QUANTDESKOPTIONS RESEARCH & PAPER TRADING

PAPER MODEEngine monitoring · READ ONLY

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OPENING-RANGE BREAKOUT · SHORT OPTIONMonitoring

Opening Range Breakout + Retest – Option Selling

Waits for a break of the first 15-minute range, then requires a retest and candle confirmation. The same signal is executed by selling the opposite-side option.

Signal timeframe: 5-minute index candlesVirtual account: ₹100,000

Closed trades2Completed positions

Win rate0.0%Closed trades only

Profit factor0.00After estimated costs

Net P&L−₹441.75After estimated Zerodha-based charges

Realised max drawdown0.44%Closed-trade equity only

CAPITAL READINESS

Research assessment

NOT EVALUATED

Readiness score: 0 / 100 · Closed trades: 2 · Win-rate 95% interval: 0.0–65.8%

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

Build the opening range from the 09:15, 09:20 and 09:25 candles. Opening-range high is the highest high of those bars.
Evaluate only after the opening range has completed (bar time 09:30 or later).
Previous candle close must be above the opening-range high.
Current candle low must retest to within the range-high tolerance: opening-range width × 3% (minimum tolerance 0.01 index points).
Current candle must close above the opening-range high.
Current candle must be bullish: close greater than open.

Bearish setup → Sell CE

Opening-range low is the lowest low of the 09:15, 09:20 and 09:25 candles.
Evaluate only after the opening range has completed (bar time 09:30 or later).
Previous candle close must be below the opening-range low.
Current candle high must retest to within the range-low tolerance: opening-range width × 3% (minimum tolerance 0.01 index points).
Current candle must close below the opening-range low.
Current candle must be bearish: close less than open.

INDICATOR DEFINITIONS

What the engine calculates

Opening-range high/low calculated from the first three 5-minute spot candles (09:15, 09:20 and 09:25).
Retest tolerance = 3% of opening-range width, with a minimum of 0.01 index points.

Required inputs

Nifty 50 or Bank Nifty spot candles
The first three 5-minute candles of the current session
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 current implementation tests current low ≤ opening-range high + tolerance for a bullish retest, and current high ≥ opening-range low − tolerance for a bearish retest. It does not impose a second bound on how far price may penetrate through the level; this is an implementation detail to review before treating the setup as a tightly bounded retest.

The current implementation does not impose a separate ORB-specific expiry time; the configured common entry window still applies.

If the three opening candles are missing, the range is not considered complete and no signal is generated.

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

Opened	Strategy	Underlying	Contract	Qty	Entry	Exit	Net P&L	Status / exit reason	Assessment
2026-11-02 11:56:03	Opening Range Breakout + Retest – Option SellingOPTION SELLING	Nifty 50	NIFTY 23250 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty	65	₹70.00	₹70.00	−₹58.16	Closedstop loss	Decision audit →
2026-11-02 10:26:02	Opening Range Breakout + Retest – Option SellingOPTION SELLING	Nifty 50	NIFTY 23300 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty	65	₹80.00	₹75.00	−₹383.59	Closedstop loss	Decision audit →