Supertrend, Open = Low and Camarilla: three favourite intraday setups, tested on 10 years

Ask any Indian intraday Telegram group for a setup and you’ll hear one of these three. We tested each in its most common form, with no tweaking:

• Supertrend (10, 3) on 15-minute candles. Go long when it flips up, short when it flips down. The opposite flip reverses the position, and everything closes at 15:15.
• Open = Low / Open = High. At 09:25, if a stock’s day low is still its open (within 0.1%) and it’s trading above the open, buy, with a stop just under the day’s low. Mirror for Open = High shorts.
• Camarilla fade. From yesterday’s range, sell the first touch of H3 (stop at H4) and buy the first touch of L3 (stop at L4). Hold to 15:15.

Every NIFTY 50 stock on the days it was in the index, ₹5 lakh per trade, discount-broker and statutory charges plus 1 bp of slippage on each fill.

₹5 lakh per trade, 5-minute bars, v2026.08 snapshot (Jan 2016 – Aug 2026), NIFTY 50 point-in-time members, discount-broker (₹20/order) and statutory charges + 1 bp slippage per fill. Generated 2026-10-07.

Supertrend: always in the market, always paying

Supertrend flips often on 15-minute candles, and every flip is a new round trip: 70,319 trades, about 26 a day across the index. Its gross edge of 3.1 bps is real but less than half the cost, so after costs it lost ₹1.19 crore, in nine of eleven years.

Open = Low: the best of the three, and still a loser

Open = Low / Open = High had the highest gross edge, 5.2 bps per trade. A stock that hasn’t traded below its open in the first 15 minutes does lean slightly upward for the rest of the day. But it lands in the same place: about 1 bp short of costs, −₹31 lakh in total, and −₹1.75 crore with 3 bps of extra slippage per fill. It lost money in all three periods, barely in 2016–20 (−₹38,000) and most in 2024–26 (−₹22 lakh).

Camarilla: fading H3 rarely works

The Camarilla fade bets that price touching H3 or L3 will turn back. It made just 35% winners and lost ₹2.27 crore, the worst of the three, losing in ten of the eleven years. NIFTY 50 stocks reaching H3 early in the day are more often trending than stretched.

def open_high_low(check='09:25', tol=0.001):
    """'Open = Low' buy / 'Open = High' sell: at the close of the `check` bar, if the day's low so far is within
    `tol` of the open and price is above the open -> long (stop just below the day's low); mirror for shorts."""
    def strategy(p):
        o, lo, hi, c = p.day_open, p.day_low, p.day_high, p.close
        at = p.bcast(p.at(check))
        long = at & (lo >= o * (1 - tol)) & (c > o)
        short = at & (hi <= o * (1 + tol)) & (c < o)
        stop = ((c - lo) / c).where(long, (hi - c) / c).clip(lower=0.002) + 0.0005
        return bt.Signals(long=long, short=short, stop=stop)
    return strategy