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Strategy assessment centre
This page evaluates whether each paper strategy has accumulated enough evidence for a controlled live-pilot review. A high score is not a probability of profit and does not authorise real trading.
Advisory only No live order access 300-trade candidate threshold
Strategies monitored10Independent rulebooks
Closed trades analysed0Across all strategies
Pilot review candidates0Requires separate human approval
Real orders enabledNoPaper-only architecture
READINESS LEADERBOARD
Evidence by strategy
Blank metrics indicate insufficient observations; they are not treated as zero-risk or a pass.
| Strategy | Closed | Win rate · 95% CI | PF | Expectancy | Realised DD | MTM DD | Profitable months | 2x slippage | Score | Assessment |
|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| VWAP + EMA Pullback – Option Selling | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| Opening Range Breakout + Retest | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| Opening Range Breakout + Retest – Option Selling | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| EMA + RSI Pullback | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| EMA + RSI Pullback – Option Selling | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| Supertrend + VWAP Confirmation | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| Supertrend + VWAP Confirmation – Option Selling | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| 9/21 EMA Crossover | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
| 9/21 EMA Crossover – Option Selling | 0 | — · — | — | — | 0.00% | 0.00% | — | ₹0.00 | 0/100 | NOT EVALUATED |
The win-rate interval uses the Wilson 95% method. Dependence between trades may make a simple interval optimistic. The readiness score is a rule-based checklist score, not an expected return or win probability.
RISK-ADJUSTED DIAGNOSTICS
Deeper evidence by strategy
Daily risk metrics are based on saved end-of-day equity marks. They remain unavailable or preliminary until enough market-session observations exist.
| Strategy | Return on capital | Expectancy (R) | Avg win / loss | Reward / risk | Sharpe* | Sortino* | ES 95% daily | Max loss streak | Recovery factor | MAE / MFE | Quote spread avg. |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| VWAP + EMA Pullback – Option Selling | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| Opening Range Breakout + Retest | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| Opening Range Breakout + Retest – Option Selling | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| EMA + RSI Pullback | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| EMA + RSI Pullback – Option Selling | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| Supertrend + VWAP Confirmation | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| Supertrend + VWAP Confirmation – Option Selling | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| 9/21 EMA Crossover | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
| 9/21 EMA Crossover – Option Selling | 0.00% | — | — / — | — | — | — | — | 0 | — | — / — | — |
* Sharpe and Sortino are annualised from daily marked-to-market equity changes on days with recorded worker marks. Expected shortfall is the mean of the worst 5% of those daily returns. MAE/MFE uses minute-observed option bid marks. Metrics are sensitive to data coverage and should not be interpreted as validated when the sample is small.
CONSISTENCY & CONTRACT QUALITY
Observation and option execution diagnostics
| Strategy | Profitable days | Profitable months | Observed days | Observed months | Avg hold (min) | Avg quote age (sec) | Avg |delta| | Avg IV | Avg option volume | Avg OI | Audit coverage |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| VWAP + EMA Pullback – Option Selling | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| Opening Range Breakout + Retest | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| Opening Range Breakout + Retest – Option Selling | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| EMA + RSI Pullback | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| EMA + RSI Pullback – Option Selling | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| Supertrend + VWAP Confirmation | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| Supertrend + VWAP Confirmation – Option Selling | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| 9/21 EMA Crossover | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
| 9/21 EMA Crossover – Option Selling | — | — | 0 | 0 | — | — | — | — | — | — | 0.0% |
Daily/monthly profitability uses observed market-session equity marks, not just days/months with a closed trade. Option metrics are averaged only across audited trades where the corresponding field was supplied by Upstox.
