VWAP EMA scalp
This is a fast intraday option-buying scalp built on two of the most common intraday tools, VWAP and a 9/21 EMA crossover. When the 9 EMA crosses the 21 EMA on 1-minute NIFTY futures candles and the candle closes beyond both and on the same side of VWAP, it buys the ATM call or put. It stays in until price closes back across VWAP, or exits if the signal candle's extreme is broken.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test the scalp made money only on trend days: ₹52,192 over 184 trades. On a day that keeps moving, a fresh crossover above VWAP can run for a long time before price closes back across VWAP, which is how the rare large winners came about. Quiet sessions lost ₹52,453 over 305 trades and choppy days ₹34,997 over 192, as the 1-minute signal fired repeatedly and the stop at the signal candle's low or high was hit within minutes. Expiry days lost ₹25,060 over 146 trades, and days after India VIX closed above 14.5 lost ₹21,002.
About this strategy
- Build 1-minute candles of the near-month NIFTY future with the session VWAP from its traded volume. EMAs carry over from the previous session.
- Long signal: EMA 9 crosses above EMA 21 and the candle closes above both EMAs and above VWAP. Short signal: the mirror below.
- On a long signal, buy one lot of the ATM call of the nearest weekly expiry at the candle's close; on a short signal, buy the ATM put.
- Stop: the future trades beyond the signal candle's low (high for a short).
- Exit on the first candle that closes back across VWAP. An alternative mode adds a target at 1.5 times the stop distance; another setup trades 5-minute pullbacks to VWAP or EMA 20.
- Signals from 09:20 to 14:45, one trade at a time, at most three a day; anything open is sold at 15:15.
Why traders use it
VWAP shows who has been in control during the session, and a short-term EMA crossover marks the moment momentum turns. Trading the crossover only on the right side of VWAP is meant to align a quick entry with the day's bias, and using a VWAP close as the exit lets a genuine trend run while cutting the trade once control shifts. Buying options keeps the risk to the premium, and the setup is widely taught to intraday traders.
The year in plain words
On NIFTY from 1 Oct 2025 to 30 Sep 2026 with default settings (1-minute crossover, VWAP exit), the strategy bought 687 options and won only 16% of the time, losing ₹37,536 before costs (profit factor 0.83). Most trades were short: the median hold was 3 minutes and 529 ended at the signal-candle stop. The few winners were large, averaging ₹1,585 against losses of ₹375, with the best trade making ₹17,719. The longest run of losses was 55 trades. After ₹20 per order and bid-ask slippage the loss doubled to ₹74,205. February made ₹12,092; May lost ₹16,276.
What the settings do
Risks
- The stop at the signal candle's extreme is very close, so most trades are stopped within minutes.
- A 16% win rate brings very long losing runs, 55 trades in a row in this test.
- Up to three option round trips a day make brokerage and spread a large cost relative to small losses.
- Profit depends on catching the occasional trend day; missing one can turn a month negative.
Who it suits
Fast intraday traders who can automate entries on 1-minute signals and tolerate long losing streaks for occasional big winners. Capital need is one ATM premium per trade.
Questions traders ask
What is the VWAP EMA crossover strategy?
It buys when a fast EMA (9) crosses above a slower EMA (21) while price is above VWAP, and sells or buys puts on the mirror signal below VWAP. VWAP sets the day's bias and the EMA cross times the entry. Here the trade is held until price closes back across VWAP.
Is the VWAP EMA scalping strategy profitable?
Not in this backtest. On NIFTY from 1 Oct 2025 to 30 Sep 2026 it lost ₹37,536 before costs and ₹74,205 after ₹20 per order and bid-ask slippage, with statutory charges excluded. Past results do not guarantee future ones.
Why trade options on signals from NIFTY futures?
VWAP needs traded volume, and the NIFTY index has none. The near-month future provides both price and volume, so the signals, stops and VWAP exits are read on the future, while the trade itself is an ATM option.
What is the pullback setup?
It is the alternative mode. On 5-minute candles, it waits for price above VWAP and a rising EMA 20 to dip and touch either, then form a bullish candle, and buys when the next candle trades above that candle's high. The mirror applies for puts.