Nifty Intraday Setups Backtest

New:

Mismatch Accumulation — do option mispricings that build up over hours/days predict multi-day Nifty moves? (direction FAIL; range only)
FII buying → next-day gap up? — 3,154 sessions 2014→2026: FII/DII flows vs Nifty T+1 opening gap, controls for T return & S&P overnight, hold/fade, filterable days
Option Pricing Models & Outliers — SVI/SABR/Heston/Bates vs real Nifty weekly chain; residual, skew, parity, IV-RV, OI clues tested for buyers
Day High/Low Retest + Approach Velocity — buy CE at day-low / PE at day-high retest; velocity predicts bounce vs break
Bank Earnings Reaction — HDFC/ICICI/Axis/Kotak/SBI results surprise to Bank Nifty/Nifty gap lookup
Price Action v2 — AMD, retailer trap, breakout+retest, expiry ITM / hero-zero (walk-forward OOS)
ATM Daily Options S/R — prior ATM CE/PE → spot rails (half-scale); bounce/reject; SL20 scale-out
Trader Filter Mine — IF/THEN filters: log takes vs skipped similar setups
Trader Filter Mine (timed) — IF/THEN filters at exact entry minutes (log re-dated to 2026)
Trader Fill Match — log rematched to real 1m option bars (strike+side+time+premium); logged WR vs sim WR
India Daily News Calendar — day-by-day India/markets news (Oct 2011–Oct 2026 IST, 15y); join key = date for Sensex/Nifty bars; impact high/medium/low/none
India News vs Nifty Corr (15y) — daily news impact vs Nifty close-to-close (2011-10→2026-10); event study + bias tags
ATM Daily S/R OptBuyer — same ATM S/R entries; buy CE/PE; SL10 option-pt scale-out
Confluence v1 Scale-out — trap+AMD+ATM opt; SL20; 40%@1R / 30%@2R / trail rem→60
Confluence v1 — trap + AMD + ATM option premium black-box (all required)
Nifty first-30-min >150 pt move: does it hold? — 1-min study Oct 2022→Oct 2026, up/down, per-year, %/gap variants

1-minute index bars 2022-01-03 → 2026-10-01 IST · costs as Nifty futures · walk-forward yearly folds · fills at next bar open; stop-first if stop & target same bar

Caveats

Data is the Nifty 50 cash index, not futures; basis and futures-specific microstructure are ignored.
Volume/OI unused (zeros). No VIX or global cues — only price-derived features.
Expiry weekday flag is approximate (Thu→Tue from Sep 2025); holiday-shifted expiries not modelled.
Fills at next bar open; if stop and target hit in the same bar, stop is assumed first (conservative).
Costs include STT schedule, lot-size changes, exchange/SEBI/stamp/GST/brokerage and 0.5pt slippage/side.
Small parameter grids still allow overfitting; trust walk-forward OOS more than full-period defaults.
Intraday session filtered to 09:15–15:29 weekdays; sparse early/late ticks dropped.
REGIME_STOPHUNT_fade_high_vol top-5 trades ≈ 98% of OOS net PnL; 2025 and 2026 OOS folds negative — do not treat as a tradable edge.
STOPHUNT default has positive gross expectancy but costs exceed it over the full sample.

Out-of-sample (stitched) net summary

ORB

Opening range breakout; stop opposite/mid; R targets or EOD; gap-dir & range-ATR variants. Walk-forward choices: OOS_2023:gap_dir_only=False|max_range_atr=None|n_min=30|stop_mode=opposite|target_r=None || OOS_2024:gap_dir_only=False|max_range_atr=0.3|n_min=30|stop_mode=opposite|target_r=1.5 || OOS_2025:gap_dir_only=False|max_range_atr=None|n_min=30|stop_mode=opposite|target_r=None || OOS_2026:gap_dir_only=False|max_range_atr=0.3|n_min=30|stop_mode=opposite|target_r=1.5

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

GAP_FILL

Small-gap fade toward prior close after first 15m; stop at first-15 extreme. Walk-forward choices: OOS_2023:gap_hi_pct=0.5|gap_lo_pct=0.2|hold_min=15|mode=fill|target_frac=1.0 || OOS_2024:gap_hi_pct=0.7|gap_lo_pct=0.3|hold_min=15|mode=fill|target_frac=1.0 || OOS_2025:gap_hi_pct=0.7|gap_lo_pct=0.3|hold_min=15|mode=fill|target_frac=1.0 || OOS_2026:gap_hi_pct=0.7|gap_lo_pct=0.3|hold_min=15|mode=fill|target_frac=1.0

