VWAP + EMA Pullback

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Strategies/VWAP + EMA Pullback
TREND PULLBACKMonitoring

VWAP + EMA Pullback

Trend continuation after a pullback and a confirmed price recovery/rejection.

Signal timeframe: 5-minute index candlesVirtual account: ₹100,000
Closed trades0Completed positions
Win rate—Closed trades only
Profit factor—After estimated costs
Net P&L₹0.00After estimated Zerodha-based charges
Realised max drawdown—Closed-trade equity only
CAPITAL READINESS

Research assessment

NOT EVALUATED

Readiness score: 0 / 100 · Closed trades: 0 · Win-rate 95% interval: —

View full assessment methodology and gates →

ENTRY LOGIC

When does this strategy enter?

Every condition listed below must be satisfied on a fresh, completed five-minute signal candle.

Bullish setup → Buy CE

  1. Spot close is above the 21 EMA.
  2. 9 EMA is above 21 EMA on the current completed candle.
  3. Corresponding futures close is above that session’s futures VWAP.
  4. Previous spot candle low touched or crossed below/equal to the previous candle’s 9 EMA.
  5. Current spot candle closes above the previous candle high.
  6. Current spot candle is bullish: close is greater than open.

Bearish setup → Buy PE

  1. Spot close is below the 21 EMA.
  2. 9 EMA is below 21 EMA on the current completed candle.
  3. Corresponding futures close is below that session’s futures VWAP.
  4. Previous spot candle high touched or crossed above/equal to the previous candle’s 9 EMA.
  5. Current spot candle closes below the previous candle low.
  6. Current spot candle is bearish: close is less than open.
INDICATOR DEFINITIONS

What the engine calculates

  • EMA 9 on spot closes
  • EMA 21 on spot closes
  • Session VWAP on front-month futures using typical price × volume, where typical price = (high + low + close) / 3

Required inputs

  • Nifty 50 or Bank Nifty spot candles
  • Corresponding front-month futures candles and volume for session VWAP
  • Latest option-chain snapshot for the selected underlying
EXIT & RISK MANAGEMENT

How positions are managed

These common paper-execution rules apply to this strategy.

Stop-loss

15% below long premium entry; exit when bid reaches the stop.

Profit target

1.25R from initial premium risk; buyer exits on bid strength, seller buys back on ask decay.

Entry window

New entries are blocked after 14:15 IST.

End-of-day exit

Open positions are squared off by 15:20 IST. Overnight positions are subject to a safety exit on the next worker cycle.

Daily limits

No fixed daily trade-count cap. One open position and one lot maximum per strategy account. Daily loss threshold remains 1.5% of initial virtual capital.

Position size

One lot maximum. If estimated one-lot risk plus charges exceeds the account risk budget, the entry is skipped.

CONTRACT & FILL FILTERS

What must pass before an entry?

  • Bullish signal buys a CE; bearish signal buys a PE.
  • Candidate contract is selected from the configured expiry series (Nifty weekly by default; Bank Nifty monthly by default), with preference for absolute delta near 0.45 when Greeks are available.
  • Option quote must be no older than 120 seconds.
  • Bid/ask spread must be at most 5.0%; best bid and ask displayed quantities must each cover one lot.
  • Simulated entry buys at ask plus slippage and exits at bid less slippage.
  • Estimated brokerage, exchange charges, STT, stamp duty, SEBI charges and GST are deducted.
  • The one-lot premium notional must fit available virtual account capital.
IMPLEMENTATION NOTES

Important details

The code compares the current futures close and VWAP for the same trading date as the spot signal candle.
If futures volume is unavailable or zero for the session, VWAP is unavailable and this strategy does not signal.
AUDIT TRAIL

Recent trades and decisions

No paper trades recorded for this strategy yet.

When a signal appears, this page will show whether it became a position or was rejected by a contract/risk filter.

Recent strategy events

No strategy events recorded yet.

When the engine evaluates a fresh candle, its decision and reason will appear here.