Second candle VWAP breakout
This intraday futures setup skips the noisy opening candle and waits for the second 15-minute candle of the day, 09:30 to 09:45. Where that candle closes relative to the session VWAP decides the direction; a break of the candle's high or low triggers the trade, and the other end of the candle is the stop. There is no target, so a winning trade runs until 15:15.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
This is a pure trend-day strategy in this test. Trend days that closed near their high or low made ₹1,98,978 over 66 trades with a 52% win rate, because there is no target and the trade rides to 15:15. Every other kind of day lost: choppy wide-range sessions cost ₹1,32,873 over 58 trades and quiet ones ₹1,22,575 over 98. On those days the price breaks one side of the second candle, then swings back through the other side to the stop. Calm evenings with VIX below 11.5 were the worst VIX band, losing ₹36,360 over 61 trades.
About this strategy
- Mark the high, low and close of the near-month NIFTY future between 09:30 and 09:45, and read the session VWAP at 09:45.
- If the candle closed above VWAP, prepare to buy; if it closed below, prepare to sell.
- Buy one lot on the first tick above the candle high plus 0.1 point, or sell on the first tick below the candle low minus 0.1 point.
- The breakout order stays live until 15:00; only one trade per day, and no trade if the level is never crossed.
- Place the stop just beyond the opposite end of the candle.
- With no target, hold until the stop is hit or square off at 15:15.
Why traders use it
The first 15 minutes often carry overnight orders and gap reactions, so many intraday traders prefer to let them settle and use the next candle as a cleaner read of intent. VWAP adds a simple filter: a candle closing above it suggests buyers are paying up, below it that sellers dominate. The candle itself supplies both the trigger and a stop, so risk is known before the order is placed, and the open-ended exit lets trend days pay for several small losses.
The year in plain words
On NIFTY futures from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 224 trades and won 34%, losing ₹61,994 before costs (profit factor 0.88). Average wins of ₹5,981 were bigger than average losses of ₹3,554, but not by enough for the low hit rate. 138 trades were stopped at the candle's far end and 86 ran to 15:15. After ₹20 per order and bid-ask slippage the loss grew to ₹89,193. February and March made ₹74,918 between them, but May and June gave back over ₹1 lakh, and the maximum drawdown before costs was ₹1,47,264.
What the settings do
Risks
- The stop distance depends on the candle's size, so a volatile morning can mean a loss well above the average on a single trade.
- With a win rate near one in three, long losing streaks are normal and the drawdown can be deep.
- Fast reversals can fill the stop beyond the candle level.
- Futures need margin and move point for point, so one lot carries the full NIFTY exposure.
Who it suits
Intraday futures traders who want one simple, rule-based trade per day and can accept that most trades lose small while a few trend days carry the result. It needs futures margin and patience through losing months.
Questions traders ask
What is the second candle VWAP strategy?
It uses the 09:30 to 09:45 candle instead of the first one. If that candle closes above the session VWAP the trader buys a break of its high; if below, sells a break of its low. The other end of the candle is the stop and the trade is closed by the afternoon.
Is the second 15-minute candle breakout profitable on NIFTY?
In this backtest from 1 Oct 2025 to 30 Sep 2026 it lost ₹61,994 before costs and ₹89,193 after ₹20 per order and bid-ask slippage, with statutory charges extra. Strong months in February and March were outweighed by May and June. Past results do not guarantee future ones.
Why use the second candle instead of the first?
The first candle of the session often reflects overnight news and opening orders, so its range can be erratic. Waiting fifteen more minutes gives a candle formed after that first rush, and a VWAP reading based on more of the day's volume. The trade-off is a later entry on days that trend from the open.
Does the strategy use a target?
No. A trade ends only at its stop or at 15:15, so winners on trend days can be large. That is why the average win is bigger than the average loss even though only about a third of the trades won.