Futures · technicalIntradayNIFTYmedium complexity

Five-filter trend breakout

This intraday NIFTY futures system piles up confirmation before it trades. A long needs the hourly 20 EMA above a rising 50 EMA, the 15-minute Supertrend pointing up, a close above the highest high of the previous 20 candles, ADX of at least 20 and enough volatility measured by ATR. Shorts are the mirror. The stop starts 1.5 ATR away and moves to breakeven after a 1 ATR gain, and the Supertrend flipping ends the trade.

Trades NIFTY futures intraday only when an hourly EMA trend, the 15-minute Supertrend, a 20-candle breakout, ADX and a minimum ATR all agree, with an ATR stop that moves to breakeven.

Market viewEither direction (follows the move)

TradesNIFTY near-month futures, 1 lot intraday

RiskOpen-ended (loss not capped by the structure)

CapitalFutures margin

SuitsAdvanced

Trades a month10

Typical hold2.3 hours

Profitable months7 of 12

Longest losing run6 trades

Made money inTrend days that close near the high or lowFlat openingsCalm markets with India VIX below 11.5

Lost money inChoppy days that close mid-rangeQuiet sessions with a range under 0.75%Gap-down openings of 0.4% or more

Default settings

Symbol

Bar minutes

Htf minutes

Htf fast

Htf slow

St period

St mult

Breakout length

ADX period

ADX threshold

ATR period

Min ATR %

Stop ATR

Breakeven ATR

Target ATR

EMA cross exit

Direction

Entry start

Entry cutoff

Square off

Max trades per day

Daily loss r

Lots

Backtest this strategy →Change any setting, pick your own period and run it in the Quantsapp web app. Backtesting is part of the Max plan. Pro+ members can use it now as a free trial.

How it trades

What it trades

Universe

NIFTY Intraday · 1 Oct 25 → 30 Sep 26

Enters

First tick after a 15-minute signal close, 09:30 to 14:45

Legs

BUY FUT · Near month, all five long filters agree · Current month · 1 lotSELL FUT · Near month, all five short filters agree · Current month · 1 lot

Exits

stop 1.5 × ATR from the filltrail to breakeven after a 1 ATR gainsignal 15-minute close through the Supertrendtime square-off at 15:15

Re-entry

Yes, up to 3 trades a day

Bars

BAR_MINUTES bars and HTF_MINUTES (higher-timeframe) bars of the near-month future, anchored at 09:15, continuous across sessions on a roll-adjusted series (below). All filters read CLOSED bars only.

Entry

long when, on a signal bar closing between ENTRY_START and ENTRY_CUTOFF, all five agree - 1) the last closed HTF bar has EMA(HTF_FAST) above EMA(HTF_SLOW) and the slow EMA rising; 2) Supertrend(ST_PERIOD, ST_MULT) on the signal bars is up; 3) the close is above the highest high of the previous BREAKOUT_LENGTH bars; 4) ADX(ADX_PERIOD) >= ADX_THRESHOLD; 5) ATR(ATR_PERIOD) / price >= MIN_ATR_PCT %. Short = the mirror (DIRECTION "both"). Filled at the first tick after the signal bar closes.

Stop

STOP_ATR x ATR from the fill; once price has run BREAKEVEN_ATR x ATR in favour the stop moves to the fill price (breakeven). Checked on every tick, filled at market.

Exit

a bar closing through the Supertrend line (it flips) -> exit at the next tick; TARGET_ATR x ATR target when TARGET_ATR > 0 (off by default); with EMA_CROSS_EXIT an HTF EMA cross against the trade exits too; anything open at SQUARE_OFF.

Limits

one position at a time, at most MAX_TRADES_PER_DAY entries a day, and no new entry once the day's closed losses reach DAILY_LOSS_R stop-distances (R = STOP_ATR x ATR of each trade).

