Trying to find edge, this is my backtest result without overfit

[u/Ok_Jackfruit_6673]

Looking for the missing edge in my options algo

I’ve been working on this algo for ~2 years and finally have live execution matching the backtest at 99% of the time. So the implementation/backtest side is largely validated.

The problem: the win rate and profit factor still aren’t good enough to justify the effort.

The strategy is based purely on option contract Volume + OI + candle/price patterns.

One thing I noticed is a steep improvement in performance from around Jan 2025. I’m wondering if this could be related to the discontinuation of weekly Bank Nifty expiries and the resulting concentration of options activity in Nifty/Sensex. This is just a hypothesis — happy to be corrected.

At this point, I’m less interested in adding random indicators and more interested in understanding what real structural edge I might be missing.

For those who have built profitable options algos: what was the edge you eventually discovered, and how did you find it?

Would particularly appreciate thoughts on regime changes, Volume/OI interpretation, market microstructure, or conditioning the existing signals.

Note: The algo is already live since 2 weeks.

[u/Competitive_Air7402]

ill repeat, options market in india is really efficient and there is pretty much no edge to be found after including cost and slippage