Strategy Assessment

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CAPITAL ALLOCATION RESEARCH

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.

StrategyClosedWin rate · 95% CIPFExpectancyRealised DDMTM DDProfitable months2x slippageScoreAssessment
VWAP + EMA Pullback0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
VWAP + EMA Pullback – Option Selling0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
Opening Range Breakout + Retest0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
Opening Range Breakout + Retest – Option Selling0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
EMA + RSI Pullback0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
EMA + RSI Pullback – Option Selling0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
Supertrend + VWAP Confirmation0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
Supertrend + VWAP Confirmation – Option Selling0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
9/21 EMA Crossover0— · ———0.00%0.00%—₹0.000/100NOT EVALUATED
9/21 EMA Crossover – Option Selling0— · ———0.00%0.00%—₹0.000/100NOT 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.

StrategyReturn on capitalExpectancy (R)Avg win / lossReward / riskSharpe*Sortino*ES 95% dailyMax loss streakRecovery factorMAE / MFEQuote spread avg.
VWAP + EMA Pullback0.00%—— / —————0—— / ——
VWAP + EMA Pullback – Option Selling0.00%—— / —————0—— / ——
Opening Range Breakout + Retest0.00%—— / —————0—— / ——
Opening Range Breakout + Retest – Option Selling0.00%—— / —————0—— / ——
EMA + RSI Pullback0.00%—— / —————0—— / ——
EMA + RSI Pullback – Option Selling0.00%—— / —————0—— / ——
Supertrend + VWAP Confirmation0.00%—— / —————0—— / ——
Supertrend + VWAP Confirmation – Option Selling0.00%—— / —————0—— / ——
9/21 EMA Crossover0.00%—— / —————0—— / ——
9/21 EMA Crossover – Option Selling0.00%—— / —————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

StrategyProfitable daysProfitable monthsObserved daysObserved monthsAvg hold (min)Avg quote age (sec)Avg |delta|Avg IVAvg option volumeAvg OIAudit coverage
VWAP + EMA Pullback——00——————0.0%
VWAP + EMA Pullback – Option Selling——00——————0.0%
Opening Range Breakout + Retest——00——————0.0%
Opening Range Breakout + Retest – Option Selling——00——————0.0%
EMA + RSI Pullback——00——————0.0%
EMA + RSI Pullback – Option Selling——00——————0.0%
Supertrend + VWAP Confirmation——00——————0.0%
Supertrend + VWAP Confirmation – Option Selling——00——————0.0%
9/21 EMA Crossover——00——————0.0%
9/21 EMA Crossover – Option Selling——00——————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.

StrategyLast 20 trades20-trade win rate20-trade expectancyLast 50 trades50-trade win rate50-trade expectancyPrevious 20 expectancyEvaluationsSignalsOpenedSkippedEntry conversionCommon rejection reasons
VWAP + EMA Pullback0——0———0000——
VWAP + EMA Pullback – Option Selling0——0———0000——
Opening Range Breakout + Retest0——0———0000——
Opening Range Breakout + Retest – Option Selling0——0———0000——
EMA + RSI Pullback0——0———0000——
EMA + RSI Pullback – Option Selling0——0———0000——
Supertrend + VWAP Confirmation0——0———0000——
Supertrend + VWAP Confirmation – Option Selling0——0———0000——
9/21 EMA Crossover0——0———0000——
9/21 EMA Crossover – Option Selling0——0———0000——
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.

StrategyAvg IV changeAvg delta changeAvg theta changeAvg gamma changeAvg vega changeAvg OI changeExit spreadExit quote ageLongest realised recoveryCurrent recoveryRecovery trades
VWAP + EMA Pullback————————0.0 days0.0 days · at or above prior peak0
VWAP + EMA Pullback – Option Selling————————0.0 days0.0 days · at or above prior peak0
Opening Range Breakout + Retest————————0.0 days0.0 days · at or above prior peak0
Opening Range Breakout + Retest – Option Selling————————0.0 days0.0 days · at or above prior peak0
EMA + RSI Pullback————————0.0 days0.0 days · at or above prior peak0
EMA + RSI Pullback – Option Selling————————0.0 days0.0 days · at or above prior peak0
Supertrend + VWAP Confirmation————————0.0 days0.0 days · at or above prior peak0
Supertrend + VWAP Confirmation – Option Selling————————0.0 days0.0 days · at or above prior peak0
9/21 EMA Crossover————————0.0 days0.0 days · at or above prior peak0
9/21 EMA Crossover – Option Selling————————0.0 days0.0 days · at or above prior peak0

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.

