BankNifty Intraday Momentum Strategy with Volume and VWAP Filters
Summary
This intraday strategy is designed for BankNifty futures and uses both long and short signals. Entries combine the direction and slope of a linear-regression price estimate with price relative to VWAP and VWAP slope. Optional cumulative volume delta and RSI filters add confirmation, while relative volume activity and candle direction, body size, range, and close location screen for forceful bars. A trading-hours window, opening-bar skip, daily trade cap, and direction selector further constrain entries.
The script supports ATR, fixed-distance, or swing-structure stops, with reward-to-risk targets, partial exits, and a trailing stop. Position size is calculated from a configured fraction of initial capital divided by stop distance, then capped by a contract maximum. It also tracks daily profit and loss and consecutive losses to restrict further entries. The supplied excerpt omits part of the exit logic and includes no backtest results, so it does not establish profitability; the volume-delta calculation is based on candle direction as a proxy rather than trade-level order flow.
Key ideas
- Long and short entries require agreement among regression slope, price direction, and VWAP position and slope.
- Optional RSI and candle-based volume-delta filters add momentum confirmation, while volume activity and candle shape screen entries.
- Stops can use ATR, fixed points, or recent swing levels, with risk-based targets and partial exits.
- Position size scales with configured risk per trade and is capped at a maximum contract count.
- Daily limits and consecutive-loss rules constrain trading, but the excerpt supplies no performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.