RECENT PERFORMANCE & SIGNAL FUNNEL
Rolling results and decision conversion
Rolling windows are descriptive and can be noisy with small samples. Signal conversion distinguishes signals accepted from those rejected by execution/risk filters.
| Strategy | Last 20 trades | 20-trade win rate | 20-trade expectancy | Last 50 trades | 50-trade win rate | 50-trade expectancy | Previous 20 expectancy | Evaluations | Signals | Opened | Skipped | Entry conversion | Common rejection reasons |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| VWAP + EMA Pullback – Option Selling | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| Opening Range Breakout + Retest | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| Opening Range Breakout + Retest – Option Selling | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| EMA + RSI Pullback | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| EMA + RSI Pullback – Option Selling | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| Supertrend + VWAP Confirmation | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| Supertrend + VWAP Confirmation – Option Selling | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| 9/21 EMA Crossover | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
| 9/21 EMA Crossover – Option Selling | 0 | — | — | 0 | — | — | — | 0 | 0 | 0 | 0 | — | — |
OPTION GREEKS & RECOVERY
Entry-to-exit contract changes
Changes are available only for trades recorded after exit-context capture was introduced and where Upstox supplied both observations.
| Strategy | Avg IV change | Avg delta change | Avg theta change | Avg gamma change | Avg vega change | Avg OI change | Exit spread | Exit quote age | Longest realised recovery | Current recovery | Recovery trades |
|---|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| VWAP + EMA Pullback – Option Selling | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| Opening Range Breakout + Retest | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| Opening Range Breakout + Retest – Option Selling | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| EMA + RSI Pullback | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| EMA + RSI Pullback – Option Selling | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| Supertrend + VWAP Confirmation | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| Supertrend + VWAP Confirmation – Option Selling | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| 9/21 EMA Crossover | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
| 9/21 EMA Crossover – Option Selling | — | — | — | — | — | — | — | — | 0.0 days | 0.0 days · at or above prior peak | 0 |
IV change is exit IV minus entry IV; delta change is exit delta minus entry delta. This is an observed contract-context comparison, not a formal P&L attribution model.
MARKET-REGIME & INSTRUMENT SPLITS
Where each strategy earns or loses
These breakdowns are descriptive. Small buckets should not be interpreted as a reliable edge.
| Strategy | Dimension | Segment | Trades | Win rate | Net P&L |
|---|
DECISION GATE CHECKLIST
Every live-pilot gate, strategy by strategy
A gate only passes when its full condition is met. “Not passed” includes both failed and not-yet-measurable conditions.
| Strategy | Assessment gate | Observed value | Result |
|---|---|---|---|
| VWAP + EMA Pullback | At least 300 closed trades | 0 / 300 | NOT PASSED |
| VWAP + EMA Pullback | At least six observed market months | 0 / 6 months | NOT PASSED |
| VWAP + EMA Pullback | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| VWAP + EMA Pullback | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| VWAP + EMA Pullback | Positive net expectancy | Not available | NOT PASSED |
| VWAP + EMA Pullback | Realised drawdown at most 12% | 0.00% | PASS |
| VWAP + EMA Pullback | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| VWAP + EMA Pullback | At least 70% profitable months | Not available | NOT PASSED |
| VWAP + EMA Pullback | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| VWAP + EMA Pullback | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| VWAP + EMA Pullback | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| VWAP + EMA Pullback | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| VWAP + EMA Pullback | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | At least 300 closed trades | 0 / 300 | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | At least six observed market months | 0 / 6 months | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Positive net expectancy | Not available | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Realised drawdown at most 12% | 0.00% | PASS |
| VWAP + EMA Pullback – Option Selling | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | At least 70% profitable months | Not available | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| VWAP + EMA Pullback – Option Selling | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| VWAP + EMA Pullback – Option Selling | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| Opening Range Breakout + Retest | At least 300 closed trades | 0 / 300 | NOT PASSED |
| Opening Range Breakout + Retest | At least six observed market months | 0 / 6 months | NOT PASSED |
| Opening Range Breakout + Retest | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| Opening Range Breakout + Retest | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| Opening Range Breakout + Retest | Positive net expectancy | Not available | NOT PASSED |
| Opening Range Breakout + Retest | Realised drawdown at most 12% | 0.00% | PASS |
| Opening Range Breakout + Retest | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| Opening Range Breakout + Retest | At least 70% profitable months | Not available | NOT PASSED |
| Opening Range Breakout + Retest | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| Opening Range Breakout + Retest | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| Opening Range Breakout + Retest | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| Opening Range Breakout + Retest | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| Opening Range Breakout + Retest | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | At least 300 closed trades | 0 / 300 | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | At least six observed market months | 0 / 6 months | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Positive net expectancy | Not available | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Realised drawdown at most 12% | 0.00% | PASS |
