F&O positioning

Futures Long Build-up

From NSE's F&O open interestRead about it

In stock futures, a rising price with rising open interest means new positions are being opened on the long side, not short positions being closed. NSE's F&O files give each stock's open interest daily; a signal comes on a strong up day with a clear jump in it.

Yearly return, after costs−0.9%Nifty 500 +11.5% over the same years

Worst fall−51.3%Win rate44%Matches now1

How it works

The signal every rule true at the close

The stock trades in the F&O segment
Closes at least 2% higher than the day before
Open interest in its futures (all expiries) up at least 5% on the day
Close is above the 50-day moving average

The exit whichever comes first

Closes below the lowest low of the past 10 days
Or closes 2 ATR below the price the trade opened at
Or after 15 trading days

Typical holdingUp to 3 weeks

An example from the backtestOne 97 Communications PAYTMThe rules were met at the close before 26 Aug 2026. The trade opened that morning and closed on 18 Sep 2026, 16 trading days later, +4.4% after costs. Exit: 15 days passed.

Stocks meeting the rules 1

At the close of 1 Oct 2026, among NSE's 500 most-traded stocks. A screen, not a recommendation: in the backtest, a trade opened at the next day's open.

1Siemens Energy IndiaENRIN · Capital GoodsClose₹3,334Day+4.19%Open interest change+74.7%Price change+4.2%

Backtest

1 Jan 2016 to 1 Oct 2026: a 10-stock portfolio following these rules on NSE's 500 most-traded stocks at each date, after 0.2% costs on each side, against the Nifty 500 index.

Yearly return−0.9%Index +11.5%

Compound growth a year (CAGR).

Total return−10%Index +224%

Gain or loss over the whole test.

Worst fall−51.3%Index −38.3%

Largest drop from a high (max drawdown).

Win rate43.8%

Share of trades that closed with a gain.

Profit factor1.03

Rupees gained for every rupee lost.

Average trade+0.10%

Average result per trade, after costs.

Average gain · loss+8.2% · −6.2%

A typical winning and losing trade.

Days held12.4

Average trading days per trade.

Trades1,961

About 182 a year.

Sharpe ratio0.05

Return for each unit of ups and downs.

Time invested91%

Average share of the money in trades.

Best · worst trade+58% · −40%

The extremes, after costs.

₹1 lakh following the rules

1 Jan 2016 to 1 Oct 2026: ₹0.90 L against ₹3.24 L in the Nifty 500.

Futures Long Build-upNifty 500

Falls from the high

Worst in this period −51.3%

Each calendar year

Return in the year, after costs.

Futures Long Build-upNifty 500

How the 1,961 trades ended

Each trade's return after costs, grouped.

GainLoss

How sturdy is it?

The same rules, tested again with one thing changed. A result worth trusting holds up across these; a big swing means the headline figure depends on luck or on the exact setup.

Beat the Nifty 500 in 0 of 5 versions and in 0 of 2 halves of the test.

Version	Yearly return	Worst fall	Win rate	Profit factor	Trades
As published10 stocks at a time, 0.2% costs on each side	−0.9%	−51.3%	43.8%	1.03	1,961
With the market filterNew trades only while the Nifty 500 is above its 200-day average	−1.3%	−46.2%	43.2%	1.01	1,589
Costs doubled0.4% on each side, as slippage in thinner stocks can be	−7.8%	−62.3%	41.9%	0.92	1,961
5 stocks at a timeA bigger share of the money in each trade	−7.1%	−64.4%	42.6%	0.94	1,020
20 stocks at a timeA smaller share in each trade	−0.2%	−50.8%	44.3%	1.03	3,565

First half · 1 Jan 2016 to 21 May 2021

Strategy−1.2%/yr

Nifty 500+12.8%/yr

Behind the index by 14.0 points a year.

Second half · 21 May 2021 to 1 Oct 2026

Strategy−0.6%/yr

Nifty 500+10.3%/yr

Behind the index by 10.9 points a year.

Recent trades in the backtest

The last 12 trades the rules closed, with 6 still open.

Stock	Opened	Closed	Days	Return	Why it closed
Bank of MaharashtraMAHABANK	28 Sep 2026	30 Sep 2026	2	−5.7%	Closed below the 10-day low
Patanjali FoodsPATANJALI	22 Sep 2026	30 Sep 2026	6	−6.5%	2 ATR below the opening price
Multi Commodity Exchange of IndiaMCX	7 Sep 2026	30 Sep 2026	16	−0.3%	15 days passed
PB FintechPOLICYBZR	24 Sep 2026	25 Sep 2026	1	−31.9%	Closed below the 10-day low
SwiggySWIGGY	7 Sep 2026	25 Sep 2026	13	−3.6%	Closed below the 10-day low
Ather EnergyATHERENERG	31 Aug 2026	23 Sep 2026	16	−7.1%	15 days passed
SAGILITYSAGILITY	31 Aug 2026	23 Sep 2026	16	−2.1%	15 days passed
One 97 CommunicationsPAYTM	26 Aug 2026	18 Sep 2026	16	+4.4%	15 days passed
Oracle Financial Services SoftwareOFSS	31 Aug 2026	17 Sep 2026	12	−6.1%	Closed below the 10-day low
APL Apollo TubesAPLAPOLLO	7 Sep 2026	16 Sep 2026	6	−6.4%	2 ATR below the opening price
Bank of MaharashtraMAHABANK	4 Sep 2026	16 Sep 2026	7	−8.0%	Closed below the 10-day low
Hindustan ZincHINDZINC	24 Aug 2026	15 Sep 2026	15	−3.9%	Closed below the 10-day low

How the tests work

Universe. The 500 most-traded NSE stocks at each date, by six-month average traded value, re-ranked every month: 1,353 different stocks over the years, 131 of which no longer trade. Testing all of them, not only today's survivors, keeps the results honest.
Period. 1 Jan 2016 to 1 Oct 2026, after a year of history for the long averages, on NSE's own end-of-day files: prices, delivery and futures open interest.
Portfolio. 10 slots, each a tenth of the portfolio's value when a trade opens. A signal at a day's close opens at the next day's open; an exit rule met at a close closes the trade at the next open. When there are more signals than free slots, the strategy's own ranking decides.
Costs. 0.2% on each side of every trade (STT, stamp duty, exchange charges and slippage). Tax and DP charges are not included.
Market filter. Every strategy is also tested opening new trades only while the Nifty 500 closes above its 200-day average. At the last close it was below it.
Robustness. Each strategy is run again with costs doubled, with 5 and with 20 stocks at a time, and judged separately in each half of the test. A result that only holds in one setup is luck, not an edge.
Corporate actions. Splits, bonus issues and demergers are applied from NSE's corporate-actions list, and symbol changes are joined up, so none of them shows up as a gain or a loss.
What is left out. Dividends (as in the Nifty 500 price index it is measured against), taxes, and the chance that a large order moves a thinly traded price.

Swing Lab is a screen and a history lesson, not advice. RupeeVerse is not registered with SEBI as an investment adviser or research analyst. A stock meeting a strategy's rules is not a recommendation to trade it, and past results do not predict future ones. Do your own research.