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

GAP_GO

Large-gap continuation when first 15m holds gap direction. Walk-forward choices: OOS_2023:gap_hi_pct=99.0|gap_lo_pct=0.8|hold_min=15|mode=go|target_frac=1.0 || OOS_2024:gap_hi_pct=99.0|gap_lo_pct=0.8|hold_min=15|mode=go|target_frac=0.5 || OOS_2025:gap_hi_pct=99.0|gap_lo_pct=1.0|hold_min=15|mode=go|target_frac=1.0 || OOS_2026:gap_hi_pct=99.0|gap_lo_pct=1.0|hold_min=15|mode=go|target_frac=1.0

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

STOPHUNT

Failed breakout beyond prior H/L or OR; fade after reclaim within m minutes. Walk-forward choices: OOS_2023:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2024:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2025:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2026:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

POWER

Power hour 15:00–15:25: momentum/fade of 14:00–15:00 move; round-number pull on expiry. Walk-forward choices: OOS_2023:expiry_only=None|style=momentum || OOS_2024:expiry_only=None|style=momentum || OOS_2025:expiry_only=True|style=fade || OOS_2026:expiry_only=True|style=momentum

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

REGIME_STOPHUNT_breakout_after_compression

Volatility regime filter (breakout_after_compression) on top of STOPHUNT. Chosen: OOS_2023:k_pts=10.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2024:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2025:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2026:k_pts=15.0|level=prior|m_min=5|max_trades=2|target_r=1.5

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

REGIME_STOPHUNT_fade_high_vol

Volatility regime filter (fade_high_vol) on top of STOPHUNT. Chosen: OOS_2023:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2024:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2025:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0 || OOS_2026:k_pts=15.0|level=prior|m_min=10|max_trades=2|target_r=2.0

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

Strategy	Trades	Win%	Avg net	Total net	PF net	Max DD	Avg cost	t-stat	p-value	Prof. folds%
ORB	596	46.31	-3.37	-2008.415	0.907	-3070.783	7.379	-0.956	0.3393	50.0
GAP_FILL	222	29.73	-8.731	-1938.273	0.646	-2074.181	7.94	-2.475	0.0133	25.0
GAP_GO	15	33.33	-30.199	-452.982	0.576	-578.016	9.512	-0.916	0.3598	50.0
STOPHUNT	518	47.1	-0.581	-301.115	0.976	-1823.717	8.348	-0.236	0.8137	50.0
POWER	509	36.15	-6.008	-3058.174	0.632	-3172.074	7.135	-3.899	0.0001	0.0
REGIME_STOPHUNT_breakout_after_compression	266	45.86	-3.94	-1047.931	0.828	-1753.614	8.691	-1.305	0.1918	50.0
REGIME_STOPHUNT_fade_high_vol	177	49.15	4.405	779.613	1.189	-485.593	7.611	0.973	0.3306	50.0

Metric	Value
Trades	1166
Win%	43.48
Avg gross	0.779
Avg net	-6.853
Total gross	907.9
Total net	-7990.442
PF gross	1.021
PF net	0.834
Max DD net	-8305.772
Avg cost	7.632
t-stat	-2.543
p-value	0.011
Profitable years%	0.0

Metric	Value
Trades	596
Win%	46.31
Avg gross	4.01
Avg net	-3.37
Total gross	2389.7
Total net	-2008.415
PF gross	1.123
PF net	0.907
Max DD net	-3070.783
Avg cost	7.379
t-stat	-0.956
p-value	0.3393
Profitable years%	50.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	gap_dir_only=False\|max_range_atr=None\|n_min=30\|stop_mode=opposite\|target_r=None	1305.604	241	-6.019	-1450.662	43.568	0.819	-2612.829
OOS_2024	gap_dir_only=False\|max_range_atr=0.3\|n_min=30\|stop_mode=opposite\|target_r=1.5	515.613	76	3.144	238.939	46.053	1.107	-555.597
OOS_2025	gap_dir_only=False\|max_range_atr=None\|n_min=30\|stop_mode=opposite\|target_r=None	1270.908	240	-3.801	-912.22	47.917	0.91	-1826.522
OOS_2026	gap_dir_only=False\|max_range_atr=0.3\|n_min=30\|stop_mode=opposite\|target_r=1.5	476.783	39	2.962	115.528	53.846	1.09	-371.023

