CPR breakout & fade
The Central Pivot Range (CPR) is built from yesterday's high, low and close. Many traders believe a narrow CPR hints at a trending day and a wide one at a range-bound day. This strategy acts on both readings with NIFTY futures: on narrow days it trades a breakout of the CPR, on wide days it fades touches of the CPR edges back towards the pivot, and on ordinary days it stays out.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
Most of the profit came from volatile, directional days. In this test 29 trend days earned ₹53,668 and 28 trades taken after India VIX closed above 14.5 made ₹44,785, as breakouts on narrow-CPR days ran to the 2:1 target. Quiet sessions lost ₹13,788 over 41 trades and days after a normal VIX between 11.5 and 14.5 lost ₹12,761 over 45: breakouts lacked follow-through and stopped at the opposite CPR edge. Fridays stood out with ₹31,514 over 23 trades, which is more likely chance than a pattern. With 97 trades, each of these groups is small and should be read with care.
About this strategy
- From the previous session's futures high, low and close, compute the pivot, the two CPR levels, and the CPR width as a percentage of the pivot.
- Rank today's width against the last 20 sessions. In the narrowest 20% the day is 'narrow'; in the widest 20% it is 'wide'; otherwise no trade.
- Narrow day: on 5-minute bars, the first close above the CPR top buys one lot and the first close below the bottom sells one lot. The stop is the opposite CPR edge and the target is twice the risk.
- Wide day: if a bar touches the CPR top but closes back below it, sell; if it touches the bottom and closes back above it, buy. The stop sits 0.2% beyond the touched edge and the target is the pivot.
- Entries fill on the tick after the signal bar closes, only one trade a day, and only from bars closing by 14:30.
- Stops and targets are watched tick by tick; anything still open is closed at 15:15.
Why traders use it
CPR gives a trader three levels before the market opens and a quick read on what kind of day to expect. A narrow range means yesterday closed near its midpoint after a compact session, which some read as energy waiting to be released; a wide range suggests the market has already moved a lot and may rotate. Switching between breakout and fade logic tries to match the tactic to the day rather than forcing one style every session.
The year in plain words
From 1 Oct 2025 to 30 Sep 2026 on NIFTY futures, the default rules traded on 97 days and won 53% of them, making ₹33,182 before costs with a profit factor of 1.18. Exits were spread out: 38 stops, 29 targets and 30 time exits. Most of the profit came from February and March (₹22,106 and ₹31,550), while September lost ₹28,821 and the first four months were all slightly negative. After ₹20 per order and bid-ask slippage the profit shrinks to ₹8,693. It stayed positive after costs, but the edge is modest and concentrated.
What the settings do
Risks
- The core assumption that CPR width predicts the day type is debated, and the evidence for it is mixed.
- Two months produced most of the year's profit; without them the result would be roughly flat or negative.
- On narrow days the stop is the opposite CPR edge, so a single loss can be large if the levels are far apart at entry; the worst trade lost ₹11,135.
- One lot of NIFTY futures needs margin and moves fast intraday.
Who it suits
Traders who already plan their day around pivot levels and want a rule-based way to test the narrow and wide CPR ideas, with margin for a NIFTY futures lot and patience for long flat spells.
Questions traders ask
How is the CPR calculated?
From the previous session's high, low and close: the pivot is the average of all three, the bottom central level is the average of high and low, and the top central level is twice the pivot minus that. The larger of the two is treated as the top of the range and the smaller as the bottom.
What does a narrow CPR mean?
It means yesterday's close was close to the middle of its range, giving a tight band of central levels. Many traders read that as a sign of a trending day ahead. In this strategy a day is called narrow when its CPR width is in the lowest 20% of the past 20 sessions.
Is the CPR breakout and fade strategy profitable?
In this backtest on NIFTY futures from 1 Oct 2025 to 30 Sep 2026 it made ₹33,182 before costs and ₹8,693 after ₹20 per order and bid-ask slippage, with a ₹37,089 maximum drawdown before costs. Most of the gain came in two months. Past results do not guarantee future performance.
Why does the strategy skip most days?
Only days whose CPR width falls in the narrowest or widest fifth of recent sessions qualify. Ordinary days in between are treated as giving no clear signal, which is why it traded on 97 days in the year rather than every session.