ADX regime router
This intraday NIFTY futures system changes its style during the day according to the 5-minute ADX. When ADX says the market is trending, it trades an opening-range breakout in the direction of VWAP. When ADX says the market is ranging, it fades moves that have stretched too far from VWAP and aims for a return to it. In between, it does nothing. The goal is one system that adapts to the kind of day it is in.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the trend side carried the system and the fade side sank it. Trades on 92 trend days made +₹3,29,916 with a 58% win rate. On 86 choppy days the system lost ₹2,30,396, winning under a third, and on 150 quiet sessions it lost ₹1,13,836. Quiet and choppy days are where ADX is low and fades fire, yet a 0.5 ATR stop is small against normal 5-minute swings, so most fades were stopped before reaching VWAP. Gap-up openings lost ₹42,620 over 48 trades, and nervous evenings with India VIX above 14.5 lost ₹32,647 over 89, while calm ones made ₹21,316.
About this strategy
- Build 5-minute candles of the near-month NIFTY future and track ADX(14), ATR(14) and the session VWAP; mark the 09:15 to 09:30 high and low as the opening range.
- Trend mode (ADX 25 or above): a candle closing above the range high and above VWAP buys; one closing below the range low and below VWAP sells. Only one trend trade a day, with the stop at the far side of the opening range.
- Fade mode (ADX below 20): a candle closing more than 1 ATR above VWAP sells; more than 1 ATR below buys. The target is a touch of VWAP and the stop is 0.5 ATR against the entry.
- With ADX between 20 and 25, no trade is taken.
- Entries are allowed from 09:30 to 14:30, one position at a time and at most two trades a day, filled at the first tick after the candle closes.
- Anything still open is closed at 15:15.
Why traders use it
Breakout systems thrive on trend days and bleed on range days, and mean-reversion systems do the reverse. Using ADX as a switch is an appealing way to run the right tool at the right time instead of picking one style for all conditions. VWAP links both modes: breakouts must agree with it and fades target it, so the system always refers to the day's average traded price.
The year in plain words
On NIFTY futures from 1 Oct 2025 to 30 Sep 2026 with default settings, the system made 332 trades, won 39%, and lost ₹25,771 before costs, a profit factor of 0.96. The exit mix shows the fade side struggling: 98 fades hit their 0.5 ATR stop and only 35 reached VWAP, while 77 breakout trades were stopped at the far side of the range. October made ₹40,676, but May to August all lost. After ₹20 per order and bid-ask slippage on frequent trades, the loss grew to ₹1,36,316, with a drawdown of ₹1,89,523.
What the settings do
Risks
- ADX is a lagging measure, so the system often switches style after the opportunity has passed.
- The 0.5 ATR fade stop is small relative to normal 5-minute swings and was hit far more often than the VWAP target.
- With up to two trades a day, costs grew the loss more than fivefold in this test.
- On the first day of each futures series, the roll jump distorts ADX and ATR for that session.
Who it suits
Intraday futures traders interested in regime-switching ideas who can automate 5-minute decisions and want to study how an adaptive rule set performs, accepting that this version lost money.
Questions traders ask
What is an ADX regime-switching strategy?
It uses ADX, a trend-strength indicator, to decide which kind of trade to take. High ADX means a trend, so it trades breakouts; low ADX means a range, so it fades stretched moves. This version uses 25 and 20 as thresholds on 5-minute NIFTY futures candles.
Is the ADX regime router profitable on NIFTY?
Not in this backtest. From 1 Oct 2025 to 30 Sep 2026 it lost ₹25,771 before costs and ₹1,36,316 after ₹20 per order and bid-ask slippage, before statutory charges. Past results do not guarantee future ones.
Why does the breakout need to agree with VWAP?
Requiring the close to be above VWAP for a long and below it for a short filters breakouts against the day's average traded price. It is a simple check that buyers or sellers have controlled most of the session's volume.
What happens when ADX is between 20 and 25?
Nothing. That band is treated as unclear, neither trending nor ranging, and the system stays flat until ADX moves out of it. Widening or narrowing the gap between “ADX range” and “ADX trend” changes how many sessions are left untraded.