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 120 trades · before costs

Net P&L+₹9,921

Win rate29%

Max drawdown−₹83,382

Avg per trade+₹83

Profit factor1.04

Worst trade−₹10,810

Where it made and lost money

Even with five filters, the outcome in this test depended on what the session did after entry. Trades on 40 trend days made +₹1,51,057 with a 60% win rate, because a breakout on such a day keeps running until 15:15. Trades on 38 choppy days lost ₹87,816, winning just 11%, and on 41 quiet sessions lost ₹47,627: the breakout reversed into the 1.5 ATR stop or the breakeven stop. Gap-down openings lost ₹48,601 over 27 trades, while flat openings made ₹72,093 over 79. The filters let through a similar number of trades on each kind of day, so they did not screen out the choppy ones in advance.

Kind of session on the entry day

Quiet session (range under 0.75%)−₹47,62741 trades17% won

Trend day (closed near the high or low)+₹1,51,05740 trades60% won

Choppy day (wide range, closed mid-range)−₹87,81638 trades11% won

Session direction on the entry day

NIFTY closed above its open−₹95,76150 trades24% won

NIFTY closed below its open+₹1,11,37569 trades33% won

How the entry day opened

Gap up of 0.4% or more−₹7,87813 trades31% won

Flat open+₹72,09379 trades33% won

Gap down of 0.4% or more−₹48,60127 trades19% won

Day of the week

Monday−₹8,08125 trades32% won

Tuesday+₹24,56826 trades35% won

Wednesday−₹14,49324 trades25% won

Thursday−₹5,40225 trades28% won

Friday+₹19,02319 trades26% won

Trend going in

Uptrend (NIFTY above its 20-day average)+₹20,95049 trades31% won

Downtrend (NIFTY below its 20-day average)−₹5,33670 trades29% won

India VIX the evening before

VIX below 11.5 (calm)+₹10,70836 trades31% won

VIX 11.5-14.5 (normal)−₹2,08053 trades26% won

VIX above 14.5 (nervous)+₹6,98730 trades33% won

Expiry day (NIFTY weekly)

Expiry day+₹3,72230 trades30% won

Other days+₹11,89289 trades29% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

Build 15-minute and 1-hour candles of the near-month NIFTY future on a roll-adjusted series.
Long set-up: hourly EMA 20 above EMA 50 with the 50 rising, Supertrend(10, 3) up on 15-minute candles, a close above the prior 20 candles' high, ADX(14) at 20 or more, and ATR at least 0.1% of price. Shorts are the mirror image.
Signals count between 09:30 and 14:45; enter one lot at the first tick after the signal candle closes, one position at a time.
Set a stop 1.5 × ATR from the fill; once the trade is 1 ATR in profit, move the stop to the entry price.
Exit when a 15-minute candle closes through the Supertrend line, at the stop, or at 15:15.
Take at most three trades a day, and none after the day's losses reach two stop distances.

Why traders use it

Each filter is a common trend tool, and requiring all of them to agree aims to trade only when trend, momentum and volatility point the same way. The hourly EMAs set the bias, the breakout times the entry, ADX checks that the move has strength, and the ATR floor avoids dead markets. Moving the stop to breakeven turns many trades into scratches rather than losses, and the daily loss limit keeps a bad session contained.

Works best whenTrue trend days that open roughly flat and close near their high or low, so a confirmed breakout keeps going to the 15:15 square-off; in this test calm evenings with India VIX below 11.5 also did better.

Struggles whenChoppy and quiet sessions, where breakouts that pass every filter still reverse into the ATR or breakeven stop, and gap-down openings, which lost money in this test despite the trend filters.

The year in plain words

On NIFTY futures from 1 Oct 2025 to 30 Sep 2026 with default settings, the system took 120 trades and won 29%, ending ₹9,921 ahead before costs with a profit factor of 1.04. Winners averaged ₹7,390 against ₹3,230 for losers. The exit mix was 48 ATR stops, 33 breakeven stops and 39 square-offs at 15:15; no trade ended on a Supertrend flip. February and March made about ₹42,000 between them, while April and July to August lost heavily, and the drawdown reached ₹83,382. After ₹20 per order and bid-ask slippage, it lost ₹6,162.

