Your idea: NIFTY 9-EMA MULTI-TIMEFRAME STRATEGY Python Backtesting Specification…

NIFTY 9-EMA MULTI-TIMEFRAME STRATEGY Python Backtesting Specification — Version 1.0 1. Strategy Overview The strategy uses four 9-period Exponential Moving Averages (EMAs), each calculated on a different timeframe, to identify the overall market direction. Entries are taken on the 5-minute chart using a specific EMA-touch and candle-confirmation pattern. The initial backtest will focus on the sell setup by buying NIFTY ATM Put (PE) options. 2. Instrument and Trading Parameters Underlying: NIFTY 50 index Trading instrument: ATM NIFTY Put (PE) options for sell signals Entry chart timeframe: 5 minutes Trading session: Indian market hours, using IST Entry window: 11:00 AM to 1:00 PM IST Maximum entries: One entry per trading day Stop-loss: ₹20 option premium movement per unit Take-profit: ₹20 option premium movement per unit Mandatory position closure: 2:30 PM IST Overnight positions: Not permitted 3. Four EMA Rules All four indicators must be 9-period EMAs, calculated from NIFTY index closing prices on their respective timeframes. EMA Calculation timeframe EMA 1 9 EMA on the 5-minute chart EMA 2 9 EMA on the 15-minute chart EMA 3 9 EMA on the 30-minute chart EMA 4 9 EMA on the 1-hour chart Bearish EMA alignment — required for sell entries The four EMAs must satisfy the following strict order: 5-minute EMA < 15-minute EMA < 30-minute EMA < 1-hour EMA All four conditions must be true when the entry signal is confirmed. The reverse alignment represents the bullish market condition: 5-minute EMA > 15-minute EMA > 30-minute EMA > 1-hour EMA The bullish alignment is documented for completeness, but the buy-side entry strategy has not yet been defined. 4. Sell Entry Conditions A sell setup is valid only when all the following conditions are met. Condition 1: Trading time The setup and confirmation must occur during the permitted entry window, from 11:00 AM until before 1:00 PM IST. Condition 2: EMA alignment All four EMAs must be bearishly aligned: 5M EMA < 15M EMA < 30M EMA < 1H EMA. Condition 3: Bullish EMA-touch candle On the 5-minute NIFTY chart, identify a bullish candle that touches the 5-minute 9 EMA, also referred to as the blue line. A bullish candle is defined as: Close > Open A touch is defined as: Low <= EMA_5M <= High A wick touch is sufficient. The candle does not need to close at or above the EMA. Condition 4: Bearish confirmation candle After the bullish touch candle, wait for a subsequent bearish 5-minute candle that closes strictly below the 5-minute 9 EMA. A bearish candle is defined as: Close < Open The confirmation condition is: Close < EMA_5M The touch candle and confirmation candle must be separate candles. Both must occur within the permitted entry window. Condition 5: Enter the trade Once the bearish confirmation candle has closed and all EMA and time filters remain valid: Read the latest available NIFTY spot price. Select the nearest available at-the-money NIFTY Put option strike. Buy the selected PE option at the next executable price after confirmation. The backtest must not assume an entry at a price that was unavailable when the signal became known. 5. Stop-Loss and Take-Profit The stop-loss and take-profit are based on the option premium, not NIFTY index points. Let entry_premium be the actual executed option entry price per unit. Stop-loss: SL = entry_premium - 20 Take-profit: TP = entry_premium + 20 Example: Entry premium: ₹150 Stop-loss: ₹130 Take-profit: ₹170 For a long PE position: Exit at the stop-loss if the premium falls to or below the SL level. Exit at the take-profit if the premium reaches or exceeds the TP level. If neither level is hit, close the position at 2:30 PM IST. The actual monetary result depends on the contract lot size and number of lots. Brokerage, exchange charges, taxes, and slippage must be included in net P&L. 6. One Entry Per Day Only one trade entry is permitted per trading day. Once a trade has been opened, no further entry is allowed on that day, regardless of whether the t