| Opening Range Breakout + Retest – Option Selling | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | At least 70% profitable months | Not available | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| Opening Range Breakout + Retest – Option Selling | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| Opening Range Breakout + Retest – Option Selling | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| EMA + RSI Pullback | At least 300 closed trades | 0 / 300 | NOT PASSED |
| EMA + RSI Pullback | At least six observed market months | 0 / 6 months | NOT PASSED |
| EMA + RSI Pullback | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| EMA + RSI Pullback | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| EMA + RSI Pullback | Positive net expectancy | Not available | NOT PASSED |
| EMA + RSI Pullback | Realised drawdown at most 12% | 0.00% | PASS |
| EMA + RSI Pullback | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| EMA + RSI Pullback | At least 70% profitable months | Not available | NOT PASSED |
| EMA + RSI Pullback | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| EMA + RSI Pullback | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| EMA + RSI Pullback | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| EMA + RSI Pullback | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| EMA + RSI Pullback | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| EMA + RSI Pullback – Option Selling | At least 300 closed trades | 0 / 300 | NOT PASSED |
| EMA + RSI Pullback – Option Selling | At least six observed market months | 0 / 6 months | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Positive net expectancy | Not available | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Realised drawdown at most 12% | 0.00% | PASS |
| EMA + RSI Pullback – Option Selling | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| EMA + RSI Pullback – Option Selling | At least 70% profitable months | Not available | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| EMA + RSI Pullback – Option Selling | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| EMA + RSI Pullback – Option Selling | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| EMA + RSI Pullback – Option Selling | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| Supertrend + VWAP Confirmation | At least 300 closed trades | 0 / 300 | NOT PASSED |
| Supertrend + VWAP Confirmation | At least six observed market months | 0 / 6 months | NOT PASSED |
| Supertrend + VWAP Confirmation | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| Supertrend + VWAP Confirmation | Positive net expectancy | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation | Realised drawdown at most 12% | 0.00% | PASS |
| Supertrend + VWAP Confirmation | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| Supertrend + VWAP Confirmation | At least 70% profitable months | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| Supertrend + VWAP Confirmation | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| Supertrend + VWAP Confirmation | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| Supertrend + VWAP Confirmation | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| Supertrend + VWAP Confirmation | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | At least 300 closed trades | 0 / 300 | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | At least six observed market months | 0 / 6 months | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Positive net expectancy | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Realised drawdown at most 12% | 0.00% | PASS |
| Supertrend + VWAP Confirmation – Option Selling | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | At least 70% profitable months | Not available | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| Supertrend + VWAP Confirmation – Option Selling | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| Supertrend + VWAP Confirmation – Option Selling | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| 9/21 EMA Crossover | At least 300 closed trades | 0 / 300 | NOT PASSED |
| 9/21 EMA Crossover | At least six observed market months | 0 / 6 months | NOT PASSED |
| 9/21 EMA Crossover | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| 9/21 EMA Crossover | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| 9/21 EMA Crossover | Positive net expectancy | Not available | NOT PASSED |
| 9/21 EMA Crossover | Realised drawdown at most 12% | 0.00% | PASS |
| 9/21 EMA Crossover | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| 9/21 EMA Crossover | At least 70% profitable months | Not available | NOT PASSED |
| 9/21 EMA Crossover | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| 9/21 EMA Crossover | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| 9/21 EMA Crossover | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| 9/21 EMA Crossover | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| 9/21 EMA Crossover | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | At least 300 closed trades | 0 / 300 | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | At least six observed market months | 0 / 6 months | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Wilson 95% lower bound above 55% | Not available | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Profit factor at least 1.50 | 0.00 | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Positive net expectancy | Not available | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Realised drawdown at most 12% | 0.00% | PASS |
| 9/21 EMA Crossover – Option Selling | MTM drawdown at most 15% with 60 tracked days | 0.00% · 0 days | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | At least 70% profitable months | Not available | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Positive net after 2x slippage stress | ₹0.00 | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Decision-audit coverage at least 95% | 0.0% | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | Effective daily sample at least 150 | 0.0 effective days | NOT PASSED |
| 9/21 EMA Crossover – Option Selling | No worker errors or partial runs in last 7 days | 0 error/partial runs | PASS |
| 9/21 EMA Crossover – Option Selling | All closed trades have audited entry quotes within recorded spread/freshness limits | 0 / 0 checked · 0 breaches | NOT PASSED |
PORTFOLIO DIVERSIFICATION
Strategy return correlation
Pairwise correlations use dates with valid marks for all ten execution accounts. Dates with a missing or stale mark are excluded rather than treated as flat returns. The matrix may be unstable with few shared days.
