NSE EDGE — Intelligent Trading System v5

GATE FILTER3 / 5 PASS

SYSTEM VERDICT

WAIT

G4 trigger pending · G5 R:R below threshold

CONFIDENCE

— /10

RECOMMENDED SIZE

—

G1REGIME

WAIT

G2SMART MONEY

WAIT

G3STRUCTURE

WAIT

G4TRIGGER

WAIT

G5RISK VALID

WAIT

GATES

SCORE

3 / 5

BIAS

WAIT

Intraday

CONFIDENCE

WAIT

— / 5 gates

ALLOWED

WAIT

Waiting for strategy state

BEST WINDOW

WAIT

Waiting for market context

TODAY

—

Waiting...

NIFTY 50

—

— · —%

WAITPCR —

BANK NIFTY

—

— · —%

WAITOI —

ACTIVE 1

—

— · —%

WAITOI —

ACTIVE 2

—

— · —%

WAITOI —

KILL ZONES

KEY LEVELS

OPTION CHAIN

STOCK OI

SWING RADAR

SPIKE RADAR ⚡

JOURNAL

STATS

EDGE ANALYTICS

BACKTEST

📚 BACKTEST GUIDE

P&L TRACKER

HEATMAP

CALENDAR

SESSION — NSE 9:15 TO 15:30 IST TREND ZONE ACTIVE

DISCOVERY9:15–10:00

✦ TREND ZONE10:00–13:30

DRIFT13:30–14:30

EXPIRY14:30–15:30

9:15–10:00 DISCOVERY

Watch only. Mark ORB high / low. No entries. Algo traps active. Spreads wide.

10:00–13:30 ✦ TREND (BEST)

All 5 gates must pass. Full position size. Momentum entries only.

13:30–14:30 DRIFT

No new entries. Manage open trades. Book partial profits here.

14:30–15:30 EXPIRY

Exit all positions. OI distortion. Max Pain gravity at 24,200.

OI PULSE — 30-MIN BUILDUP

3-STRIKE TRACKER

○

No losses today

NIFTY 50 — LIVE MAP (DERIVED)

Weekly supply24,800RESIST

Daily supply24,620RESIST

CE wall (OI)24,500CE WALL

Max Pain24,200GRAVITY

VWAP live24,380VWAP

Daily demand24,350STRONG

ORB High24,468ORB

ORB Low24,388ORB

Weekly demand24,050SUPPORT

BANK NIFTY — LIVE LEVELS

Weekly supply53,400RESIST

CE wall (OI)52,500CE WALL

VWAP live52,100VWAP

PE wall (OI)51,500PE WALL

Daily demand51,200SUPPORT

ICICI BANK — SWING SETUP

Entry zone1,210–1,230DEMAND

Target 11,290T1

Target 21,340T2

Stop loss1,185SL

⚠ TODAY'S WARNINGS

Nifty 212 pts above Max Pain (24,200) — gravitational pull toward expiry · FnO expiry Thursday — reduce positional size from Wed 14:00 · DXY +0.12% rising — watch FII outflow risk in afternoon session

PCR1.38

INDIA VIX13.2

MAX PAIN24,200

ATM STRIKE24,400

EXPIRY27 Mar

IV RANK28 (LOW)

PUT WRITERS DOMINANT

STRIKE	CALL OI	CALL ΔOI	BAR ←	—	→ BAR	PUT ΔOI	PUT OI

GATE

★ = best intraday signal · Sorted by score

# STOCK	PRICE	CHG%	OI CHNG	OI%	PCR	VOL*	ATR*	RS*	DEL*	GATES	SIGNAL	TRADE*	SCORE

* derived from current live move/OI context until dedicated backend fields are available

★ HIGH CONVICTION

Score ≥ 80 · R:R ≥ 1:2.5 · Delivery ≥ 55%

MODERATE

Score 65–79 · R:R ≥ 1:2 · Wait for entry zone

WATCH ONLY

Score <65 · Setup forming · Monitor daily

# STOCK	SECTOR	PRICE	SETUP	ENTRY ZONE	TARGET	STOP	R:R	GATES	PC	SIGNAL	OUTCOME	HOLD	SCORE

0DETECTED

0LIVE

0HIT T1

0HIT T2

0STOPPED

0EXPIRED

T1 = +0.3% · T2 = +0.6% · SL = −0.25% Expires 30 min after signal · Intraday only

PRICE VOL OI STRENGTH VWAP BUY FLOW ← signals fired

⚡

Waiting for spike signals...
Signals fire when Price ≥0.2% + Vol ≥1.5× avg · or OI spike ≥12%

LOG NEW TRADE

Instrument

Direction

Entry

Exit

Stop

Result

Gates passed

G1 G2 G3 G4 G5

Type

Notes

SESSION LOG

WIN RATE

62%

TRADES

AVG R:R

1:2.3

GATE DISC.

