| Underlying | NIFTY ATM Options (CE & PE) |
| Timeframe | 2-minute candles |
| Style | Intraday — all positions squared off by 3:15 PM |
| Lot Size | 130 qty per trade |
| Indicators | VWAP (cumulative volume-weighted average price) |
1 Strategy Overview
The VWAP strategy identifies short-selling opportunities on NIFTY ATM options when price consistently trades below the Volume Weighted Average Price. It uses 2-minute candle structure for confirmation before entering trades.
2 Entry Signal
A sell signal is generated when all of the following conditions are met:
- Previous candle's close is below the VWAP at that time
- Current candle's close is below the previous candle's low (bearish continuation)
- Time is before 2:30 PM (no late entries)
- No existing position in the same option
- Daily stop-loss limit (3 SLs) has not been reached
3 Order Execution
When a signal fires, two orders are placed:
Sell Order
Market sell order for the ATM option (CE or PE) at the current market price.
Stop-Loss Order
SL-Limit buy order placed at the higher of: previous candle's high or entry + ₹10, capped at entry + ₹20.
4 Exit Rules
- Stop-loss hit → position closed automatically by SL order
- Exit time (3:14:55 PM) → all remaining positions squared off
- Strategy monitors both CE and PE independently — can have positions in both
5 Risk Management
- Maximum 3 stop-loss triggers per day per symbol
- No entries in the first 5 minutes (VWAP needs history)
- No entries after 2:30 PM
- All positions auto-closed before market end
- Dynamic stop-loss based on candle structure (not fixed %)
Backtest Results
745
Trades
29%
Win Rate
₹41,106
Net P&L (1 lot)
~₹1.75L
Margin / lot
~23%
Return on Margin
+₹11,417 / −₹1,300
Best / Worst Trade
⚠️ This sells a naked ATM option, so it needs full short-option margin — about ₹1.75 lakh per lot (SPAN+exposure, varies by broker/volatility). So the ~₹41,106 net is only ~23% return on that margin, versus a defined-risk spread that ties up far less. Hypothetical backtest on historical 2-minute ATM option data with no slippage modelled and stops assumed to fill exactly. This is a high-frequency, tight-stop strategy: most trades take small stop-losses and a minority capture large decay moves — the low win rate is by design, and brokerage/STT consume a large share of the gross. Backtested and past performance are NOT indicative of future results and are not a promise of returns. Options trading carries a high risk of loss. For educational purposes only — not investment advice.
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