Anyone actually decomposed “Bramesh-style” setups to see what’s got real edge and what’s just motivational poster glue? I’m talking the whole cocktail: time cycles, ORB, Gann-ish levels, CPR magnets, expiry day antics, and a sprinkle of astro seasoning that somehow knows my stop before price does.
I’ve been trying to port the idea stack onto BankNifty/Nifty futures with proper guardrails, and my PnL looks like a lie detector test. Before I donate more to the slippage gods, a few surgical questions for the data-driven crowd:
Edge attribution: Which component actually pays rent?
- ORB width and follow-through vs just “trend day” detection
- Time-cycle turns that are more than curve-fit poetry
- CPR width as regime filter vs target/magnet
- Weekly expiry microstructure (especially post-2019) as the hidden sauce
Test design that won’t lie to me:
- Walk-forward or expanding window? What’s a sensible out-of-sample split for 1-min data since 2017?
- Regime filters: VIX threshold, overnight gap size, RBI/Fed days, monthly expiry/fin-year turn
- Robustness: Monte Carlo shuffling of trade sequence, parameter perturbation (±10-20%) for ORB window, ATR stop, etc.
Execution realities (aka where edges go to die):
- Futures vs options: delta targeting on entries, slippage assumptions on BankNifty weeklies, bid-ask blowouts after 2:45 pm
- Stop methodology that doesn’t get vacuumed at yesterday’s high/low: fixed ATR vs structure-based vs time-stop
- Re-entry rules: worth it or just fee farming?
Portability check:
- Works on Nifty/BankNifty only, or survives on crude-oil, USDINR, or even US indices/crypto without turning into interpretive dance?
- Same rules on different sessions or do we need India-specific hacks like pre-open filters?
Alpha decay and public rules problem:
- Anyone track performance pre/post widespread adoption of these levels/rules?
- Half-life of the edge after it gets blogged/tweeted to oblivion?
Minimal replicable spec so we’re not arguing about vibes:
- ORB window (first 15/30 min?), entry on break with buffer? One retry max?
- Cycle definition: fixed lengths vs anchored to swing points?
- CPR usage: trade only when CPR width < X? Targets at TC/BC? Exit on CPR tag?
- Risk: 0.5-1.5 ATR initial stop, trail by last swing or chandelier, daily loss cap?
Benchmarks to keep us honest:
- Naive ORB, Donchian channel, and simple trend filter (EMA cross + ATR stop) as baselines
- Report: expectancy, win rate, profit factor, max DD, MAR, and trade frequency, split by regime (high VIX, expiry, gap days)
If you’ve got anonymized stats or even ugly learnings like “works only on high VIX expiries, dies elsewhere,” that’s gold. Extra points if someone’s tested:
- ORB size normalized by 10-day ATR as a position-sizing scalar
- Skip days where pre-open gap > 0.8 ATR
- No trades within 10 minutes of known RBI policy prints
- CPR width deciles as a filter for breakout vs mean reversion
Bonus philosophical debate: if the moon is bullish but the market maker is short gamma, who wins-the cosmos or the guy with inventory risk?
I’m up for a small community replication challenge with a shared spec and blind walk-forward. Not looking for holy grails-just a get-rich-slow scheme that doesn’t require sacrificing a goat to the square of nine. Who’s in, and what’s your cleanest ruleset that held up out of sample?