VWAP + EMA Pullback – Option Selling

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Strategies/VWAP + EMA Pullback – Option Selling
TREND PULLBACK · SHORT OPTIONMonitoring

VWAP + EMA Pullback – Option Selling

Trend continuation after a pullback and a confirmed price recovery/rejection. The same signal is executed by selling the opposite-side option.

Signal timeframe: 5-minute index candlesVirtual account: ₹100,000
Closed trades6Completed positions
Win rate0.0%Closed trades only
Profit factor0.00After estimated costs
Net P&L−₹2,007.99After estimated Zerodha-based charges
Realised max drawdown2.01%Closed-trade equity only
CAPITAL READINESS

Research assessment

NOT EVALUATED

Readiness score: 0 / 100 · Closed trades: 6 · Win-rate 95% interval: 0.0–39.0%

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 → Sell PE

  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 → Sell CE

  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% above short premium entry; buy back when ask 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 allowed from 09:15 until 14:45 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 sells a PE; bearish signal sells a CE.
  • 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 sells at bid less slippage and exits by buying at ask plus slippage.
  • Estimated brokerage, exchange charges, STT, stamp duty, SEBI charges and GST are deducted.
  • A conservative one-lot margin reserve plus buffer must fit the separately configured simulated margin capacity per SELL account; this is separate from virtual P&L 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.
Execution model: bullish signal sells a PE; bearish signal sells a CE. The underlying signal conditions are identical to the paired option-buying account.
Short-option risk is not capped by the premium stop. A gap, quote outage or liquidity event can cause a simulated repurchase price beyond the stop. This single-leg selling account is paper research only.
AUDIT TRAIL

Recent trades and decisions

OpenedStrategyUnderlyingContractQtyEntryExitNet P&LStatus / exit reasonAssessment
2026-11-02 13:31:03VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23250 CE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹70.85₹86.30−₹1,062.91Closedstop lossDecision audit →
2026-11-02 12:21:03VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹70.00₹70.00−₹58.16Closedstop lossDecision audit →
2026-11-02 12:16:03VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹70.00₹65.00−₹382.02Closedstop lossDecision audit →
2026-11-02 12:11:03VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹75.00₹70.00−₹383.31Closedstop lossDecision audit →
2026-11-02 12:01:03VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹85.00₹85.00−₹60.01Closedstop lossDecision audit →
2026-11-02 09:21:02VWAP + EMA Pullback – Option SellingOPTION SELLINGNifty 50NIFTY 23250 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty65₹95.00₹95.00−₹61.58Closedstop lossDecision audit →

Recent strategy events

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Bank Nifty

VWAP/EMA pullback conditions not aligned.

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Nifty 50

VWAP/EMA pullback conditions not aligned.

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Bank Nifty

VWAP/EMA pullback conditions not aligned.

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Nifty 50

VWAP/EMA pullback conditions not aligned.

Entry skippedENTRY SKIP
VWAP + EMA Pullback – Option Selling · Bank Nifty · long

Daily loss limit has been reached.

Signal generatedSIGNAL
VWAP + EMA Pullback – Option Selling · Bank Nifty · long

SELL execution model uses the same signal: Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Bank Nifty · long

Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.

Entry skippedENTRY SKIP
VWAP + EMA Pullback – Option Selling · Nifty 50 · long

Daily loss limit has been reached.

Signal generatedSIGNAL
VWAP + EMA Pullback – Option Selling · Nifty 50 · long

SELL execution model uses the same signal: Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.

Strategy evaluationEVALUATED
VWAP + EMA Pullback – Option Selling · Nifty 50 · long

Bullish EMA trend, futures price above session VWAP, and confirmed pullback recovery.