Trade 1−₹5,675
SideInstrumentQty × entryExitBuyNIFTY26OCTFUT225 × 22752.0022726.78
09:18 → 13:37 · Stop-loss hit · SL 1.5%
Mean Reversion NIFTY Intraday
Fades intraday extremes in NIFTY futures using VWAP bands and order-flow confirmation, flat by close every day.
- 1Y return
- +50.9%
- CAGR
- +45.1%
- Max drawdown
- -7.8%
- Sharpe
- 2.11
- Win rate
- 58.0%
- Subscribers
- 17327 slots left
Overview
Backtested Oct 23 – Sep 26 on the maximum allocation of ₹4,50,000, against the NIFTY 50.
1M+0.04%
3M+1.17%
6M+15.27%
1Y+50.92%
Max+205.37%
- Mean Reversion NIFTY Intraday
- NIFTY 50 (benchmark)
Characteristics
- Market
- India
- Brokers
- Angel One or Zerodha
- Trading hours
- 09:15–15:30 IST, Monday to Friday
- Operates on
- NSE
- Built on
- NIFTY Futures
- Segment
- F&O
- Strategy
- Mean Reversion
- Holding period
- Intraday
- Favourable in
- Range-bound sessions
- Provider
- Sigma Street
- Logic
- Black box
Performance
Returns on the maximum allocation, by period and by month.
Returns by period
| Period | Profit | Return |
|---|---|---|
| 1 month | ₹180 | +0.04% |
| 3 months | ₹5,244 | +1.17% |
| 6 months | ₹68,735 | +15.27% |
| 1 year | ₹2,29,162 | +50.92% |
| 3 years | ₹9,24,172 | +205.37% |
| All time | ₹9,24,172 | +205.37% |
Return profile
- Cumulative return
- +205.37%
- CAGR
- +45.08%
- Avg. up month
- +4.96%
- Avg. down month
- -2.77%
Monthly returns
Monthly returns distribution
- -7.81% to -0.7%6 months
- -0.51% to 1.84%6 months
- 2.05% to 3.47%6 months
- 3.51% to 4.93%6 months
- 5.41% to 8.29%6 months
- 8.74% to 9.89%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-7.81%Mar 26
Avg. drawdown-2.85%across all months under water
Longest drawdown90 daysMay 26 – Aug 26
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -7.81% | Feb 26 | Mar 26 | Apr 26 | 60 days | 30 days |
| 2 | -5.56% | Apr 25 | May 25 | Jun 25 | 60 days | 30 days |
| 3 | -4.66% | Jun 24 | Jul 24 | Aug 24 | 60 days | 30 days |
| 4 | -2.07% | May 26 | Jul 26 | Aug 26 | 90 days | 30 days |
| 5 | -1.03% | Jan 25 | Feb 25 | Mar 25 | 60 days | 30 days |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 4 trades/week
- Success ratio
- 58.00%
- Avg. profit per trade
- +1.40%
- Avg. loss per trade
- -1.10%
- Risk : reward
- 1.27
- Stop-loss per trade
- 1.50%
Risk
- Risk level
- High
- Avg. drawdown
- -2.85%
- Max drawdown
- -7.81%
- Avg. time to recovery
- 30 days
- Max time to recovery
- 30 days
- Annualised volatility
- 15.33%
Consistency
- Win days
- 58.00%
- Win months
- 77.78%
- Win quarters
- 100.00%
- Max consecutive wins
- 11 trades
- Max consecutive losses
- 5 trades
- Max consecutive winning months
- 9
Efficiency
- Sharpe
- 2.11
- Sortino
- 4.67
- Calmar
- 5.77
- Alpha
- 0.41
- Beta to NIFTY 50
- -0.17
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
₹33,850 (+7.52%)
Month to date (16 Oct 2026) on the maximum allocation of ₹4,50,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
19
20
21
22
23
26
27
28
29
30
- Trading days
- 12
- Winning days
- 9
- Best day
- +₹9,250
- Worst day
- −₹5,675
Trades on
−₹5,675Fri 16 Oct 2026
About Mean Reversion NIFTY Intraday
Mean Reversion NIFTY Intraday trades NIFTY futures against stretched intraday moves. When price extends more than two standard deviations from VWAP and order flow shows exhaustion, the algo enters a counter-trend position targeting a return to VWAP. Every position carries a tight stop and is closed before the end of the session.
