Nifty Expiry Day Straddle - Early Entry

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

Entry time: 0919

Exit time   : 1455

Day            : Nifty expiry day only (Tuesdays)

Instrument: Nifty

Strike: Sell ATM CE & PE based on SPOT price

Stop Loss: 40% 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

Slippage: 0.5%

Capital: 3.03 Lakhs per lot

Back testing

(Updated as of 31-Jul-26)

	2026	2025	2024	2023	2022
1	645	10,453	771	-1,122	1,573
2	19,019	2,630	11,196	-1,223	8,060
3	-13,806	-6,158	5,780	2,730	4,683
4	6,804	11,215	2,162	-165	-2,340
5	-2,643	3,616	8,040	3,217	4,224
6	1,115	831	-399	-961	6,136
7	65	2,184	2,625	1,912	2,217
8	0	1,382	6,024	-3,538	2,032
9	0	6,647	-5,668	1,562	-4,785
10	0	4,833	13,208	1,370	7,197
11	0	-833	15,412	4,150	5,142
12	0	1,936	8,204	-1,603	4,714
Total	11,199	38,736	67,355	6,329	38,853
Capital	3,03,000	3,03,000	3,03,000	3,03,000	3,03,000
Returns	4.4%	6.8%	11.7%	9.0%	15.3%
MDD	-2,446	-4,967	-3,138	-2,607	-2,460
RMDD	5.7	4.3	11.9	11	19.7

Overall Profit	2,82,705
Total trades	389
Avg Day Profit	727
Avg Monthly Profit	3,141	1.0%
Max Profit	16,963
Max Loss	-3,579
Win% (Days)	59%	228
Loss% (Days)	41%	161
Avg Profit On Win Days	2,144
Avg Loss On Loss Days	-1,281
Max Drawdown (MDD Recovery Period)	-13,806	21
Current Drawdown	-8,465
Return to MDD Ratio	2.73
Max Winning Streak	11
Max Losing Streak	6
Expectancy	0.57
Reward to Risk Ratio	1.67
Kelly Ratio	34%

Actual trade based profit/loss

(Started trading on 26-Sep-24)