Combined virtual net P&L₹0.00Latest aligned end-of-day marks
Combined MTM drawdown0.00%Ten execution accounts together
Shared observed days0Complete marks across all ten accounts
Incomplete days excluded0Missing/stale account mark
| Strategy | VWAP + EMA Pullback | VWAP + EMA Pullback – Option Selling | Opening Range Breakout + Retest | Opening Range Breakout + Retest – Option Selling | EMA + RSI Pullback | EMA + RSI Pullback – Option Selling | Supertrend + VWAP Confirmation | Supertrend + VWAP Confirmation – Option Selling | 9/21 EMA Crossover | 9/21 EMA Crossover – Option Selling |
|---|---|---|---|---|---|---|---|---|---|---|
| VWAP + EMA Pullback | — | — | — | — | — | — | — | — | — | — |
| VWAP + EMA Pullback – Option Selling | — | — | — | — | — | — | — | — | — | — |
| Opening Range Breakout + Retest | — | — | — | — | — | — | — | — | — | — |
| Opening Range Breakout + Retest – Option Selling | — | — | — | — | — | — | — | — | — | — |
| EMA + RSI Pullback | — | — | — | — | — | — | — | — | — | — |
| EMA + RSI Pullback – Option Selling | — | — | — | — | — | — | — | — | — | — |
| Supertrend + VWAP Confirmation | — | — | — | — | — | — | — | — | — | — |
| Supertrend + VWAP Confirmation – Option Selling | — | — | — | — | — | — | — | — | — | — |
| 9/21 EMA Crossover | — | — | — | — | — | — | — | — | — | — |
| 9/21 EMA Crossover – Option Selling | — | — | — | — | — | — | — | — | — | — |
Correlation is not proof of diversification. All strategies trade related Indian index products and may become highly correlated during market stress.
NON-NEGOTIABLE GATES
What must pass before a live-pilot review?
Sample size
At least 300 closed trades, six observed market months, at least 150 effective daily observations and a 95% Wilson lower confidence bound above 55%.
Profitability
The Wilson 95% lower confidence bound for win rate must exceed 55%, profit factor at least 1.50 and positive net expectancy after estimated costs.
Risk
Realised drawdown no more than 12% and recorded mark-to-market drawdown no more than 15%.
Consistency
At least 70% profitable months, with at least six observed market months.
Execution robustness
Net results remain positive under a 2x slippage sensitivity scenario.
Evidence quality
At least 95% of closed trades need a decision-time audit; at least 150 effective daily observations are required.
Operations
No unresolved recent critical worker errors. Missing or stale data must be treated as a failed operational control.
Important interpretation
“Pilot review candidate” means only that the configured research gates appear to pass. It is not a recommendation to trade, not proof of future profitability, and not permission for automatic live execution. A human review, broker execution validation and regulatory checks remain necessary.