EMA9 VWAP RSI scalp
A short-term option-buying scalp on NIFTY. It reads 5-minute bars of the futures and buys the ATM call when a bar closes above both its 9-period EMA and the session VWAP with RSI above 55, or the ATM put in the mirror case. It trades only in a morning and an afternoon window, books half at a small index move and trails the rest on the EMA and VWAP.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test, trend days that closed near the high or low made ₹85,948 over 138 trades, while quiet sessions lost ₹39,802 over 217 and choppy days ₹38,009 over 131. The exit is the first 5-minute close back through the EMA or VWAP, so a trade only lasts when price keeps moving away from both; on narrow or two-way days that recross comes within minutes, often after the 10-minute no-progress check has already cut the trade. Nervous evenings with India VIX above 14.5 made ₹23,530 over 135 trades. Weekly expiry days lost ₹28,429 over 103 trades, as ATM premium there reacts sharply to small wiggles.
About this strategy
- Build 5-minute bars of the near-month NIFTY future with a 9 EMA, a 14 RSI and the session VWAP.
- Only look at bars closing between 09:20 and 10:45 or between 13:45 and 15:10; the midday hours are skipped.
- Buy two lots of the ATM call when the close is above the EMA and VWAP and RSI is above 55; buy the ATM put when the close is below both and RSI is below 45.
- Exit everything if the future moves 0.175% against the entry, or if after 10 minutes it has made no progress beyond the entry level.
- When the future moves 0.30% in favour, book one lot and move the other lot's stop to its entry price.
- Exit the rest on the first 5-minute close back through the EMA or VWAP, and close everything at 15:10.
- Take at most two trades a session, one at a time.
Why traders use it
Each of the three filters answers a different question: the 9 EMA shows short-term momentum, VWAP shows which side has controlled the day's volume, and RSI confirms strength. When all three agree, the move has some backing, and buying an ATM option gives quick participation with a loss limited to the premium. Avoiding the midday lull, booking half early and trailing the rest are common scalping habits meant to take a little out of each move without overstaying.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, using two lots, the scalp made 490 trades and won 28% of them, ending ₹5,250 ahead before costs with a profit factor of 1.01. Exits were dominated by the EMA/VWAP recross (336 trades) and the no-progress rule (97); only 42 hit the index stop. Winners averaged ₹3,376 against ₹1,326 for losers. October made ₹29,239 and November lost ₹32,914. With a median hold of 10 minutes and frequent trading, costs decided the result: after ₹20 per order and bid-ask slippage it lost ₹49,015.
What the settings do
Risks
- Buying ATM options at a bar close pays the bid-ask spread every time, which turned a tiny gross profit into a loss.
- A low win rate means long losing streaks; the longest here was 10 trades.
- The index-based stop can be hit while the option has lost more than expected because of time decay.
- Booking half at the first target needs at least two lots; with one lot the whole trade exits there.
Who it suits
Active intraday option buyers who can automate fast entries and exits, and whose per-order costs are low, since trades last minutes. It suits those who accept many small losses waiting for a trend day.
Questions traders ask
What is the 9 EMA VWAP RSI scalping strategy?
It buys a call when a 5-minute close is above both the 9 EMA and VWAP with RSI above 55, and a put when it is below both with RSI under 45. Trades are short, exiting on the first close back through the EMA or VWAP.
Is EMA VWAP RSI scalping profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹5,250 before costs on two lots but lost ₹49,015 after ₹20 per order and bid-ask slippage, with statutory charges extra. Past results do not guarantee future ones.
Why skip the middle of the day?
Between late morning and early afternoon NIFTY often drifts in a narrow range, so EMA and VWAP signals tend to reverse quickly. Limiting entries to 09:20-10:45 and 13:45-15:10 aims to trade when moves are more likely to follow through.
What is the no-progress exit?
Ten minutes after entry, if the NIFTY future has not moved beyond the entry level in the trade's favour, the position is closed. A bought option loses time value while it waits, so a stalled trade is cut early.