QUANTDESKOPTIONS RESEARCH & PAPER TRADING

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TREND REVERSAL CONFIRMATION · SHORT OPTIONMonitoring

Supertrend + VWAP Confirmation – Option Selling

Requires a fresh Supertrend direction flip on futures, confirmed by futures VWAP. The same signal is executed by selling the opposite-side option.

Signal timeframe: 5-minute front-month futures candlesVirtual account: ₹100,000

Closed trades2Completed positions

Win rate50.0%Closed trades only

Profit factor14.71After estimated costs

Net P&L₹844.04After estimated Zerodha-based charges

Realised max drawdown0.06%Closed-trade equity only

CAPITAL READINESS

Research assessment

NOT EVALUATED

Readiness score: 0 / 100 · Closed trades: 2 · Win-rate 95% interval: 9.5–90.5%

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

Supertrend direction on the previous futures candle is bearish (−1).
Supertrend direction on the current completed futures candle turns bullish (+1).
Current futures close is above the same-session futures VWAP.

Bearish setup → Sell CE

Supertrend direction on the previous futures candle is bullish (+1).
Supertrend direction on the current completed futures candle turns bearish (−1).
Current futures close is below the same-session futures VWAP.

INDICATOR DEFINITIONS

What the engine calculates

Supertrend calculated on futures candles using ATR period 10 and multiplier 3.0.
Session futures VWAP, calculated from typical price × volume.

Required inputs

Corresponding front-month futures OHLCV candles
Session VWAP from futures volume
Latest option-chain snapshot for the 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

A continuing bullish/bearish Supertrend state is not enough; a new direction change is required.

This strategy does not add a separate spot EMA or RSI filter.

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 13:06:03	Supertrend + VWAP Confirmation – Option SellingOPTION SELLING	Nifty 50	NIFTY 23300 CE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty	65	₹63.90	₹49.10	₹905.62	Closedtarget	Decision audit →
2026-11-02 09:21:03	Supertrend + VWAP Confirmation – Option SellingOPTION SELLING	Nifty 50	NIFTY 23250 PE 03 NOV 262026-11-03 · WEEKLY · 1 sessions to expiry · 65 qty	65	₹95.00	₹95.00	−₹61.58	Closedstop loss	Decision audit →