What the settings do

Bar minutesThe signal candle length, from 5 to 30 minutes. Shorter candles give more and earlier signals with more noise.Htf minutesThe candle length for the higher-timeframe EMA trend filter.Htf fastThe fast EMA on the higher timeframe. It must be above the slow EMA for longs and below it for shorts.Htf slowThe slow EMA on the higher timeframe, which must also be rising for longs or falling for shorts.St periodThe ATR period inside the Supertrend used as a filter and as the exit.St multThe Supertrend multiplier. Larger values place the line further away, so exits come later.Breakout lengthHow many previous candles the breakout must clear. Longer lookbacks demand bigger breakouts and trade less.ADX periodThe period for the ADX trend-strength filter.ADX thresholdThe minimum ADX for an entry. Raising it keeps only stronger trends.ATR periodThe period of the ATR used for the volatility floor, the stop and the breakeven trigger.Min ATR %The minimum ATR as a percentage of price. Higher values skip quieter markets.Stop ATRThe initial stop distance in ATRs.Breakeven ATRThe gain, in ATRs, at which the stop moves to the entry price; 0 turns this off.Target ATRAn optional profit target in ATRs; 0, the default, means no target.EMA cross exitWhen on, an hourly EMA cross against the trade also closes it.Direction"both" trades longs and shorts; "long_only" or "short_only" restrict it to one side.Entry startThe earliest signal candle close that can start a trade.Entry cutoffThe latest signal candle close that can start a trade.Square offWhen any open trade is closed.Max trades per dayThe most entries allowed in one session.Daily loss rNo new entries once the day's closed losses reach this many initial stop distances.

Risks

Many filters mean many parameters, so good results on one set of values can be chance rather than edge.
Breakouts are entered after a move has already happened, so reversals often hit the stop quickly.
The gross edge was small and disappeared after trading costs.
With a win rate under 30%, losing streaks of six trades were seen and longer ones are possible.

Who it suits

Systematic intraday futures traders who want a heavily filtered trend system, can automate multi-timeframe checks, and accept a low win rate and a result that was negative after costs in this test.

Questions traders ask

What is a confluence trend strategy?

It requires several independent indicators to agree before trading. Here the hourly EMA trend, the 15-minute Supertrend, a 20-candle breakout, ADX strength and a minimum ATR must all point the same way. The idea is to trade only the clearest trends.

Is the five-filter trend breakout profitable on NIFTY?

In this backtest from 1 Oct 2025 to 30 Sep 2026 it made ₹9,921 before costs but lost ₹6,162 after ₹20 per order and bid-ask slippage, before statutory charges. The before-costs drawdown was ₹83,382. Past results do not guarantee future ones.

Why move the stop to breakeven?

Once the trade has gained one ATR, the stop moves to the entry price so a reversal ends near zero instead of as a full loss. In this test 33 trades exited that way. The cost is that some trades are stopped at breakeven just before the move resumes.

Does adding more filters improve a strategy?

Not automatically. In this test the filters did not separate trend days from choppy ones before entry: trades on choppy days still lost ₹87,816. Each extra filter also adds a parameter that can be tuned to past data.

Terms used here

Supertrend ADX ATR Moving average (SMA / EMA)Breakout Trend following Futures Stop loss (SL)Before costs / after taxes / after all costs Max drawdown

Before you rely on it

WATCH OUTprofit factor 1.55 gross fell to 1.01 after costs and 0.70 out of sample; only 33 of 192 parameter sets were profitable. Gross of costs.

WHERE THE RULES WERE UNCLEAR · OUR CHOICESEMA 20/50 on 1-hour bars, Supertrend(10, 3), breakout 20 bars, ADX(14) >= 20, ATR% >= 0.1, stop 1.5 ATR, breakeven at 1 ATR, entries 09:30-14:45, square-off 15:15. The source sizes 1% risk of capital and stops at 2% daily loss; here LOTS are fixed and the daily limit is counted in R (2 R = 2% at 1% risk).

Also known asnifty banknifty intraday trend algo

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.