Sensex Expiry Day - Late entry @ 12 noon

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

Entry time: 1200

Exit time   : 1520

Day            : Sensex expiry day only (Thursdays)

Instrument: Sensex

Strike: Sell ATM CE & PE based on SPOT price

Stop Loss: 80% 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: 2.76 Lakhs per lot

Notes:

1-Apr-26 : Stopped trading strategy from 1-Apr-26 
2-Jul-26: Started trading strategy from 2-Jul-26 

Back testing

(Updated as of 31-Aug-26)

	2026	2025	2024	2023
1	-1,915	1,643	4,062	0
2	3,167	6,581	3,323	0
3	2,322	-1,317	2,355	0
4	-718	1,946	644	0
5	6,718	2,524	3,469	0
6	3,610	12,958	2,919	0
7	11	5,084	-594	0
8	7,768	-4,794	1,989	287
9	0	3,688	287	1,249
10	0	7,527	2,742	3,167
11	0	995	483	1,181
12	0	-2,496	1,536	3,469
Total	20,963	34,339	23,215	9,353
Capital	2,76,000	2,76,000	2,76,000	2,76,000
Returns	7.6%	12,4%	8.4%	3.4%
MDD	-6,735	-6,027	-2,159	-867
RMDD	3.1	5.7	10.8	10.8

Overall Profit	87,870
Total trades	158
Avg Day Profit	556
Avg Monthly Profit	2,375	0.9%
Max Profit	9,833
Max Loss	-3,129
Win% (Days)	66%	105
Loss% (Days)	34%	52
Avg Profit On Win Days	1,302
Avg Loss On Loss Days	938
Max Drawdown (MDD Recovery Period)	-6,735	21
Current Drawdown	-1,403
Return to MDD Ratio	4
Max Winning Streak	11
Max Losing Streak	5
Expectancy	0.59
Reward to Risk Ratio	1.39
Kelly Ratio	42%

Actual trade based profit/loss

(Started trading from 10-Jun-25

Stopped trading from 9-Apr-26

Started trading from 2-Jul-26)

	2026	2025
1	-2,135	0
2	3,137	0
3	2,201	0
4	1,206	0
5	0	0
6	0	2,872
7	-206	3,067
8	7,894	-4,987
9	0	3,621
10	0	7,515
11	0	-1,841
12	0	-2,612
Total	12,097	7,635
Returns	4.4%	2.8%
MDD	-8,223	-6,174
RMDD	1.5	1.2

Overall Profit	19,732
Total trades	52
Avg Day Profit	379
Avg Monthly Profit	1518	0.6%
Max Profit	4,528
Max Loss	-3,210
Win% (Days)	58%	30
Loss% (Days)	42%	22
Avg Profit On Win Days	1,472
Avg Loss On Loss Days	-1,110
Max Drawdown (MDD Recovery Period)	-8,223	21
Current Drawdown	0
Return to MDD Ratio	0.8
Max Winning Streak	7
Max Losing Streak	5
Expectancy	0.34
Reward to Risk Ratio	1.33
Kelly Ratio	26%