Intraday Gap Continuation (Open to Close)
An intraday strategy on daily bars. Every morning it buys the 10 liquid large caps that closed strongest on above-average delivery the previous session, and squares the entire book off before that same day's close. No position ever survives the session.
Why this is expected to work
This template exists as much to demonstrate honest intraday accounting as to propose an edge. The signal is short-horizon continuation: a session that closes near its high on genuine delivery reflects buying that ran out of session, not out of demand, and Indian large caps show measurable open-to-close persistence the morning after. Be sceptical of the headline number here more than anywhere else in the catalog. Intraday strategies trade roughly 250 times a year instead of 12, so costs that round to nothing in a monthly template dominate the result, and the edge per trade is a few dozen basis points at best. Run it, then run it again with slippage doubled; if the second run is unprofitable the first was a cost assumption, not a strategy. The reason it is worth having is structural: a book that never holds overnight carries no gap risk, which is a genuinely different risk profile from everything else here.
How the pipeline works
NIFTY100 constituent
Keeps rows where nifty100_member == 1
nifty100_member == 1 Liquid: traded > Rs 25 cr/day
Keeps rows where turnover > 250000000
turnover > 250000000 Close position within the day's range
Computes close_strength = (close - low) / (high - low)
(close - low) / (high - low) Closed in the top quarter of its range
Keeps rows where close_strength > 0.75
close_strength > 0.75 Delivery-backed
Keeps rows where delivery_pct > 45
delivery_pct > 45 10 strongest closes
Selects the top 10 by close_strength
What this template teaches
- strategy_type=intraday — automatic session square-off
- Daily-bar intraday: enter at the open, exit at the close
- Why next_bar_open is mandatory for intraday
- Cost sensitivity at high turnover
Backtesting an Intraday Strategy Honestly (and Why Costs Decide It)
An intraday strategy trades roughly 250 times a year instead of 12. Costs that round to nothing in a monthly backtest become the whole result. Here is how to build one so the backtest is not lying to you.
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