Backtest popular option strategies: 241 NSE strategies tested

Time-based ATM short straddle with a stop on each leg.

+₹19.4k

Fixed-distance OTM strangle

Intraday short strangle a fixed number of points either side of ATM, with a stop on each leg.

+₹20.2k

Premium-matched strangle

Premium-matched short strangle: sell the call and the put whose premium is just above Rs X.

+₹13.2k

Straddle with trailing leg stops

Intraday ATM short straddle with a per-leg stop that trails down in fixed steps as each leg decays.

+₹1.34L

Delta-based short strangle

Delta-picked intraday short strangle with a stop on each leg plus a combined MTM stop and target.

+₹18.0k

Straddle, stop to cost

Intraday ATM short straddle; when one leg is stopped, the surviving leg's stop moves to its entry price.

+₹57.0k

and 31 more option selling · intraday strategies in the list.

Futures · technical

66 strategies

Supertrend intraday

Supertrend(10, 3) cross on 5-minute NIFTY futures bars, entries 09:30-15:00, square-off 15:15.

−₹27.6k

15-min opening range breakout

15-minute opening range breakout on NIFTY futures, % stop, one trade a day, 15:15 square-off.

−₹25.8k

CPR regime on NIFTY futures: narrow CPR -> trade the TC/BC breakout; wide CPR -> fade the CPR edges.

Parabolic SAR stop-and-reverse

Parabolic SAR stop-and-reverse on NIFTY futures, 30-minute bars, always in the market, held across days.

+₹4.70L

5 EMA alert-candle reversal on NIFTY futures: shorts on 5-min, longs on 15-min, 1:2.

Dual Thrust intraday on NIFTY futures: open +/- k x N-day range, stop-and-reverse once, flat by 15:15.

and 60 more futures · technical strategies in the list.

OI · PCR · VIX signals

32 strategies

VIX spike dip-buy

Extreme India VIX / Williams VIX Fix percentile rank -> buy NIFTY futures, exit after 4 days.

−₹45.2k

PCR extreme contrarian

NIFTY open-interest put-call ratio extremes - contrarian positional futures trade.

+₹1.49L

IV-percentile short strangle

IV-percentile gated premium selling: 16-delta short strangle on the nearest monthly when IVP is high.

+₹22.5k

Daily price / open-interest quadrant on NIFTY futures: trade long and short build-ups.

Peak-OI strike migration: the put wall moving up = bullish, the call wall moving down = bearish.

5-min OI build-up, stock futures

Intraday · RELIANCE

−₹5.5k

5-minute open-interest build-up momentum on a stock future.

Results run-up long straddle

and 26 more oi · pcr · vix signals strategies in the list.

Events & results

8 strategies

Stock results: buy the ATM straddle into the IV run-up, sell it before the announcement.

−₹825

Results IV-crush short straddle

Stock results: sell the ATM straddle just before results when IV is rich, buy it back after the IV crush.

+₹8.8k

Buy the NIFTY ATM straddle (or a strangle) near the close of the session before an RBI policy decision and sell it the next morning, after the announcement.

Budget-day short straddle

Union Budget day only: sell the NIFTY ATM straddle mid-morning for the IV crush, with a stop on each leg, and square off before the close.

−₹5.1k

Buy the NIFTY ATM straddle a few sessions before the Union Budget to ride the volatility run-up, and sell it the session before the speech - before the IV crush.

US CPI/FOMC night straddle

Hold a NIFTY ATM straddle overnight across a US CPI release or FOMC decision and sell it in the first minutes of the next session, after the gap.

+₹9.2k

and 2 more events & results strategies in the list.

Option selling · positional

34 strategies

Iron condor with rolls

Weekly iron condor: roll the untested side in when the tested short doubles; stop at the iron-fly stage.

+₹32.0k

Weekly iron condor, 2 days out

Time-based weekly NIFTY iron condor: enter 15:00 two trading days before expiry, exit 15:15 on expiry day.

−₹19.2k

Monthly 45-DTE short straddle

Monthly NIFTY ATM short straddle at ~45 DTE; exit at 50% profit, 100% loss of credit, or 21 DTE.

−₹29.8k

Weekly iron condor at 1.5 SD

NIFTY weekly iron condor at 1.5 standard deviations, entered 3 trading days before expiry, 3x-credit stop.

+₹21.7k

Monthly put write on EMA cross

Monthly NIFTY put writing on a 5/10 EMA bullish crossover when IV percentile > 50; exit after 15 days.

−₹5.9k

Monthly 16-delta strangle

Monthly NIFTY 16-delta short strangle at ~45 DTE: manage at 50% of credit or 21 DTE, stop at 200% loss, roll the untested side to 30 delta once when a short gets tested.