Metric	Value
Trades	406
Win%	29.8
Avg gross	0.524
Avg net	-6.979
Total gross	212.8
Total net	-2833.375
PF gross	1.033
PF net	0.674
Max DD net	-3084.542
Avg cost	7.503
t-stat	-3.024
p-value	0.0025
Profitable years%	20.0

Metric	Value
Trades	222
Win%	29.73
Avg gross	-0.791
Avg net	-8.731
Total gross	-175.6
Total net	-1938.273
PF gross	0.959
PF net	0.646
Max DD net	-2074.181
Avg cost	7.94
t-stat	-2.475
p-value	0.0133
Profitable years%	25.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	gap_hi_pct=0.5\|gap_lo_pct=0.2\|hold_min=15\|mode=fill\|target_frac=1.0	119.362	79	-7.224	-570.735	25.316	0.589	-738.223
OOS_2024	gap_hi_pct=0.7\|gap_lo_pct=0.3\|hold_min=15\|mode=fill\|target_frac=1.0	-179.043	52	7.281	378.621	40.385	1.379	-208.939
OOS_2025	gap_hi_pct=0.7\|gap_lo_pct=0.3\|hold_min=15\|mode=fill\|target_frac=1.0	199.579	50	-16.169	-808.45	30.0	0.431	-785.632
OOS_2026	gap_hi_pct=0.7\|gap_lo_pct=0.3\|hold_min=15\|mode=fill\|target_frac=1.0	-608.871	41	-22.871	-937.709	24.39	0.438	-973.246

Metric	Value
Trades	42
Win%	38.1
Avg gross	-9.05
Avg net	-16.774
Total gross	-380.1
Total net	-704.508
PF gross	0.813
PF net	0.687
Max DD net	-715.876
Avg cost	7.724
t-stat	-1.003
p-value	0.3158
Profitable years%	60.0

Metric	Value
Trades	15
Win%	33.33
Avg gross	-20.687
Avg net	-30.199
Total gross	-310.3
Total net	-452.982
PF gross	0.68
PF net	0.576
Max DD net	-578.016
Avg cost	9.512
t-stat	-0.916
p-value	0.3598
Profitable years%	50.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	gap_hi_pct=99.0\|gap_lo_pct=0.8\|hold_min=15\|mode=go\|target_frac=1.0	-264.954	1	39.923	39.923	100.0	inf	0.0
OOS_2024	gap_hi_pct=99.0\|gap_lo_pct=0.8\|hold_min=15\|mode=go\|target_frac=0.5	-221.511	5	-31.83	-159.152	20.0	0.394	-188.896
OOS_2025	gap_hi_pct=99.0\|gap_lo_pct=1.0\|hold_min=15\|mode=go\|target_frac=1.0	210.722	2	54.776	109.553	50.0	2.249	-87.691
OOS_2026	gap_hi_pct=99.0\|gap_lo_pct=1.0\|hold_min=15\|mode=go\|target_frac=1.0	320.275	7	-63.329	-443.306	28.571	0.382	-349.929

Metric	Value
Trades	719
Win%	54.52
Avg gross	6.035
Avg net	-1.64
Total gross	4339.4
Total net	-1179.12
PF gross	1.45
PF net	0.902
Max DD net	-1248.832
Avg cost	7.675
t-stat	-1.117
p-value	0.2638
Profitable years%	40.0

Metric	Value
Trades	518
Win%	47.1
Avg gross	7.767
Avg net	-0.581
Total gross	4023.05
Total net	-301.115
PF gross	1.392
PF net	0.976
Max DD net	-1823.717
Avg cost	8.348
t-stat	-0.236
p-value	0.8137
Profitable years%	50.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	-15.173	119	4.38	521.228	46.218	1.257	-342.868
OOS_2024	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	506.055	158	5.144	812.679	53.797	1.214	-504.538
OOS_2025	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	1318.734	141	-5.257	-741.177	45.39	0.796	-866.007
OOS_2026	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	577.557	100	-8.938	-893.845	40.0	0.709	-1118.108

