Opening range fade
Most opening range strategies buy the break; this one bets against it. When a 5-minute bar pushes outside the first 15 minutes' range but closes back inside, with RSI stretched, the strategy buys the ATM option in the opposite direction. Each trade risks ₹500 for a ₹1,000 target, with a daily loss cap. A breakout mode with a volume filter is also available.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
The strategy lost in every condition in this test, so the evidence only shows where it lost least. Trend days that closed near the high or low were the worst per trade, losing ₹6,000 over 36 trades with a 22% win rate: the failed break it fades was often just a pause before the trend resumed. Quiet sessions lost least per trade, ₹8,792 over 74, and choppy days lost ₹5,000 over 40. Flat opens lost ₹14,222 over 91 trades. Across all groups, the win rate stayed between about a fifth and a third, because a ₹500 stop on one lot of an ATM option is only a few points of premium and noise reaches it before the reversal does.
About this strategy
- Mark the high and low of the NIFTY future from 09:15 to 09:30.
- Build 5-minute bars and a 14-period RSI carried over from earlier sessions.
- If a bar trades below the range low but closes back above it with RSI at or below 35, buy the ATM call.
- If a bar trades above the range high but closes back below it with RSI at or above 65, buy the ATM put.
- Use the nearest expiry with at least one day left, one lot, bought at the signal bar's close.
- Exit at a ₹500 loss or a ₹1,000 profit on the trade, or at 15:14.
- Take further signals after an exit, up to three trades or until the day has lost ₹1,000.
Why traders use it
Many breakouts of the opening range fail, trapping traders who bought or sold the break. A bar that pokes outside and then closes back inside is a visible sign of that failure, and a stretched RSI suggests the move has run out of energy. Buying an option rather than futures caps the loss at the premium, and a fixed rupee risk with a two-to-one target keeps the arithmetic simple.
The year in plain words
With default settings on NIFTY from 1 Oct 2025 to 30 Sep 2026, the fade mode made 151 trades and won only 26%, losing ₹18,792 before costs (profit factor 0.66). The ₹500 stop was hit 112 times, the ₹1,000 target 36 times and the 15:14 time exit 3 times; with a two-to-one payoff, the win rate needed to be above a third just to break even. Only October, December and March were positive. After ₹20 per order and bid-ask slippage (statutory charges excluded) the loss rose to ₹26,257. The tight rupee stop, a few points of ATM premium, was hit too easily by normal noise.
What the settings do
Risks
- A ₹500 stop on one lot of an ATM option is only a few points, so normal fluctuation triggers it often.
- Fading breakouts means trading against momentum on trending days.
- Bought options lose time value through the day if the expected reversal is slow.
- Signals are bought at the bar close, so fast reversals may already be partly over at entry.
Who it suits
Option buyers who prefer counter-trend setups with a fixed, small rupee risk per trade and a daily loss limit. The default settings lost money, so it suits those willing to test wider stops or the breakout mode.
Questions traders ask
What is an opening range fade?
It is a trade against a failed breakout of the first minutes' range. If the price breaks above the opening high and then closes back below it, the trader takes a bearish position, and vice versa, expecting the failed move to reverse.
Is the opening range fade strategy profitable?
Not in this backtest. On NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹18,792 before costs and ₹26,257 after ₹20 per order and bid-ask slippage, with statutory charges extra, and won only 26% of trades. Past results do not guarantee future ones.
Why use RSI in a fade?
RSI below 35 or above 65 suggests the move into the range edge is already stretched. Requiring that alongside the close back inside the range filters out some breaks that still have momentum behind them.
What does breakout mode do?
It flips the logic: a 5-minute bar closing beyond the opening range on volume at least 1.2 times the recent average buys the option in the breakout direction. It lets you compare fading and following the same range.