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-Jul-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	0	-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	13,195	34,339	23,215	9,353
Capital	2,76,000	2,76,000	2,76,000	2,76,000
Returns	4.8%	12,4%	8.4%	3.4%
MDD	-6,735	-6,027	-2,159	-867
RMDD	2	5.7	10.8	10.8

Overall Profit	80,102
Total trades	154
Avg Day Profit	520
Avg Monthly Profit	2,225	0.8%
Max Profit	9,833
Max Loss	-3,129
Win% (Days)	66%	102
Loss% (Days)	34%	51
Avg Profit On Win Days	1,251
Avg Loss On Loss Days	931
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	0.55
Reward to Risk Ratio	1.34
Kelly Ratio	41%

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	0	-4,987
9	0	3,621
10	0	7,515
11	0	-1,841
12	0	-2,612
Total	4,203	7,635
Returns	1.5%	2.8%
MDD	-8,223	-6,174
RMDD	0.5	1.2

Overall Profit	11,838
Total trades	48
Avg Day Profit	247
Avg Monthly Profit	987	0.4%
Max Profit	4,062
Max Loss	-3,210
Win% (Days)	56%	27
Loss% (Days)	44%	21
Avg Profit On Win Days	1,293
Avg Loss On Loss Days	-1,099
Max Drawdown (MDD Recovery Period)	-8,223	21
Current Drawdown	-1,530
Return to MDD Ratio	0.5
Max Winning Streak	7
Max Losing Streak	5
Expectancy	0.22
Reward to Risk Ratio	1.18
Kelly Ratio	19%