Sensex Expiry Day Iron Fly

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 hedges gave good profit which had offset hedging cost of other days. 

Back testing

(Updated as of 9-Aug-24)

Actual trade based profit/loss

(Not trading this version of strategy)

Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only