78%

SESSION PNL

+386 pts

GATE WIN% — WHEN GATE PASSES, TRADE WINS

TIME-TO-CONFIRMATION (SIGNAL → ENTRY)

INTRADAY SPIKE DETECTOR

Sudden price · volume · OI anomalies — threshold: price >0.2% + vol >1.5× avg · or OI spike >12%

Buy Sell OI LIVE

STOCK	TIME	ENTRY	SL	T1	Δ%	VOL/AVG	OI SPIKE	TRIGGER	SIGNAL	STRENGTH	ACT

Window15-min rolling

High strength—

Hit Target—

Hit SL—

Accuracy—

Updated—

LIVE SIGNAL HISTORY

Stored signal time, entry, SL, target, exit and result for recent spike signals

0 rows

DATE	TIME	STOCK	SIGNAL	TRIGGER	ENTRY	SL	TARGET	EXIT	OUTCOME	P&L	HOLD	GATES
Loading signal history...

POSITION SIZER

VIX-adjusted · ATR-based · NSE lot-accurate calculator

INPUTS

Capital (₹)

Risk per trade

India VIX

ATR (pts)

Instrument

SL multiplier (× ATR)

1.5×ATR

OUTPUT

Max risk ₹₹5,000

VIX ruleFULL SIZE

Stop distance130 pts

Lots to trade1 lot

Position value₹6,10,300

Capital used—

Margin approx.—

RISK BARS

VIX SIZE RULES

VIX <12FULL 100% size — safe regime

VIX 12–1675% size — mild caution

VIX 16–2050% size — high volatility

VIX >2025% or NO TRADE

3-STRIKE CAPITAL RULES

Strike 1 → Reduce next trade 50%
Strike 2 → 1 trade max, rest of session
Strike 3 → Close all, stop trading
Daily max loss = 2% of capital hard stop

MARGIN GUIDE (NSE APPROX.)

Nifty futures → ~₹1.2L per lot
Bank Nifty → ~₹72K per lot
Options (buy) → Premium only
Options (sell) → ~₹1.5L margin

SIGNAL BACKTEST

Filter by period, instrument, gate, direction — see what the system got right and wrong

SIGNALS

—

CORRECT%

—

SAVED PTS

—

MISSED PTS

—

NET EDGE

—

PERIOD

FROM

INSTRUMENT

GATE

DIR

RESULT

DATE / TIME	SIGNAL	DIR	GATE	REASON BLOCKED	ENTRY	EXIT	PNL (WOULD)	CORRECT?	LESSON

LogicCorrect = blocked a loser OR allowed a winner

Showing—

1/1

VOLUME RADAR

Delivery % · unusual OI concentration · price-volume divergence · surge alerts · FII vs retail

NSE F&O UNIVERSE

HIGH DELIVERY % — INSTITUTIONAL SIGNAL

STOCK	DEL%	5D AVG	Δ	SIGNAL

PRICE-VOLUME DIVERGENCE

Price up + Vol down = weak. Price down + Vol up = real sell.

OI CONCENTRATION WALLS (>20% of total)

VOLUME SURGE (>3× AVG)

FII vs RETAIL OI POSITIONING

PERIOD

FROM

MODE

Loading data status...

DAY VIEW Pick any date to see full gate drill-down + intraday & positional signals

TOTAL DAYS

—

EXECUTE (5/5)

—

WATCH (4/5)

—

WIN RATE

—

PROFIT FACTOR

—

AVG WIN (pts)

—

AVG LOSS (pts)

—

TOTAL P&L (pts)

—

GATE WIN RATE — WHEN GATE PASSES (EXECUTE signals only)

CONFIDENCE WEIGHTS — GATE PREDICTIVE POWER

Higher weight = gate is a stronger predictor of winning trades

LIVE CONFIDENCE SCORE

— /10

BACKTEST TRADE LOG ▮ EXECUTE = all 5 gates pass ▮ WATCH = 4/5 gates pass (near miss) —

DATE	TIME	VERDICT	GATES	NIFTY	VIX	PCR	G1	G2	G3	G4	G5	ENTRY	TARGET	STOP	EXIT	P&L	RESULT

📚 OPTIONS BACKTEST GUIDE

How to build, test, and validate intraday options strategies · Python + Real Data

