ATM Daily Options S/R — bounce/reject + scale-out exits
Last week on option charts — concrete trades with CE/PE markers (latest complete option week)
Nifty 50 1m spot · daily ATM CE/PE S/R (prior session, half-scale map) · index scale-out exits (SL20 / 40%@1R / 30%@2R / trail) · walk-forward · next-bar open fills
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Caveats
- Daily ATM S/R from PRIOR session nearest-expiry ATM CE/PE only (no lookahead).
- Half-scale: option chart distances ×2.0 → index; premium level also used 1:1 as straddle-style spot distance.
- Spot-mapped rails: R/S_prem = prior_close ± CE/PE close; R/S_half = ±0.5×premium; pivots from CE/PE session hi/lo; optional max-OI walls ±500.
- Default entry: bounce/reject at level (touch + reclaim + confirm break). Alt: break-retest. Not forced to 2–3/day.
- SCALE-OUT EXITS on INDEX book: SL20; 40%@+20; 30%@+40; rem 30%→+60 with lock+10/+25 + 15pt chandelier. Pro-rata futures RT costs.
- 1m option coverage ~2024-08 onward. Walk-forward: IS_2024→OOS_2025, IS_2024_25→OOS_2026. Exit plan fixed.
- Do not invent edges. Report OOS as-is.
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 | 275 | 41.45 | -10.291 | -2830.038 | 0.344 | -2828.779 | 9.956 | -7.862 | 0.0 | 0.0 |
ATM_DAILY_SR
Daily ATM options S/R (prior CE/PE → spot rails; OPT_TO_INDEX=2.0). Bounce/reject or break-retest. Index exits: SL20; 40%@+20 / 30%@+40 / trail rem→60. OOS trades/session≈0.811. OOS_2025:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0
OOS stitched equity (net points)
Full-period default params equity (net)
Default (untuned) full-period
| Metric | Value |
|---|
| Trades | 1108 |
| Win% | 42.78 |
| Avg gross | 0.436 |
| Avg net | -9.482 |
| Total gross | 482.655 |
| Total net | -10505.947 |
| PF gross | 1.044 |
| PF net | 0.368 |
| Max DD net | -10563.672 |
| Avg cost | 9.918 |
| t-stat | -14.65 |
| p-value | 0.0 |
| Profitable years% | 0.0 |
Walk-forward OOS (stitched)
| Metric | Value |
|---|
| Trades | 275 |
| Win% | 41.45 |
| Avg gross | -0.335 |
| Avg net | -10.291 |
| Total gross | -92.155 |
| Total net | -2830.038 |
| PF gross | 0.968 |
| PF net | 0.344 |
| Max DD net | -2828.779 |
| Avg cost | 9.956 |
| t-stat | -7.862 |
| p-value | 0.0 |
| 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=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 |
-393.697 |
175 |
-7.96 |
-1393.061 |
49.714 |
0.437 |
-1381.281 |
| OOS_2026 |
break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 |
-1786.759 |
100 |
-14.37 |
-1436.976 |
27.0 |
0.218 |
-1465.904 |
Flags
- OOS total net ≤ 0 after costs — no robust edge claimed.
- Exits (INDEX/futures book): hard SL 20 pts; scale 40% @ +20 (1:1), 30% @ +40 (1:2); remainder 30% stretch +60 with lock-to-cost+10 after 1R, lock+25 after 2R, then 15-pt chandelier trail. Pro-rata futures costs on each partial.
- Daily ATM S/R from prior-session ATM CE/PE (OPT_TO_INDEX=2.0; min premium 15.0). Option chart distances use half-scale; PnL is index points. OOS trades/day ≈ 0.811.
- 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=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0
- Classic yearly fold choices (for reference): OOS_2023:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=prem_half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 || OOS_2024:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=bounce|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=prem_half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=4|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 || OOS_2025:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0 || OOS_2026:break_buffer_pts=3.0|chandelier_pts=15.0|cooldown_min=15|entry_mode=break_retest|frac_1r=0.4|frac_2r=0.3|frac_rem=0.3|hard_sl_pts=20.0|level_set=half|lock_after_1r=10.0|lock_after_2r=25.0|max_entry_candle_atr=0.35|max_trades_per_day=3|min_bounce_pts=3.0|retest_within=20|scale_1r_pts=20.0|scale_2r_pts=40.0|stretch_target_pts=60.0|touch_tol_pts=5.0
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