How it works
Black-box strategy. Sigma Street has chosen to keep the trading logic confidential. Lantern has verified the backtest and tracks every live signal, so the performance, risk metrics and trade history above are independently checked even though the rules are not disclosed.
Risk notes
Trend days produce repeated small losses. The strategy is designed so that losses are small and frequent while wins are moderate.
Combine with other algos
Correlation of monthly returns between Mean Reversion NIFTY Intraday and other algos. Low or negative correlation means they tend not to draw down at the same time, which steadies a portfolio.
| Algo | Correlation | 1Y | Max DD | Combined max DD (50/50) | Action |
|---|---|---|---|---|---|
| Convex Credit Spread Overnight | -0.28 | +27.4% | -43.1% | -19.8% | Combine |
| Delta-Rotation Credit Spread Expiry | 0.09 | +27.0% | -14.3% | -8.6% | Combine |
| Momentum Pulse Equity | -0.18 | +13.1% | -16.7% | -4.9% | Combine |
| Calm Harbour Iron Condor Weekly | -0.08 | +9.1% | -4.4% | -2.9% | Combine |
| Trend Rider BANKNIFTY Futures | -0.03 | +14.2% | -27.5% | -10.4% | Combine |
| Dividend Rotator Equity | -0.07 | +2.5% | -11.3% | -4.1% | Combine |
| Volatility Harvest Straddle | 0.12 | +51.5% | -17.3% | -6.8% | Combine |
| Gold Carry MCX | -0.16 | +23.3% | -7.9% | -2.5% | Combine |
| US Large-Cap Momentum | 0.06 | +19.7% | -11.3% | -5.7% | Combine |
| QQQ Trend Switch | -0.08 | +13.5% | -8.4% | -4.8% | Combine |
| SPX Weekly Put Spread | -0.10 | +22.2% | -8.8% | -3.2% | Combine |
| Bitcoin Trend 4H | -0.16 | +54.9% | -26.4% | -10.7% | Combine |
| ETH–BTC Rotation | -0.00 | +51.5% | -27.8% | -11.0% | Combine |
Frequently asked questions
Does it trade on event days?
No. The algo skips RBI policy days, budget day and index expiry sessions.
How do I subscribe to Mean Reversion NIFTY Intraday?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹1,50,000) and the algo starts placing orders from the next session. You pay ₹1,199 per month plus 20% of net monthly profit above the high-water mark.
Explore similar algos
Convex Credit Spread Overnight
Sells NIFTY put or call spreads when option-surface curvature signals a convexity reversal, holding positions overnight to capture theta and skew normalisation.
- Min capital
- ₹1,00,000
- 1Y return
- +27.4%
- Risk
- Very High
Delta-Rotation Credit Spread Expiry
Rotates short credit spreads across deltas on NIFTY expiry day, squaring off before close to avoid overnight exposure.
- Min capital
- ₹1,00,000
- 1Y return
- +27.0%
- Risk
- High
Calm Harbour Iron Condor Weekly
Sells a wide weekly NIFTY iron condor sized to realised volatility and adjusts the tested side once.
- Min capital
- ₹1,20,000
- 1Y return
- +9.1%
- Risk
- Moderate
Trend Rider BANKNIFTY Futures
Breakout trend-following on BANKNIFTY futures with volatility-scaled position sizing and ATR trailing stops.
- Min capital
- ₹2,50,000
- 1Y return
- +14.2%
- Risk
- Very High
Important disclosure. Past performance, including back-tested returns, does not guarantee future results. Algorithmic trading strategies are exposed to market risk and can undergo periods of drawdown. Returns are subject to slippage, which depends on market conditions, the traded instrument and its liquidity. In accordance with exchange regulations, algorithmic strategies place LIMIT orders only, so execution is not guaranteed. Trades on the same instrument across multiple algos or manual orders may conflict. Performance figures and risk disclosures of listed algos are independently verified before listing. This demo uses simulated data.