Nifty overnight / swing / options setups
Same cost philosophy and walk-forward honesty checks as the intraday study. Intraday setups report · RL trading results home
Caveats
- Index (not futures) price series; overnight/swing costs use futures schedule + ~1 RT/month rollover proxy for multi-day holds.
- Buy-and-hold is the benchmark — beat it after costs, or don’t bother.
- Options sample is short (~89 weekly expiries, Oct 2024–Jun 2026). OOS folds are halves of that window; little is proven.
- Option STT: 0.1% of premium sell until 2026-03-31, 0.15% from 2026-04-01 (NSE/FATAX/73524). Exchange 0.03553% (Zerodha). Slippage = 1 tick + half-spread from bar range.
- Margin / ROC not reported — results in premium points and ₹/lot; watch worst-day loss.
- Flag concentration, IS-only winners, and 2026 cost-rise failures.
Swing / overnight — OOS net (points)
| strategy | oos_n | oos_win_rate | oos_avg_net | oos_total_net | oos_pf_net | oos_max_dd | oos_avg_cost | oos_avg_hold | oos_t_stat | oos_p | fold_prof_pct |
|---|
| OVERNIGHT |
392 |
58.418 |
9.76 |
3825.853 |
1.285 |
-1588.359 |
8.429 |
1.0 |
1.56 |
0.1187 |
75.0 |
| BREAKOUT |
50 |
30.0 |
-39.815 |
-1990.738 |
0.767 |
-4736.456 |
10.418 |
6.52 |
-0.737 |
0.461 |
25.0 |
| MA_CROSS |
17 |
41.176 |
234.755 |
3990.831 |
1.867 |
-3336.961 |
12.865 |
14.059 |
0.93 |
0.3523 |
50.0 |
| MEANREV |
73 |
58.904 |
6.597 |
481.556 |
1.053 |
-1940.63 |
8.666 |
2.63 |
0.177 |
0.8593 |
50.0 |
| BUYHOLD |
4 |
75.0 |
1008.648 |
4034.592 |
2.059 |
-3809.351 |
63.977 |
229.75 |
0.614 |
0.5392 |
75.0 |
Options premium — OOS (pts and ₹/lot)
| strategy | oos_n | oos_win_rate | oos_avg_net_pts | oos_total_net_pts | oos_total_net_inr | oos_pf_net | oos_max_dd_pts | oos_worst_day_inr | oos_tail_p05_pts | oos_t_stat | oos_p |
|---|
| EXPIRY_SHORT |
74 |
63.51 |
4.408 |
326.2 |
22120.0 |
1.267 |
-379.5 |
-11886.0 |
-94.41 |
0.646 |
0.5183 |
| WEEKLY_SHORT |
73 |
41.1 |
-2.668 |
-194.8 |
-6117.0 |
0.914 |
-956.6 |
-9050.0 |
-91.22 |
-0.325 |
0.745 |
Option cost model: brokerage=₹20/order; stt_sell_premium=0.0625% before 2024-10-01; 0.1% from 2024-10-01; 0.15% from 2026-04-01 (NSE/FATAX/73524); exchange=0.03553% of premium both sides (Zerodha NSE options); sebi=₹10/crore both sides; stamp=0.003% on buys; gst=18% on brokerage+exchange+SEBI; slippage=1 tick (0.05) + half-spread from bar high-low; margin_note=Returns-on-capital not reported; results in pts and ₹/lot only. Sample: 89 expiries 2024-10-03 to 2026-06-09
Equity curves (OOS stitched)
BREAKOUT_oos_equity
BUYHOLD_oos_equity
EXPIRY_SHORT_oos_equity
MA_CROSS_oos_equity
MEANREV_oos_equity
OVERNIGHT_oos_equity
WEEKLY_SHORT_oos_equity
Honesty flags
- OVERNIGHT: OOS positive only with walk-forward filter pick; untuned default full-period NET negative (−1891). Top5 ~74% of OOS; 2026 OOS negative. Not a robust edge vs costs/B&H.
- BREAKOUT: Negative in 2026 OOS (higher STT/costs).
- MA_CROSS: OOS +3991 pts on only 17 trades; top trades exceed total (outlier-driven). Negative 2026. Fragile.
- MEANREV: Positive OOS but not statistically significant. | Negative in 2026 OOS (higher STT/costs). | Top trades concentrated (1671/482).
- BUYHOLD: Benchmark: OOS stitched ~+4035 pts with monthly rollover proxy. Strategies should beat this.
- EXPIRY_SHORT: Default full sample NET −1289 pts / −₹84k per lot path. OOS +326 pts n.s. (p≈0.52); Top3 trades > total OOS; worst day ≈ −₹11.9k. Short window; do not trade on this.
- WEEKLY_SHORT: Options window ~Oct 2024–Jun 2026 (~20 months, 89 expiries) — little statistical power.
Best candidates?
None that clear an honest bar after costs. Overnight filtered OOS looks positive but default unfiltered is negative and 2026 fades; MA cross OOS is a handful of trades; buy-and-hold remains competitive. Options OOS n is tiny on this short window — treat any positive fold as anecdote.
Generated under /workspace/nifty-setups-backtest/swing_options/