Sample Strategy - Range Breakout with different TG/SL (Nifty)

Disclaimer:

This document is for informational purposes only and describes the mechanics of the strategy as configured on the Quantiply platform. It is not financial advice. Past performance of any strategy does not guarantee future results. Please ensure you understand the risks involved before trading with real capital.

Strategy Overview:

This strategy uses the ORB (Opening Range Breakout) feature with a 4 leg NIFTY options setup. What makes it different from a standard multi-leg strategy is that each leg is configured independently with its own entry logic, stoploss type, and target type. There is no common rule applied across all legs.

This level of flexibility allows the strategy to apply different risk and reward logic to each position, making it suitable for more advanced multi-leg trade design.

Strategy Snapshot:

Overview of the key configuration parameters for this strategy

What is the Opening Range Breakout (ORB)?

The Opening Range Breakout is an entry method where the system first captures the high and low of the market during a defined time window at the start of the session. This range, the opening range, then becomes the reference point for triggering entries.

Once the opening range is formed, each leg waits for the market to break above the range high or below the range low before entering. Which direction triggers which leg depends on how the strategy is configured.

Entry Behavior (Instrument vs Underlying):

The ORB entry logic behaves differently depending on whether the breakout reference is set to Instrument or Underlying. This is one of the key settings to understand before running this strategy.

If an instrument is selected:

Entry is based on the breakout of the option instrument's own premium price, not the index.

• For option buying (CE and PE): entry is triggered when the option's price breaks above the range high.
• For option selling (CE and PE): entry is triggered when the option's price breaks below the range low.

Both buy legs follow the same high breakout logic, and both sell legs follow the same low breakout logic.

If "Underlying" is selected:

Entry is based on the breakout of the underlying asset in this case, the NIFTY index itself.

• For option buying: the CE leg enters when the underlying breaks the range high, and the PE leg enters when the underlying breaks the range low.
• For option selling: the CE leg enters when the underlying breaks the range low, and the PE leg enters when the underlying breaks the range high.

This creates directional entry logic based on how the underlying index moves relative to the opening range, rather than the option premium itself.

Leg-Wise Configuration:

Each of the four legs in this strategy uses a different combination of stoploss and target logic. Here is how each leg is set up:

First Leg: CE Sell

The first leg is a Call Sell position entered using ORB logic.

• Stoploss: Based on Range High, the leg exits if the price reaches the defined stoploss level derived from the opening range high.
• Target: Based on Range %, the leg exits when the target, calculated as a percentage of the opening range, is achieved.

Middle Legs

The remaining legs between the first and last are also configured independently. Each has its own stoploss type and target type, which may differ from the other legs. This allows the strategy to apply varied risk management across the position rather than using a uniform rule.

Last Leg: PE Buy

The final leg is a Put Buy position, and it is structurally the most different from the others.

• Stoploss: Based on underlying % movement (UL %) and not the option premium.
• Target: Also based on underlying % movement (UL %).

This means the exit conditions for this leg are tied directly to how much the underlying NIFTY index moves, rather than how the option premium changes. If the underlying moves by the defined percentage in either direction, the leg exits accordingly.

This makes the PE Buy leg behave differently from all other legs in the strategy, as its risk management is anchored to the index rather than the option price.

How the Strategy Runs 

• The opening range is captured during the configured time window from the start of the session.
• Each leg waits independently for its specific ORB breakout condition to be satisfied.
• Once the breakout condition is met, the entry order is placed based on whether the leg uses instrument based or underlying based logic.
• After entry, each leg is managed on its own using its individual stoploss and target settings.
• The strategy continues running until all legs have exited, or the end of day exit time is reached.