Entry time : 0930 Exit time : 1455 Day : Sensex expiry day only Instrument: Sensex Strike : Sell ATM CE & PE based on SPOT price and Buy OTM10 CE/PE as hedge Stop Loss: 50% for both ATM legs with adjust to cost i.e. if SL is hit for 1 leg then SL for other leg will be adjusted to its entry price. No SL for hedges (OTM10 CE/PE) Slippage : 0.5% Capital: 43k per lot Note (8-Jun-24): I am running this strategy from past month (May '24) without OTM10 hedges and results are more or less in line with back test. May be this is more so as there were not many spikes in Sensex on expiry day in past 1 month. However in past there used to be spikes in Sensex index and there is a chance that because of that strategy wouldn't have given returns similar to what back test shows. The absolute returns of this strategy are same in both hedged version and non hedged version. This is because on few days hedge...