StrategyDimensionSegmentTradesWin rateNet 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.

StrategyAssessment gateObserved valueResult
VWAP + EMA PullbackAt least 300 closed trades0 / 300NOT PASSED
VWAP + EMA PullbackAt least six observed market months0 / 6 monthsNOT PASSED
VWAP + EMA PullbackWilson 95% lower bound above 55%Not availableNOT PASSED
VWAP + EMA PullbackProfit factor at least 1.500.00NOT PASSED
VWAP + EMA PullbackPositive net expectancyNot availableNOT PASSED
VWAP + EMA PullbackRealised drawdown at most 12%0.00%PASS
VWAP + EMA PullbackMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
VWAP + EMA PullbackAt least 70% profitable monthsNot availableNOT PASSED
VWAP + EMA PullbackPositive net after 2x slippage stress₹0.00NOT PASSED
VWAP + EMA PullbackDecision-audit coverage at least 95%0.0%NOT PASSED
VWAP + EMA PullbackEffective daily sample at least 1500.0 effective daysNOT PASSED
VWAP + EMA PullbackNo worker errors or partial runs in last 7 days0 error/partial runsPASS
VWAP + EMA PullbackAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
VWAP + EMA Pullback – Option SellingAt least 300 closed trades0 / 300NOT PASSED
VWAP + EMA Pullback – Option SellingAt least six observed market months0 / 6 monthsNOT PASSED
VWAP + EMA Pullback – Option SellingWilson 95% lower bound above 55%Not availableNOT PASSED
VWAP + EMA Pullback – Option SellingProfit factor at least 1.500.00NOT PASSED
VWAP + EMA Pullback – Option SellingPositive net expectancyNot availableNOT PASSED
VWAP + EMA Pullback – Option SellingRealised drawdown at most 12%0.00%PASS
VWAP + EMA Pullback – Option SellingMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
VWAP + EMA Pullback – Option SellingAt least 70% profitable monthsNot availableNOT PASSED
VWAP + EMA Pullback – Option SellingPositive net after 2x slippage stress₹0.00NOT PASSED
VWAP + EMA Pullback – Option SellingDecision-audit coverage at least 95%0.0%NOT PASSED
VWAP + EMA Pullback – Option SellingEffective daily sample at least 1500.0 effective daysNOT PASSED
VWAP + EMA Pullback – Option SellingNo worker errors or partial runs in last 7 days0 error/partial runsPASS
VWAP + EMA Pullback – Option SellingAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
Opening Range Breakout + RetestAt least 300 closed trades0 / 300NOT PASSED
Opening Range Breakout + RetestAt least six observed market months0 / 6 monthsNOT PASSED
Opening Range Breakout + RetestWilson 95% lower bound above 55%Not availableNOT PASSED
Opening Range Breakout + RetestProfit factor at least 1.500.00NOT PASSED
Opening Range Breakout + RetestPositive net expectancyNot availableNOT PASSED
Opening Range Breakout + RetestRealised drawdown at most 12%0.00%PASS
Opening Range Breakout + RetestMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
Opening Range Breakout + RetestAt least 70% profitable monthsNot availableNOT PASSED
Opening Range Breakout + RetestPositive net after 2x slippage stress₹0.00NOT PASSED
Opening Range Breakout + RetestDecision-audit coverage at least 95%0.0%NOT PASSED
Opening Range Breakout + RetestEffective daily sample at least 1500.0 effective daysNOT PASSED
Opening Range Breakout + RetestNo worker errors or partial runs in last 7 days0 error/partial runsPASS
Opening Range Breakout + RetestAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
Opening Range Breakout + Retest – Option SellingAt least 300 closed trades0 / 300NOT PASSED
Opening Range Breakout + Retest – Option SellingAt least six observed market months0 / 6 monthsNOT PASSED
Opening Range Breakout + Retest – Option SellingWilson 95% lower bound above 55%Not availableNOT PASSED
Opening Range Breakout + Retest – Option SellingProfit factor at least 1.500.00NOT PASSED
Opening Range Breakout + Retest – Option SellingPositive net expectancyNot availableNOT PASSED
Opening Range Breakout + Retest – Option SellingRealised drawdown at most 12%0.00%PASS
