Supertrend credit spread roll
This positional strategy sells a weekly NIFTY credit spread in the direction of a slow Supertrend on 5-minute bars, but only when ADX says a real trend is in place. A bull put spread goes on after a bullish flip and a bear call spread after a bearish one. The spread is held until the trend flips back, booked and rolled forward when it reaches nearly its maximum profit.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
As a trend follower, this spread made its money on days the market really moved. In this test the 23 trades entered on trend days earned ₹5,494 before costs with a 43% win rate, several times the whole year's profit. The 28 trades entered on quiet days lost ₹5,836 and won only 14%, because a slow Supertrend flip in a narrow range usually reversed before the spread could gain. Higher volatility helped: trades after India VIX closed above 14.5 made ₹3,708, while those after a calm close below 11.5 lost ₹2,233. Expiry-day entries lost ₹3,521 over 23 trades and won only 9%, with little time left for the spread to work.
About this strategy
- Build 5-minute bars from the NIFTY near-month future and compute a Supertrend with period 80 and multiplier 3.6, and a 14-bar ADX.
- When the Supertrend flips at a bar's close and ADX is 30 or higher, prepare a trade in the new direction; flips outside 09:20 to 15:00 are taken at 09:20 next session.
- Bullish flip: sell the put one strike in the money and buy the put 50 points below it. Bearish flip: sell the call one strike in the money and buy the call 50 points above it. Use the nearest weekly expiry with at least one day left.
- If the spread captures 95% of its credit, close it and open the same spread on the next weekly expiry straight away.
- On expiry day at 15:15, close and roll into the next weekly in the same direction.
- When the Supertrend flips the other way, close the spread; open the opposite spread only if ADX is at least 30.
Why traders use it
Selling a credit spread in the trend's direction gets paid by both the move and time decay, with the bought option capping the loss. A slow Supertrend on intraday bars changes direction only a few times a month, and the ADX filter tries to skip flips in sideways markets. Rolling after a near-full profit keeps the position working for as long as the trend lasts, which appeals to traders who prefer defined-risk spreads to naked selling.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings, the strategy made 86 trades and won only 29%, ending almost flat at ₹776 before costs, a profit factor of 1.04, with a maximum drawdown of ₹3,855. The pattern is typical of trend following: small losses (₹336 on average), with 80 trades closed by a Supertrend flip, and larger wins (₹852) when a trend ran, including 6 trades that reached the 95% target. May and April did best. After ₹20 per order and bid-ask slippage on two legs, the result turned into a ₹13,081 loss.
What the settings do
Risks
- Wins are infrequent, so long runs of small losses are normal and costs pile up on each one.
- The rolled futures series jumps at each monthly rollover, which can flip the Supertrend without a real change in trend.
- Spreads are held overnight and over weekends, so gaps can move them close to full loss before any exit.
- The default Supertrend settings were picked on past data, which may not hold in future markets.
Who it suits
Positional traders who follow trends, prefer the defined risk of spreads, accept a low win rate, and have low enough trading costs that small, frequent exits do not consume the gains.
Questions traders ask
How do you trade a credit spread with Supertrend?
When Supertrend turns bullish, sell a bull put spread: a put near the money and a cheaper put further down. When it turns bearish, sell a bear call spread instead. The spread earns from the move and from time decay, and is closed when Supertrend flips the other way.
Is the Supertrend ADX credit spread strategy profitable?
On NIFTY from 1 Oct 2025 to 30 Sep 2026 it made ₹776 before costs but lost ₹13,081 after ₹20 per order and bid-ask slippage (statutory charges not included). The edge was too small to cover trading costs in this period, and past results do not guarantee future ones.
What does the ADX filter do?
ADX measures how strong a trend is, not its direction. Requiring ADX of 30 or more means a Supertrend flip is only traded when the market is already moving with some force, which aims to skip flips in sideways markets where trend signals often fail.
What does rolling the spread mean here?
When the spread has made 95% of its credit, or reaches expiry day, it is closed and the same type of spread is opened on the following weekly expiry. This keeps a position on in the trend's direction without waiting for a new signal.