Published Paper Details:

This work presents you the simplest yet robust scalping strategy designed for Bank nifty option buying leveraging price action along with VWAP confirmation and the volume OI filers to overcome the problems of complex mathematical based models. By focusing on 15-second timeframes this strategy mixes pullback and breakout scalping with strict risk management (1% capital per trade and 1:2 risk-reward). Backtested on 53 trades in different volatility regimes (low IV <15% to high IV >30%) it seeks 65% accuracy and also avoided the pitfalls of overfitting. The key innovations over here include the dynamic gap rule for VWAP reliability and the real-time filters of the liquidity (bid-ask less than 0.1%). This research illustrates the disciplined executions limited to around 10 high quality trades on a single trading day with optimal type window during the 9:45 to 11:30 outperforms the traditional overtrading approaches. Results do validate Paul Tudor Jones' (legendary hedge fund manager) philosophy which is "Simplicity in trend following yields consistent profits"