Metric	Value
Trades	1047
Win%	38.01
Avg gross	3.089
Avg net	-4.531
Total gross	3234.6
Total net	-4744.201
PF gross	1.272
PF net	0.716
Max DD net	-5715.251
Avg cost	7.621
t-stat	-3.986
p-value	0.0001
Profitable years%	20.0

Metric	Value
Trades	509
Win%	36.15
Avg gross	1.127
Avg net	-6.008
Total gross	573.6
Total net	-3058.174
PF gross	1.095
PF net	0.632
Max DD net	-3172.074
Avg cost	7.135
t-stat	-3.899
p-value	0.0001
Profitable years%	0.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	expiry_only=None\|style=momentum	790.664	216	-0.68	-146.85	43.519	0.948	-456.362
OOS_2024	expiry_only=None\|style=momentum	643.814	217	-8.416	-1826.256	31.797	0.516	-1829.776
OOS_2025	expiry_only=True\|style=fade	-569.063	41	-12.453	-510.59	29.268	0.377	-563.192
OOS_2026	expiry_only=True\|style=momentum	-605.167	35	-16.414	-574.478	25.714	0.36	-800.125

Metric	Value
Trades	359
Win%	53.2
Avg gross	5.213
Avg net	-2.914
Total gross	1871.375
Total net	-1046.161
PF gross	1.41
PF net	0.822
Max DD net	-1196.881
Avg cost	8.127
t-stat	-1.493
p-value	0.1354
Profitable years%	20.0

Metric	Value
Trades	266
Win%	45.86
Avg gross	4.751
Avg net	-3.94
Total gross	1263.85
Total net	-1047.931
PF gross	1.26
PF net	0.828
Max DD net	-1753.614
Avg cost	8.691
t-stat	-1.305
p-value	0.1918
Profitable years%	50.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	k_pts=10.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	-23.774	59	2.98	175.807	47.458	1.218	-197.844
OOS_2024	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	276.853	60	1.17	70.183	51.667	1.044	-544.154
OOS_2025	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	347.036	88	-6.833	-601.339	42.045	0.743	-722.317
OOS_2026	k_pts=15.0\|level=prior\|m_min=5\|max_trades=2\|target_r=1.5	-143.086	59	-11.739	-692.582	44.068	0.493	-659.06

Metric	Value
Trades	229
Win%	56.77
Avg gross	9.09
Avg net	1.86
Total gross	2081.525
Total net	425.854
PF gross	1.662
PF net	1.112
Max DD net	-439.007
Avg cost	7.23
t-stat	0.664
p-value	0.5064
Profitable years%	100.0

Metric	Value
Trades	177
Win%	49.15
Avg gross	12.016
Avg net	4.405
Total gross	2126.8
Total net	779.613
PF gross	1.62
PF net	1.189
Max DD net	-485.593
Avg cost	7.611
t-stat	0.973
p-value	0.3306
Profitable years%	50.0

fold	chosen_params	is_total_net	oos_n	oos_avg_net	oos_total_net	oos_win_rate	oos_pf	oos_max_dd
OOS_2023	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	449.431	48	8.056	386.69	41.667	1.484	-239.972
OOS_2024	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	836.121	79	7.582	599.008	55.696	1.323	-377.257
OOS_2025	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	1435.129	21	-1.575	-33.071	57.143	0.925	-167.859
OOS_2026	k_pts=15.0\|level=prior\|m_min=10\|max_trades=2\|target_r=2.0	1402.058	29	-5.966	-173.014	37.931	0.831	-485.593

Flags

OOS_2025: strong IS (1435) but negative OOS (-33) — overfitting risk.
OOS_2026: strong IS (1402) but negative OOS (-173) — overfitting risk.
Edge vanishes or reverses in 2026 OOS when STT/costs are highest — cost sensitivity.
Check whether a few outliers drive OOS gains (see trade CSV).
vs unfiltered STOPHUNT OOS total -301.1 → filtered 779.6 (IMPROVED).

Nifty 50 Intraday Rule-Based Backtests

Out-of-sample (stitched) net summary

ORB

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

GAP_FILL

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

GAP_GO

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

STOPHUNT

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

POWER

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

REGIME_STOPHUNT_breakout_after_compression

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail

REGIME_STOPHUNT_fade_high_vol

OOS stitched equity (net points)

Full-period default params equity (net)

Default (untuned) full-period

Walk-forward OOS (stitched)

Per-fold detail