📊 UNDERLYING DATA (NIFTY)

underlying.csv

timestamp,open,high,low,close,volume,vwap
2024-01-01 09:15,22000,22040,21980,22030,150000,22020
2024-01-01 09:16,22030,22080,22020,22070,180000,22035
2024-01-01 09:17,22070,22120,22060,22110,210000,22060
2024-01-01 09:18,22110,22180,22100,22160,250000,22095
2024-01-01 09:19,22160,22220,22150,22200,300000,22130
2024-01-01 09:20,22200,22280,22190,22260,350000,22180
2024-01-01 09:21,22260,22320,22250,22300,380000,22230

📈 OPTIONS DATA

options.csv

timestamp,strike,type,price,volume,oi
2024-01-01 09:15,22100,CE,120,5000,150000
2024-01-01 09:15,22200,CE,80,4000,120000
2024-01-01 09:15,22000,PE,140,6000,170000
2024-01-01 09:16,22100,CE,140,7000,160000
2024-01-01 09:16,22200,CE,95,6000,130000
2024-01-01 09:16,22000,PE,120,5000,165000
2024-01-01 09:17,22100,CE,170,9000,175000
2024-01-01 09:18,22100,CE,210,12000,200000
2024-01-01 09:19,22100,CE,260,15000,230000
2024-01-01 09:20,22100,CE,320,18000,260000
2024-01-01 09:21,22100,CE,380,20000,300000

💥 EXAMPLE TRADE — 171% RETURN

Entry: 22100 CE at 09:16 → ₹140 | Exit: 09:21 → ₹380

Return = (380 − 140) / 140 = 171% · This is a 100–200% move in 5 minutes

+171%

IN 5 MIN

🧠 WHAT TO TEST WITH THIS DATASET

TEST 1 — VWAP Breakout

Entry when:
close > VWAP
+ price makes new high

Pick OTM CE strike
Track next 5 candles

TEST 2 — Volume Spike

Entry when:
volume > 2× avg
+ price move > 0.3%

Filter false breakouts
Compare accuracy

TEST 3 — OI Confirmation

Entry when:
OI rising + price up
+ CE premium surging

Best edge condition
Fewer but cleaner trades

🐍 PYTHON BACKTESTER — PLUG & PLAY

import pandas as pd
import numpy as np

# ── Load Data ──────────────────────────────────────────
underlying = pd.read_csv('underlying.csv', parse_dates=['timestamp'])
options    = pd.read_csv('options.csv',    parse_dates=['timestamp'])

underlying = underlying.sort_values('timestamp').reset_index(drop=True)
options    = options.sort_values('timestamp').reset_index(drop=True)

# ── Parameters ─────────────────────────────────────────
VOL_MULT_THRESH = 2.0      # volume must be 2× rolling average
PRICE_MOVE_PCT  = 0.3      # price move > 0.3% from prev close
OI_INCREASE     = True     # require OI increasing on CE
HOLD_CANDLES    = 5        # hold for 5 candles after entry
STRIKE_OFFSET   = 100      # OTM: buy CE strike = ATM + 100

# ── Helper: rolling average volume ─────────────────────
underlying['avg_vol'] = underlying['volume'].rolling(3, min_periods=1).mean().shift(1)
underlying['vol_mult'] = underlying['volume'] / underlying['avg_vol'].clip(lower=1)
underlying['chg_pct']  = underlying['close'].pct_change() * 100

trades = []

for i in range(1, len(underlying) - HOLD_CANDLES):
    row    = underlying.iloc[i]
    ts     = row['timestamp']
    price  = row['close']
    vwap   = row['vwap']
    vm     = row['vol_mult']
    chg    = row['chg_pct']

    # ── Signal Conditions ──────────────────────────────
    cond_vwap   = price > vwap                   # above VWAP
    cond_vol    = vm >= VOL_MULT_THRESH           # volume surge
    cond_price  = chg >= PRICE_MOVE_PCT           # bullish candle

