| Underlying | NIFTY Spot → Weekly Expiry Options |
| Signal TF | 1-hour candles |
| Indicators | SuperTrend (10, 3) + EMA (20) |
| Structure | Vertical credit spread (sell + hedge) |
| Hedge | Half-premium wing (dynamic width) — default |
| Style | Swing — positions carry across days |
| Lot Size | 65 qty per lot |
| Entry Window | 09:15–13:15 candles only |
1 Strategy Overview
Trend Spread is a swing option-selling strategy on NIFTY weekly options. It reads the trend on 1-hour candles with SuperTrend and a 20-EMA, then sells a defined-risk vertical credit spread in the trend's direction — collecting premium while a bought wing caps the downside. Positions are hedged at all times and can carry across days until the signal flips or the weekly expires.
2 Trend Signal (SuperTrend + EMA)
On each closed 1-hour candle we combine two indicators; both must agree for a directional bias:
Bullish → sell a PUT spread
SuperTrend is green AND the candle closes above the 20-EMA. We sell an out-of-the-money PUT and buy a further-OTM PUT as the hedge.
Bearish → sell a CALL spread
SuperTrend is red AND the candle closes below the 20-EMA. We sell an OTM CALL and buy a further-OTM CALL as the hedge.
3 Entry Filter — EMA Cross
When flat, a fresh entry needs the 1-hour candle to actually cross the EMA that bar — the candle's high and low straddle the EMA (low ≤ EMA ≤ high) — not merely close on one side. This keeps entries near the moving average with the trend confirming, and skips over-extended candles.
- PUT spread: SuperTrend green + close above EMA + candle crossed up through the EMA
- CALL spread: SuperTrend red + close below EMA + candle crossed down through the EMA
- Entries are only taken on candles starting 09:15–13:15
4 Spread Construction
The short leg is sold at the strike whose premium is around ₹120–130, searching from out-of-the-money up to (but never past) ATM. If the near weekly has decayed too cheap to reach that premium, the short rolls to the next expiry. The hedge (bought wing) then defines the risk:
Half-Price Hedge (default)
Buy the wing that costs about half the premium of the short leg. This narrows the spread, roughly halving the margin and the maximum loss per position versus a fixed-width hedge.
Fixed 300-wide Hedge (optional)
Buy the wing a fixed 300 points beyond the short. Wider spread — more premium collected, but a larger defined risk. Selectable per account in the dashboard.
5 Exit & Roll
- Opposite signal → close the spread (fresh mode: then wait for a new signal before re-entering)
- Weekly expiry → the spread cash-settles and the strategy rolls into the next weekly on the next signal
- Restart-safe: on daily restart it reconstructs the held spread from broker positions, and halts rather than trade if it can't confirm a clean position
6 Risk Management
- Every position is a hedged vertical — risk is defined and capped, never a naked short
- The hedge is bought first and confirmed filled before the short is sold (spread margin, never momentarily naked)
- Half-price hedge keeps per-position max loss to roughly ₹45k at 5 lots (about half a fixed-width spread)
- One position at a time; swing-style carry across days until signal-flip or expiry
- No stop-loss in the base logic — risk is bounded structurally by the spread width
Backtest Results
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