Sensex Expiry day - Adjustment based strategy

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

Logic of the strategy:

1. This is a expiry day strategy and trade needs to be taken on Sensex expiry day
2. At 0922 sell Sensex ATM CE/PE weekly options based on spot with target of 50% and SL of 60% on both legs
3. In case SL is hit for any leg Sell 100 point opposite leg with SL of 50% e.g. if SL is hit on ATM CE then sell 100 Point PE
4. In case target is hit for legs taken in point 2 then again sell the ATM leg of same side with target of 50% and SL of 60%. E.g. if ATM CE taken in point 2 hits the target then again ATM CE will be sold. 
5. If SL is hit on any legs taken in point 4, then follow logic of point 3. 
6. Exit at 15:15

Note: 

26-Jun-26: Stopped trading after 25-Jun-26

To explain further the strategy, lets take an example:

🛠️ The Baseline Setup (09:22 AM)

• Initial Trade: Sell ATM CE and ATM PE.

• Example Condition: Sensex is at 78,000. Both 78000 CE and 78000 PE are sold at a 200-point premium.

• Initial Targets & Stops:

  • Target (TGT): 50% decay (e.g., Premium drops from 200 to 100).

  • Stop Loss (SL): 60% spike (e.g., Premium spikes from 200 to 320).

---

🟢 Scenario 1: Win → Win

Everything goes your way. You win on the initial trade, re-enter, and win again.

1. Initial Trade: Sell 78000 CE at 200.

2. 1st Target Hit: Premium drops to 100. Book Profit.

3. Re-entry: Sell the new ATM CE (e.g., Sensex is now 77000, so sell 77000 CE at 70).

4. 2nd Target Hit: Premium drops by 50% to 35. Book Profit.

5. Conclusion: No more trades taken on the CE side for the day.

🟡 Scenario 2: Win → Loss → Adjustment Survives

You win the first trade, but your re-entry hits a stop loss. You adjust by selling the opposite leg, which survives until the end of the day.

1. Initial Trade: Sell 78000 CE at 200.

2. 1st Target Hit: Premium drops to 100. Book Profit.

3. Re-entry: Sell the new ATM CE (e.g., 77000 CE at 100).

4. SL Hit: The premium spikes 60% to 160. Book Loss.

5. Adjustment Trade: Because the CE SL was hit, immediately sell a PE option trading near 100 points. Set a strict 50% SL (150).

6. Conclusion: The new PE option never hits the 150 SL. Square it off at market price at 3:15 PM.

🟠 Scenario 3: Loss → Adjustment Survives

Your initial trade immediately goes against you. You adjust by selling the opposite leg, which survives until the end of the day.

1. Initial Trade: Sell 78000 CE at 200.

2. SL Hit: The premium spikes 60% to 320. Book Loss.

3. Adjustment Trade: Immediately sell the opposite leg (a PE option trading near 100 points, e.g., 77800 PE). Set a strict 50% SL (150).

4. Conclusion: The 77800 PE never hits the 150 SL. Square it off at market price at 3:15 PM.

🔴 Scenario 4: Loss → Adjustment Loss

The worst-case scenario. Both your initial trade and your adjustment trade hit their stop losses.

1. Initial Trade: Sell 78000 CE at 200.

2. SL Hit: The premium spikes 60% to 320. Book Loss.

3. Adjustment Trade: Immediately sell the opposite leg (e.g., 77800 PE at 100). Set a strict 50% SL (150).

4. 2nd SL Hit: The 77800 PE also goes against you and spikes to 150. Book Loss.

5. Conclusion: Square off the position. No further trades.

Above logic will get applied to PE leg separately in same way as described for CE leg above

Back Testing Details 
(Updated as of 31-Jul-26)

	2026	2025	2024	2023
1	-8,712	8,777	5,055	0
2	12,231	11,521	7,442	0
3	12,252	5,325	2,831	0
4	14,418	12,533	5,723	0
5	-7,297	6,005	11,807	0
6	174	-8,520	7,875	0
7	9,326	2,964	3,322	0
8	0	5,627	10,151	-1,562
9	0	3,852	8,166	-3,477
10	0	-1,606	2,289	1,886
11	0	-6,839	-3,549	2,000
12	0	2,810	5,524	4,627
Total	32,392	42,449	66,636	3,504
Capital	2,84,000	2,84,000	2,84,000	2,84,000
Returns	11.4%	14.9%	23.5%	1.2%
MDD	-16,750	-11,789	-8,000	-5,775
RMDD	1.9	3.6	8.3	0.6

Overall Profit	1,44,981
Total trades	154
Avg Day Profit	941
Avg Monthly Profit	3,882	1.4%
Max Profit	9,801
Max Loss	-6,958
Win% (Days)	67%	103
Loss% (Days)	33%	51
Avg Profit On Win Days	2,598
Avg Loss On Loss Days	2,404
Max Drawdown (MDD Recovery Period)	-16,750	21
Current Drawdown	0
Return to MDD Ratio	3
Max Winning Streak	12
Max Losing Streak	3
Expectancy	0.39
Reward to Risk Ratio	1.08
Kelly Ratio	36%

Actuals

(Started trading from 12-Jul-24

Stopped trading from 26-Jun-26)

	2026	2025	2024
1	0	6,711	0
2	0	11,561	0
3	4,659	2,203	0
4	6,359	7,679	0
5	-7452	4,693	0
6	327	-12,849	0
7	0	3,319	-6,754
8	0	6,338	16,884
9	0	2,197	15,122
10	0	1,301	-9,562
11	0	-7,389	-2,800
12	0	2,414	13,946
Total	3,893	28,178	26,836
Returns	1.4%	9.9%	9.4%
MDD	-9,761	-12,849	-12,362
RMDD	0.4	2.2	2.2

Overall Profit	58,907
Total trades	85
Avg Day Profit	662
Avg Monthly Profit	2,678	0.9%
Max Profit	9,528
Max Loss	-7,096
Win% (Days)	53%	45
Loss% (Days)	47%	40
Avg Profit On Win Days	3,736
Avg Loss On Loss Days	-2,731
Max Drawdown (MDD Recovery Period)	-12,849	21
Current Drawdown	-9,388
Return to MDD Ratio	2
Max Winning Streak	12
Max Losing Streak	3
Expectancy	0.25
Reward to Risk Ratio	1.37
Kelly Ratio	19%