Opening Range Breakout + Retest – Option SellingMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
Opening Range Breakout + Retest – Option SellingAt least 70% profitable monthsNot availableNOT PASSED
Opening Range Breakout + Retest – Option SellingPositive net after 2x slippage stress₹0.00NOT PASSED
Opening Range Breakout + Retest – Option SellingDecision-audit coverage at least 95%0.0%NOT PASSED
Opening Range Breakout + Retest – Option SellingEffective daily sample at least 1500.0 effective daysNOT PASSED
Opening Range Breakout + Retest – Option SellingNo worker errors or partial runs in last 7 days0 error/partial runsPASS
Opening Range Breakout + Retest – Option SellingAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
EMA + RSI PullbackAt least 300 closed trades0 / 300NOT PASSED
EMA + RSI PullbackAt least six observed market months0 / 6 monthsNOT PASSED
EMA + RSI PullbackWilson 95% lower bound above 55%Not availableNOT PASSED
EMA + RSI PullbackProfit factor at least 1.500.00NOT PASSED
EMA + RSI PullbackPositive net expectancyNot availableNOT PASSED
EMA + RSI PullbackRealised drawdown at most 12%0.00%PASS
EMA + RSI PullbackMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
EMA + RSI PullbackAt least 70% profitable monthsNot availableNOT PASSED
EMA + RSI PullbackPositive net after 2x slippage stress₹0.00NOT PASSED
EMA + RSI PullbackDecision-audit coverage at least 95%0.0%NOT PASSED
EMA + RSI PullbackEffective daily sample at least 1500.0 effective daysNOT PASSED
EMA + RSI PullbackNo worker errors or partial runs in last 7 days0 error/partial runsPASS
EMA + RSI PullbackAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
EMA + RSI Pullback – Option SellingAt least 300 closed trades0 / 300NOT PASSED
EMA + RSI Pullback – Option SellingAt least six observed market months0 / 6 monthsNOT PASSED
EMA + RSI Pullback – Option SellingWilson 95% lower bound above 55%Not availableNOT PASSED
EMA + RSI Pullback – Option SellingProfit factor at least 1.500.00NOT PASSED
EMA + RSI Pullback – Option SellingPositive net expectancyNot availableNOT PASSED
EMA + RSI Pullback – Option SellingRealised drawdown at most 12%0.00%PASS
EMA + RSI Pullback – Option SellingMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
EMA + RSI Pullback – Option SellingAt least 70% profitable monthsNot availableNOT PASSED
EMA + RSI Pullback – Option SellingPositive net after 2x slippage stress₹0.00NOT PASSED
EMA + RSI Pullback – Option SellingDecision-audit coverage at least 95%0.0%NOT PASSED
EMA + RSI Pullback – Option SellingEffective daily sample at least 1500.0 effective daysNOT PASSED
EMA + RSI Pullback – Option SellingNo worker errors or partial runs in last 7 days0 error/partial runsPASS
EMA + RSI Pullback – Option SellingAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
Supertrend + VWAP ConfirmationAt least 300 closed trades0 / 300NOT PASSED
Supertrend + VWAP ConfirmationAt least six observed market months0 / 6 monthsNOT PASSED
Supertrend + VWAP ConfirmationWilson 95% lower bound above 55%Not availableNOT PASSED
Supertrend + VWAP ConfirmationProfit factor at least 1.500.00NOT PASSED
Supertrend + VWAP ConfirmationPositive net expectancyNot availableNOT PASSED
Supertrend + VWAP ConfirmationRealised drawdown at most 12%0.00%PASS
Supertrend + VWAP ConfirmationMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
Supertrend + VWAP ConfirmationAt least 70% profitable monthsNot availableNOT PASSED
Supertrend + VWAP ConfirmationPositive net after 2x slippage stress₹0.00NOT PASSED
Supertrend + VWAP ConfirmationDecision-audit coverage at least 95%0.0%NOT PASSED
Supertrend + VWAP ConfirmationEffective daily sample at least 1500.0 effective daysNOT PASSED
Supertrend + VWAP ConfirmationNo worker errors or partial runs in last 7 days0 error/partial runsPASS
Supertrend + VWAP ConfirmationAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
