CPR day-type switch
This intraday NIFTY futures strategy first decides what kind of day it is. At 09:25 it checks whether price sits inside a zone built from yesterday's pivot levels. Inside the zone, it treats the day as sideways and trades Stoch-RSI reversals. Outside it, it treats the day as trending and buys or sells a VWAP reclaim in the trend's direction only. Two entry engines, one switch.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the before-costs profit came mostly from trend days, which made ₹13,111 over 72 trades at a 62% win rate, against only ₹3,234 over 70 choppy days. On a day that keeps moving, the 1R target is hit before the stop; on a choppy day, the fractal or signal-bar stop is reached as often as the target. The strategy did far better in falling sessions (₹23,424 over 151 trades) than in rising ones (₹3,880), and gap-down mornings lost ₹4,173 over 37 trades. Days after an India VIX close above 14.5 made just ₹741 from 56 trades, so wide nervous swings added trades without adding profit.
About this strategy
- Before the open, compute classic floor pivots from the previous session's futures high, low and close: P, the CPR, R1, R2, S1, S2. The zone runs from the lower of S1 and the previous low to the higher of R1 and the previous high.
- At 09:25, look at the close of the 5-minute bar: inside the zone means a sideways day, above it trend up, below it trend down. The label holds for the whole session.
- Sideways day: go long when Stoch-RSI %K crosses above %D with both at 20 or lower, short when it crosses below with both at 80 or higher. The stop is today's latest confirmed fractal swing low or high.
- Trend day: after a bar closes on the wrong side of VWAP, take the next bar that closes back across it in the trend's direction with at least 40% of its body beyond VWAP, RSI(14) on the right side of 50 and EMA 5 above (below) a rising (falling) EMA 20. The stop is that bar's low or high.
- Enter one lot of the near-month future at the next tick, between 09:30 and 15:00. Skip if the stop is over 30 points away or if the next pivot level is closer than the risk.
- Default exit is a target equal to the risk (1R). The TRAIL mode instead moves the stop to cost at 1R and exits on a close beyond the prior bar.
- One position at a time, up to three trades a day; anything open at 15:15 is closed. The session after a futures expiry is skipped.
Why traders use it
Most indicator systems work on one kind of day and bleed on the other. Oscillator reversals do well in a range and get run over in a trend; VWAP pullbacks catch trends but chop around in a range. Using the opening position against yesterday's pivots to pick the engine is an attempt to match the tool to the day. CPR and pivot levels are widely watched by Indian intraday traders, which gives the levels some self-fulfilling weight.
The year in plain words
From 1 Oct 2025 to 30 Sep 2026 on NIFTY futures with default settings, the strategy took 299 trades, won 54% and made ₹26,075 before costs (profit factor 1.2, maximum drawdown ₹14,339). Wins and losses were almost the same size, about ₹990 and ₹965, so the edge came from winning slightly more often. December alone contributed ₹15,802. Most trades came from the sideways engine: 109 Stoch-RSI stops against only 28 VWAP-reclaim stops, with 159 trades reaching the 1R target. After ₹20 per order and bid-ask slippage, the result became a ₹58,856 loss with a ₹61,842 drawdown. With an average gain of about ₹87 a trade, costs swallowed the edge several times over.
What the settings do
Risks
- Average profit per trade before costs was only about ₹87, so normal trading costs turn the result negative.
- The day type is fixed at 09:25 and never revised, so a misread morning keeps the wrong engine running all session.
- Sideways-day trades fade the move, and a breakout from the range can stop several of them out in a row.
- Many parameters interact, which makes it easy to find settings that fit the past and fail later.
- Futures positions carry full point-for-point exposure and need margin, unlike a bought option.
Who it suits
Intraday futures traders who already follow CPR and pivot levels and want to test a rule-based way of separating range days from trend days. It needs screen time or automation, margin for one futures lot, and tolerance for many small trades.
Questions traders ask
What is a CPR day-type strategy?
It uses the central pivot range and floor pivots from the previous session to label the day. If the early price sits inside yesterday's pivot zone, the day is treated as sideways and traded with a reversal tool; if it sits outside, the day is treated as trending and traded only in that direction. This version labels the day from the 09:25 bar.
Is the CPR Stoch-RSI VWAP strategy profitable?
In this backtest on NIFTY futures from 1 Oct 2025 to 30 Sep 2026 it made ₹26,075 before costs from 299 trades, but lost ₹58,856 after ₹20 per order and bid-ask slippage. Statutory charges were not included and would deepen the loss. Past results do not guarantee future ones.
Why does it trade futures instead of ATM options?
The idea is often traded by buying at-the-money calls or puts on index signals. This version keeps the signals and stops on the near-month future so the result measures the rules themselves, not the option's time decay or the choice of expiry. VWAP is computed from the future's own traded volume because the index has no volume.
What is a Stoch-RSI crossover?
Stoch-RSI applies the stochastic formula to RSI values, giving a fast 0-100 oscillator with a %K line and a smoother %D line. Here a long needs %K to cross above %D while both are at 20 or lower; a short needs the opposite at 80 or higher. It is used only on days labelled sideways.