    # OI condition: CE OI increasing at this timestamp
    ce_now  = options[(options['timestamp'] == ts) & (options['type'] == 'CE')]
    cond_oi = True
    if OI_INCREASE and not ce_now.empty:
        prev_ts = underlying.iloc[i - 1]['timestamp']
        ce_prev = options[(options['timestamp'] == prev_ts) & (options['type'] == 'CE')]
        if not ce_prev.empty:
            cond_oi = ce_now['oi'].sum() > ce_prev['oi'].sum()

    if not (cond_vwap and cond_vol and cond_price and cond_oi):
        continue

    # ── Select Strike ──────────────────────────────────
    atm     = round(price / 100) * 100
    strike  = atm + STRIKE_OFFSET

    opt_row = options[(options['timestamp'] == ts) &
                      (options['strike'] == strike) &
                      (options['type'] == 'CE')]
    if opt_row.empty:
        continue

    entry_price = opt_row.iloc[0]['price']

    # ── Track Exit (hold N candles) ────────────────────
    exit_prices = []
    for k in range(1, HOLD_CANDLES + 1):
        fut_ts = underlying.iloc[i + k]['timestamp']
        fut_opt = options[(options['timestamp'] == fut_ts) &
                          (options['strike'] == strike) &
                          (options['type'] == 'CE')]
        if not fut_opt.empty:
            exit_prices.append(fut_opt.iloc[0]['price'])

    if not exit_prices:
        continue

    max_price  = max(exit_prices)
    exit_price = exit_prices[-1]
    ret_pct    = (exit_price - entry_price) / entry_price * 100
    max_ret    = (max_price  - entry_price) / entry_price * 100

    trades.append({
        'entry_time':   ts,
        'strike':       strike,
        'type':         'CE',
        'entry_price':  entry_price,
        'exit_price':   exit_price,
        'max_price':    max_price,
        'return_pct':   round(ret_pct, 1),
        'max_return':   round(max_ret, 1),
        'vol_mult':     round(vm, 1),
        'above_vwap':   cond_vwap,
    })

# ── Results ────────────────────────────────────────────
df = pd.DataFrame(trades)
if df.empty:
    print("No trades generated — relax filters")
else:
    winners  = df[df['return_pct'] > 0]
    losers   = df[df['return_pct'] <= 0]
    big_wins = df[df['return_pct'] >= 100]
    print(f"\n{'='*50}")
    print(f"  BACKTEST RESULTS")
    print(f"{'='*50}")
    print(f"  Total trades  : {len(df)}")
    print(f"  Winners       : {len(winners)} ({len(winners)/len(df)*100:.0f}%)")
    print(f"  Losers        : {len(losers)}")
    print(f"  100%+ trades  : {len(big_wins)}")
    print(f"  Avg return    : {df['return_pct'].mean():.1f}%")
    print(f"  Max return    : {df['max_return'].max():.1f}%")
    print(f"{'='*50}")
    print(df[['entry_time','strike','entry_price','exit_price','return_pct','max_return']].to_string(index=False))

📉 SAMPLE TRADE OUTPUT

trades.csv

entry_time    strike  type  entry  max   exit  return%
09:16         22100   CE    140    380   350   +150%

⚙️ HOW TO USE

1. Save the CSVs above as files
2. Install: pip install pandas numpy
3. Run: python backtest.py
4. Tweak VOL_MULT_THRESH / HOLD_CANDLES
5. Compare accuracy across Test 1/2/3

🚀 NEXT LEVEL

Ask Claude to generate for you:

"Give multi-day dataset (300+ rows)" "Add stop-loss to backtester" "Test PE side (bearish entries)"

P&L TRACKER

SYMBOL

DIRECTION

ENTRY

EXIT

QTY (lots)

TOTAL P&L

₹0

WIN RATE

BEST TRADE

₹0

WORST TRADE

₹0

No trades logged yet. Add a trade above.

SECTOR HEATMAP

Click any sector to see top stocks. Size = market cap weight. Color = day's change.

−2%

+2%

EXPIRY & EARNINGS CALENDAR

MACRO CONTEXTWAIT

NIFTY SPOT

—

Waiting...

Waiting for index state

INDIA VIX

—

Waiting...

Waiting for volatility

FII CASH

—

Waiting...

DII —

PCR / OI BIAS

WAIT

PCR —

Waiting for OI state

US 10Y

—

Waiting...

DXY

—

Waiting...

CRUDE

—

Waiting...

INTRADAY PICKSLIVE RANKED

SESSION CHECKLIST (MANUAL)5 / 8

✓

Check FII/DII data from NSE participant OI

✓

Option chain — identify OI walls both sides

✓

Note PCR (1.38) + Max Pain (24,200)

✓

Check India VIX — strategy: sell premium

✓

Scan FinBERT — morning headlines neutral

Mark daily S/R + VWAP anchor (24,380)

Classify regime — confirm Gate 1

Set position size using VIX table (VIX 13 → full)