Supertrend + VWAP Confirmation – Option SellingAt least 300 closed trades0 / 300NOT PASSED
Supertrend + VWAP Confirmation – Option SellingAt least six observed market months0 / 6 monthsNOT PASSED
Supertrend + VWAP Confirmation – Option SellingWilson 95% lower bound above 55%Not availableNOT PASSED
Supertrend + VWAP Confirmation – Option SellingProfit factor at least 1.500.00NOT PASSED
Supertrend + VWAP Confirmation – Option SellingPositive net expectancyNot availableNOT PASSED
Supertrend + VWAP Confirmation – Option SellingRealised drawdown at most 12%0.00%PASS
Supertrend + VWAP Confirmation – Option SellingMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
Supertrend + VWAP Confirmation – Option SellingAt least 70% profitable monthsNot availableNOT PASSED
Supertrend + VWAP Confirmation – Option SellingPositive net after 2x slippage stress₹0.00NOT PASSED
Supertrend + VWAP Confirmation – Option SellingDecision-audit coverage at least 95%0.0%NOT PASSED
Supertrend + VWAP Confirmation – Option SellingEffective daily sample at least 1500.0 effective daysNOT PASSED
Supertrend + VWAP Confirmation – Option SellingNo worker errors or partial runs in last 7 days0 error/partial runsPASS
Supertrend + VWAP Confirmation – Option SellingAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
9/21 EMA CrossoverAt least 300 closed trades0 / 300NOT PASSED
9/21 EMA CrossoverAt least six observed market months0 / 6 monthsNOT PASSED
9/21 EMA CrossoverWilson 95% lower bound above 55%Not availableNOT PASSED
9/21 EMA CrossoverProfit factor at least 1.500.00NOT PASSED
9/21 EMA CrossoverPositive net expectancyNot availableNOT PASSED
9/21 EMA CrossoverRealised drawdown at most 12%0.00%PASS
9/21 EMA CrossoverMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
9/21 EMA CrossoverAt least 70% profitable monthsNot availableNOT PASSED
9/21 EMA CrossoverPositive net after 2x slippage stress₹0.00NOT PASSED
9/21 EMA CrossoverDecision-audit coverage at least 95%0.0%NOT PASSED
9/21 EMA CrossoverEffective daily sample at least 1500.0 effective daysNOT PASSED
9/21 EMA CrossoverNo worker errors or partial runs in last 7 days0 error/partial runsPASS
9/21 EMA CrossoverAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT PASSED
9/21 EMA Crossover – Option SellingAt least 300 closed trades0 / 300NOT PASSED
9/21 EMA Crossover – Option SellingAt least six observed market months0 / 6 monthsNOT PASSED
9/21 EMA Crossover – Option SellingWilson 95% lower bound above 55%Not availableNOT PASSED
9/21 EMA Crossover – Option SellingProfit factor at least 1.500.00NOT PASSED
9/21 EMA Crossover – Option SellingPositive net expectancyNot availableNOT PASSED
9/21 EMA Crossover – Option SellingRealised drawdown at most 12%0.00%PASS
9/21 EMA Crossover – Option SellingMTM drawdown at most 15% with 60 tracked days0.00% · 0 daysNOT PASSED
9/21 EMA Crossover – Option SellingAt least 70% profitable monthsNot availableNOT PASSED
9/21 EMA Crossover – Option SellingPositive net after 2x slippage stress₹0.00NOT PASSED
9/21 EMA Crossover – Option SellingDecision-audit coverage at least 95%0.0%NOT PASSED
9/21 EMA Crossover – Option SellingEffective daily sample at least 1500.0 effective daysNOT PASSED
9/21 EMA Crossover – Option SellingNo worker errors or partial runs in last 7 days0 error/partial runsPASS
9/21 EMA Crossover – Option SellingAll closed trades have audited entry quotes within recorded spread/freshness limits0 / 0 checked · 0 breachesNOT 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
StrategyVWAP + EMA PullbackVWAP + EMA Pullback – Option SellingOpening Range Breakout + RetestOpening Range Breakout + Retest – Option SellingEMA + RSI PullbackEMA + RSI Pullback – Option SellingSupertrend + VWAP ConfirmationSupertrend + VWAP Confirmation – Option Selling9/21 EMA Crossover9/21 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.