ATM Daily S/R — Option Buyer (CE/PE premium scale-out)
Nifty 50 1m spot entries on daily ATM CE/PE S/R · option-buyer PnL on 1m premiums · SL10 / 40%@+10 / 30%@+20 / trail rem→30 · option costs (STT sell-side) · walk-forward
← Setups index
Last week on option charts — option-buyer fills/exits with CE/PE markers (latest complete option week)
Vs index book (atm-daily-sr)- OptBuyer OOS: n=476 WR=47.27% net=-715.006 opt-pts (≈₹-51400.0) PF=0.737 DD=-717.89 tpd_sess=1.404
- Index OOS: n=275 WR=41.45% net=-2830.038 idx-pts PF=0.344 DD=-2828.779 tpd_sess=0.811
- Books are not 1:1 comparable (option pts vs index pts; different cost schedules).
Caveats
- OPTION BUYER ONLY — no futures/index PnL book. Long CE (index long) / long PE (index short).
- Same daily ATM S/R levels & spot entries as atm-daily-sr; strike = prior-session ATM.
- Exits in option points (½ index plan): SL10; 40%@+10; 30%@+20; rem→+30 with lock+5/+12.5 + 7.5pt chandelier.
- Fills: actual 1m option open/high/low/close at timestamps; +0.30 slip entry / −0.30 exit.
- Costs: option STT on sell side only, ₹20/order, stamp on buy — NOT futures STT schedule. See README.
- 1m option coverage ~2024-08 onward. Walk-forward: IS_2024→OOS_2025, IS_2024_25→OOS_2026.
- Do not invent edges. Report OOS as-is. Units are option premium points unless labelled INR.
Out-of-sample (stitched) net summary
| Strategy | Trades | Win% | Avg net | Total net | PF net | Max DD | Avg cost | t-stat | p-value | Prof. folds% |
|---|
| ATM_DAILY_SR_OPTBUYER | 476 | 47.27 | -1.502 | -715.006 | 0.737 | -717.89 | 1.01 | -3.148 | 0.0016 | 0.0 |
ATM_DAILY_SR_OPTBUYER
Daily ATM S/R (spot entries) → buy CE/PE; option-pt scale-out SL10 / 40%@+10 / 30%@+20 / trail rem→30. OOS trades/session≈1.404; OOS net_inr≈-51400.0. OOS_2025:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=oi|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=8.0
OOS stitched equity (net points)
Full-period default params equity (net)
Default (untuned) full-period
| Metric | Value |
|---|
| Trades | 1029 |
| Win% | 46.65 |
| Avg gross | -0.508 |
| Avg net | -1.765 |
| Total gross | -523.097 |
| Total net | -1815.772 |
| PF gross | 0.905 |
| PF net | 0.699 |
| Max DD net | -1855.223 |
| Avg cost | 1.256 |
| t-stat | -5.446 |
| p-value | 0.0 |
| Profitable years% | 0.0 |
Walk-forward OOS (stitched)
| Metric | Value |
|---|
| Trades | 476 |
| Win% | 47.27 |
| Avg gross | -0.492 |
| Avg net | -1.502 |
| Total gross | -234.37 |
| Total net | -715.006 |
| PF gross | 0.907 |
| PF net | 0.737 |
| Max DD net | -717.89 |
| Avg cost | 1.01 |
| t-stat | -3.148 |
| p-value | 0.0016 |
| Profitable years% | 0.0 |
Per-fold detail
| fold |
chosen_params |
is_total_net |
oos_n |
oos_avg_net |
oos_total_net |
oos_win_rate |
oos_pf |
oos_max_dd |
| OOS_2025 |
break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 |
-112.155 |
389 |
-1.396 |
-542.953 |
47.815 |
0.756 |
-602.99 |
| OOS_2026 |
break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=oi|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=8.0 |
-416.892 |
87 |
-1.978 |
-172.053 |
44.828 |
0.655 |
-210.159 |
Flags
- OOS total net ≤ 0 after option-buyer costs — no robust edge claimed.
- OPTION BUYER book (not futures): buy CE for index-long, buy PE for index-short. Exits in option pts: hard SL 10; scale 40% @ +10 (1:1), 30% @ +20 (1:2); rem 30% stretch +30 with lock cost+5 after 1R, cost+12.5 after 2R, 7.5-pt chandelier; EOD flatten. PnL from actual 1m option premiums + slip.
- Costs: ₹20/order brokerage; STT on sell premium only (0.0625%/0.1%/0.15% by date); exch 0.03553%; stamp 0.003% buy; SEBI ₹10/cr; GST 18%; slip=0.3 pts/side. See README cost schedule.
- Same daily ATM S/R levels/entries as atm-daily-sr (OPT_TO_INDEX=2.0; min prem 15.0). OOS trades/session ≈ 1.404.
- Vs index book (atm-daily-sr OOS): optbuyer n=476 WR=47.27% net_opt_pts=-715.006 PF=0.737 DD=-717.89 | index n=275 WR=41.45% net_idx_pts=-2830.038 PF=0.344 DD=-2828.779
- Option 1m coverage ~2024-08→2026-09. Early years without options → no levels → no trades.
- Adapted walk-forward choices: OOS_2025:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=oi|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=8.0
- Classic yearly fold choices (for reference): OOS_2023:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=prem_half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 || OOS_2024:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=prem_half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 || OOS_2025:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=half|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=7.5|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=10.0|level_set=oi|lock_after_1r=5.0|lock_after_2r=12.5|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=10.0|scale_2r_pts=20.0|stretch_target_pts=30.0|touch_tol_pts=8.0
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