VWAP + EMA(11) on NIFTY futures: no intraday edge on any timeframe, and costs that dwarf the one overnight
The two-line VWAP + EMA(11) rule had no edge before costs on 1- to 30-minute candles over four years of NIFTY futures, and after a realistic 13.7 points per round trip it lost on every timeframe. Holding positions overnight on 15-minute candles found a real but small edge, about 4.5 points a trade, still far below the cost of trading it.
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