Prior-day break, ATR exits
Breaking the previous day's high or low is one of the simplest intraday triggers. This version only takes the break in the direction the daily trend allows. If yesterday closed above its 9-day EMA, today opened above the 20-day EMA and RSI is 50 or higher, a break above yesterday's high buys the ATM call; the bearish mirror buys the ATM put on a low break. Stops and targets are set from the daily ATR.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the breakout only paid on trend days, making ₹54,327 over 30 trades with a 60% win rate, because the break of yesterday's level kept going to the half-ATR target. Choppy days lost ₹23,536 over 28 trades and quiet days ₹21,834 over 34: the break poked through and fell back to the quarter-ATR stop. The trend filter worked better on the downside: trades taken while NIFTY was below its 20-day average made ₹38,624 over 53, while those in an uptrend lost ₹29,668 over 39. Gap-up days lost ₹16,181 over 10 trades, often buying a call after the move had already happened.
About this strategy
- Use daily bars of the near-month NIFTY future. Skip the session after a futures expiry, when yesterday's levels belong to the old contract.
- Call day: yesterday's close above its EMA 9, today's open above yesterday's EMA 20, and yesterday's RSI(14) at 50 or above. Put day: the mirror.
- From 09:16 to 14:30, the first tick more than 0.1% above yesterday's high on a call day buys one lot of the ATM call of the nearest weekly expiry. On a put day, the first tick 0.1% below yesterday's low buys the ATM put. A gap beyond the level buys at the first print.
- Stop when the future moves 0.25 times yesterday's ATR(14) against the entry.
- Target when the future moves 0.5 times ATR(14) in favour.
- Otherwise sell at 15:15. One trade a day, no re-entry.
Why traders use it
Yesterday's high and low are levels every intraday trader watches, and a break of them often draws in fresh orders. Filtering by the daily trend means buying calls only in uptrends and puts only in downtrends, so the break works with the larger move. Using the ATR to place the stop and target adapts them to how much NIFTY has been moving: wider in volatile weeks, tighter in calm ones. The 2:1 target-to-stop ratio lets it lose more often than it wins.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy took 93 trades, won 40% and made ₹4,830 before costs, a profit factor of 1.04. After ₹20 per order and bid-ask slippage it lost ₹598, essentially breakeven. Wins averaged about ₹3,304 against losses of ₹2,097. Forty-three trades hit the ATR stop, 21 reached the ATR target and 29 were closed at 15:15. March was the best month at ₹23,293 and September made ₹14,432, while April, June and July each lost more than ₹11,000. Maximum drawdown was ₹47,141 before costs.
What the settings do
Risks
- A stop of a quarter of the daily ATR is small, so ordinary pullbacks after a breakout stop many trades.
- Profit before costs was thin enough that costs alone turned it negative.
- Gap openings beyond the level buy at the first print, often after much of the move has already happened.
- Bought weekly options lose value through the day if the move stalls before 15:15.
Who it suits
Intraday option buyers who like clear, widely watched levels and a trend filter, and can accept roughly two losing days for every winning one. Capital need is limited to one ATM premium per trade.
Questions traders ask
What is a previous day high breakout strategy?
It buys when price trades above yesterday's high (or sells when it trades below yesterday's low), on the view that breaking a level many traders watch can trigger a fresh move. This version only takes breaks in the direction of the daily EMA and RSI trend, and buys an option rather than futures.
Is the previous day high breakout option strategy profitable?
In this backtest on NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹4,830 before costs and lost ₹598 after ₹20 per order and bid-ask slippage, with statutory charges excluded. That is close to breakeven over 93 trades. Past results do not guarantee future ones.
Why are the stop and target based on ATR?
ATR measures how far NIFTY typically moves in a day. Setting the stop at 0.25 ATR and the target at 0.5 ATR keeps them in proportion to current volatility instead of using fixed points that may be too tight in a volatile month and too loose in a quiet one.
Why skip the day after a futures expiry?
The levels and indicators come from the near-month future. After expiry the near month changes to a new contract that trades at a different price, so yesterday's high and the EMAs would compare two different contracts. Skipping that session avoids false breaks.