OI · PCR · VIX signalsPositionalNIFTYlow complexity

FII long/short ratio extreme

This strategy reads NSE's participant-wise open interest, which shows how many index futures foreign institutions hold long and short. When FIIs are extremely short at the start of a new monthly series, it takes the contrarian view that a short-covering rally is due and buys NIFTY futures for the month. Two other modes, a long-percentage version and a weekly-shift momentum version, are also built in.

When foreign institutions hold about seven short index futures for every long at a new monthly series, buys NIFTY futures and holds to expiry or a 1.5-ATR stop.

Market viewBullish

TradesNIFTY near-month futures, 1 lot

RiskOpen-ended (loss not capped by the structure)

CapitalFutures margin

SuitsIntermediate

Trades a month0.4

Typical hold5 days

Profitable months0 of 12

Longest losing run5 trades

Made money inNo condition earned: all 5 trades lost

Lost money inEntries in a 20-day downtrend (4 trades)Flat markets while held (3 trades)

Default settings

Symbol

Mode

Ls threshold

Long % low

Long % high

Weekly shift contracts

Weekly hold sessions

ATR n

ATR mult

Entry time

Exit time

Lots

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How it trades

What it trades

Universe

NIFTY Positional · 1 Oct 25 → 30 Sep 26

Enters

09:20 on the first session of a monthly series when FII long/short ratio is below 0.15

Legs

BUY FUT · near month · New series' near month · 1 lot

Exits

stop 1.5 x the 14-day ATR against the entryexpiry 15:15 on that series' futures expiry day

Re-entry

None until the next series start; one position at a time

Signal

from the NSE participant-wise open interest of the previous session (bt.participants("index_futures")): ratio L/S = FII index-futures long contracts / FII short contracts, long % = 100 x long / (long + short). MODE "ratio" : on the first session of a new monthly futures series, L/S below LS_THRESHOLD -> LONG. MODE "long_pct" : on the first session of a new series, long % below LONG_PCT_LOW -> LONG, above LONG_PCT_HIGH -> SHORT (contrarian). MODE "weekly_shift": any session, the FII net position (long - short) changed by at least WEEKLY_SHIFT_CONTRACTS over the last 5 published sessions -> LONG (net up) or SHORT (net down) - momentum, not contrarian.

Entry

at ENTRY_TIME, LOTS of the near-month NIFTY future (the new series' contract). One trade at a time; never on a futures expiry day (the near contract expires that afternoon).

Stop

ATR_MULT x ATR(ATR_N) points from the entry (daily ATR as of the previous close), at the trigger.

Exit

at EXIT_TIME on the futures contract's expiry day (the end of the series); in "weekly_shift" mode also at EXIT_TIME of the WEEKLY_HOLD_SESSIONS-th trading session after the entry.

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 5 trades · before costs

Net P&L−₹65,542

Win rate0%

Max drawdown−₹65,542

Avg per trade−₹13,108

Profit factor0

Worst trade−₹23,573

Where it made and lost money

Five trades are too few to judge any condition, and all five lost. Four came when NIFTY was already below its 20-day average and lost ₹61,967 together: an extreme FII short at that point tended to reflect an ongoing downtrend or hedges on stock holdings, not a crowd about to cover. Three trades held while NIFTY moved less than 1% still lost ₹41,300, because the entry and the 1.5-ATR stop sit close enough that ordinary swings reached the stop before any rally began.

India VIX the evening before

VIX below 11.5 (calm)−₹17,4111 trades0% won

VIX 11.5-14.5 (normal)−₹48,1314 trades0% won

Kind of session on the entry day

Quiet session (range under 0.75%)−₹45,2294 trades0% won

Trend day (closed near the high or low)−₹20,3131 trades0% won

Market while the trade was held

NIFTY rose over 1% while held−₹6701 trades0% won

NIFTY within ±1% while held−₹41,3003 trades0% won

NIFTY fell over 1% while held−₹23,5731 trades0% won

Session direction on the entry day

NIFTY closed above its open−₹27,8183 trades0% won

NIFTY closed below its open−₹37,7242 trades0% won

Trend going in

Uptrend (NIFTY above its 20-day average)−₹3,5751 trades0% won

Downtrend (NIFTY below its 20-day average)−₹61,9674 trades0% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

On the first session after a monthly futures expiry, read the previous session's FII index-futures positions from the participant data.
Compute the long/short ratio: FII long contracts divided by FII short contracts.
If the ratio is below 0.15, buy one lot of the new near-month NIFTY future at 09:20.
Place a stop 1.5 times the 14-day ATR below the entry.
Otherwise hold the position until 15:15 on that series' expiry day.
Only one position is open at a time, and no new trade starts on a futures expiry day.

Why traders use it

Foreign institutions carry the largest index-futures book, so their positioning is watched closely after every session. When their shorts outnumber longs by six or seven to one, the reasoning goes, there is little selling left and any good news forces them to buy back, fuelling a sharp rally. The data is free, published daily and easy to read, which makes the FII long/short ratio a staple of evening market commentary.