+₹8.3k

and 28 more option selling · positional strategies in the list.

Option buying

20 strategies

ORB option buying

NIFTY 30-minute opening-range breakout, option buying, with day filters and a Greeks gate.

−₹70.5k

First 5-min candle breakout

First 5-minute candle break: buy the ATM call above its high, the ATM put below its low.

+₹16.3k

IV-rank gated option buying

An IV-rank gate on option buying: the same opening-range breakout buy, taken only when implied vol is low in its own range.

−₹17.7k

Fade a failed break of the 15-minute opening range when RSI is stretched - or, in breakout mode, buy a range break that comes on heavy volume.

Scalp the ATM option when the 5-minute close is above (below) both its 9 EMA and VWAP with RSI agreeing - only in the morning and afternoon windows.

Rs 80 option breakout buy

Buy the ~Rs 80 option when its own 1-minute chart makes a new closing high of the day with RSI above 60; 30% stop, then a trail.

−₹47.4k

and 14 more option buying strategies in the list.

Calendar & seasonality

15 strategies

Overnight futures (BTST)

Overnight-only NIFTY futures long: buy near the close, sell early next session (BTST).

−₹1.62L

Overnight short straddle

Sell the NIFTY ATM straddle just before the close and buy it back early the next morning - the overnight volatility premium.

+₹24.3k

Turn-of-the-month long

Turn-of-the-month: buy NIFTY futures at the close a couple of sessions before month end and sell at the close of the third session of the new month.

−₹73.3k

Diwali seasonality on NIFTY futures: hold a long into the Muhurat trading session (variant A), through the month before it (variant B), or only during the session itself (variant C).

Rebound after a 2% fall

Buy NIFTY futures at the open after a session that fell 2% or more, and sell at the close five sessions later.

+₹59.4k

Short the day session

Short NIFTY futures just after the open and cover before the close, every day - a bet on the small negative drift of the trading session.

+₹48.9k

Pairs trading (cointegration)

and 9 more calendar & seasonality strategies in the list.

Stock F&O

12 strategies

Positional · HDFCBANK

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Cointegrated stock pair on futures: walk-forward OLS hedge ratio, z-score entry and exit.

F&O ban-list mechanics on one stock: never open while it is in the ban, trade its futures the session the ban lifts, close if it re-enters, and log what happens after it enters the ban.

Physical settlement guard

Stock F&O physical-settlement guard: a monthly stock option or future that exits before delivery obligations start - long ITM options by T-4, futures by T-1, anything near the strike by 15:00 on expiry day.

−₹1.29L

Futures calendar spread arbitrage

Near vs next-month futures calendar spread: sell the rich month when the spread strays from its fair carry.

−₹1.8k

Stock futures momentum

Monthly 12-month momentum, one F&O stock at a time: hold its future long while its 12-month return qualifies.

−₹1.13L

Ban-exit rally on one F&O stock: buy its near-month future at the open of the first session after it leaves the F&O ban, only while it trades above its 20-day average; 2-ATR stop, out after HOLD_SESSIONS sessions.

and 6 more stock f&o strategies in the list.

Other

2 strategies

RSI 2 pullback

Two-period RSI pullback on daily NIFTY futures: buy deep oversold closes, short deep overbought ones, add on each further extreme day and exit when RSI(2) gets back to 50.

+₹14.6k

Classic error-ratio pair trade on two stocks' futures: 200-day regression, the lower error ratio picks Y and X, enter at 2.5 standard errors, exit at 1, stop at 3.

Error-ratio pair trade

Positional · AXISBANK

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Expiry day

15 strategies

Expiry-day hero-zero buy

On the weekly expiry day, buy a cheap OTM option in the direction of an afternoon range breakout and hold it for a blast or zero.

−₹6.2k

Expiry-day Rs 1 option selling

On the weekly expiry day, sell the far-OTM options trading near Rs 1 and let them expire, with a stop at twice the premium.

+₹6.3k

Expiry morning range condor

On NIFTY weekly expiry day, sell an iron condor just outside the first half hour's range; book at 60% captured, out by 14:30.

+₹14.3k

Straddle-width iron fly

Sell the ATM straddle at 09:35 and buy wings placed one straddle-price away, so the wing width follows the market's own expected move.

+₹22.5k

Expiry close straddle buy

On the weekly expiry day, buy the ATM straddle minutes before the close to catch the settlement-window move, take double the cost, else get out just before the bell.

−₹2.1k

Expiry-day stacking straddle

On the weekly expiry day, sell a hedged ATM straddle and sell another one every time ATM moves a VIX-sized step away; each short leg has its own 2.25x stop.

+₹1.70L