 198.05 → 257.60
exit ruleout atwhyBUY ITM4SELL ITM4
no trail12:20back in range−₹4,370−₹3,971
SMA 511:10trail−₹19+₹241
SMA 1011:25trail−₹1,325−₹880
SMA 2012:20back in range−₹4,370−₹3,971
half-candle12:20back in range−₹4,370−₹3,971
Same signal, five exit rules. The highlighted row is the one drawn. BUY = buy the call on an up-break, the put on a down-break. SELL = sell the put on an up-break, the call on a down-break.
Backtest data, 5-minute candles. Gold lines = 9:15–9:30 opening range; blue line = the trailing SMA. Entry at the next candle's open. A failed breakout exits at the close of the candle that fell back inside; other exits at the next open. Printed prices only. 1 lot = 65, ₹100 per trade.