Works best whenNo condition produced a profit in this test. The rule needs a month when heavy FII shorts are bought back and NIFTY rises steadily through the new series without first falling 1.5 ATRs to the stop.

Struggles whenEntries made while NIFTY was below its 20-day average lost ₹61,967 over 4 trades, and three trades in which NIFTY stayed within 1% lost ₹41,300. Heavy FII shorts in a downtrend often meant continued selling or hedging rather than a short squeeze.

The year in plain words

In the default ratio mode on NIFTY from 1 Oct 2025 to 30 Sep 2026, the signal fired five times and all five trades lost. Three were stopped out by the ATR stop and two ran to expiry. The total was a ₹65,542 loss before costs and ₹66,468 after ₹20 per order and slippage. The worst single trade lost ₹23,573 in February; the last trade, opened on 30 Sep 2026, was stopped the next day for ₹20,313. With so few signals the sample is tiny, but in this period an extreme FII short did not lead to a rally within the series.

What the settings do

ModeRatio buys when the long/short ratio is below the threshold at series start. Long_pct trades both ways using FII longs as a percentage of all FII positions. Weekly_shift follows a big change in the FII net position over five sessions, on any day.Ls thresholdThe long/short ratio below which the ratio mode buys. Raising it toward 0.3 or 0.5 trades more series, at less extreme readings.Long % lowIn long_pct mode, an FII long share below this buys futures. A higher value triggers more often.Long % highIn long_pct mode, an FII long share above this sells futures. A lower value triggers more often.Weekly shift contractsIn weekly_shift mode, how many contracts the FII net position must change by over five published sessions to trigger a trade in that direction.Weekly hold sessionsIn weekly_shift mode, how many trading sessions the position is held before it is closed, if the stop or series expiry has not ended it first.ATR nHow many days the ATR used for the stop averages over. Longer periods give a steadier stop distance.ATR multThe stop distance in ATRs. A wider stop survives more swings but loses more when it is hit.Entry timeWhen the futures order is placed on the signal day.Exit timeThe time of day for the expiry-day exit and, in weekly_shift mode, the end of the holding period.

Risks

Signals are rare, so a year's result rests on a handful of trades and is easily dominated by luck.
FII short futures are often hedges or arbitrage legs rather than a directional bet, which weakens the signal.
Futures are held overnight for up to a month, so gaps can jump past the ATR stop.
The contrarian threshold comes from a study with only four past events, not from a long record.

Who it suits

Traders who follow institutional positioning data and want a once-a-month positional futures trade, with the margin to hold through overnight gaps and the patience for very few signals.

Questions traders ask

What is the FII long short ratio?

It is the number of index futures contracts FIIs hold long divided by the number they hold short, from NSE's daily participant-wise open interest. A ratio of 0.15 means about one long contract for every seven short. Some traders also use the long percentage: longs as a share of all FII positions.

Does an extreme FII short position lead to a rally?

Not in this test. Over 1 Oct 2025 to 30 Sep 2026 the ratio fell below 0.15 at series start five times and NIFTY futures bought on those days lost on all five. Short positions held by FIIs can be hedges of their stock holdings, so a high short count does not always mean a bearish bet.

Is the FII long short ratio strategy profitable?

In this backtest it lost ₹65,542 before costs and ₹66,468 after ₹20 per order and bid-ask slippage, with no winning trades out of five. Statutory charges are excluded. Five trades are far too few to judge the idea either way, and past results do not guarantee future ones.

When is participant-wise open interest published?

NSE publishes it after the close each day. The strategy only uses the previous session's figures at the 09:20 entry, so the backtest never sees data that would not yet have been available.

Terms used here

Participant-wise OI FII / DII flows Futures Mean reversion ATR Stop loss (SL)Monthly expiry Open interest (OI)Intraday vs positional Win rate

Before you rely on it

WATCH OUTn = 4 for the headline claim; FII shorts are partly hedges of cash holdings and index arbitrage, not pure direction; One source says participant OI is not a standalone signal.

WHERE THE RULES WERE UNCLEAR · OUR CHOICES- The study behind the 0.15 threshold has four events (Sep-22, Mar-23, Oct-23, May-24); the threshold is the source's, not tuned. L/S and long % are different formulas: both are offered, "ratio" is the default. The long % thresholds (20 / 80) are the spec's interpretation. - "Series start" = the first session after the near-month futures expiry (day.is_futures_expiry on the previous session). The participant file of the expiry day itself is published that evening, so the signal uses data known before the 09:20 entry - no lookahead. - The 1.5 x ATR(14) stop is the spec's interpretation (no source gives a stop). The weekly-shift mode's 5-session hold is ours: the alert gives a direction, not a holding period. - A participant row with no FII positions at all (long and short both 0 - a partly missing file, e.g. 2025-12-30) is treated as missing: no signal that day, and it is left out of the 5-session change.

Also known asfii long short ratiofii long %fii short covering rally

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.