Sensex Expiry day 10 Point strategy

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

Entry time: 10:30 AM

Instrument: Sell Sensex weekly CE and PE option which is trading at a price greater than or equal to 10 at 1030 AM

Stop-Loss: 9 points on both CE/PE leg

Exit: 1520

Slippage: 0.5%

Capital: 2,39,000

Back Testing

(Updated as of 31-Aug-26)

	2026	2025	2024	2023
1	216	887	568	0
2	1,413	866	872	0
3	902	546	90	0
4	480	1,245	906	0
5	-245	458	1,734	0
6	539	546	554	0
7	597	1,367	866	0
8	185	869	1,280	138
9	0	948	98	306
10	0	651	156	214
11	0	609	496	1,556
12	0	999	864	660
Total	4,087	9,991	8,484	2,874
Capital	2,39,000	2,39,000	2,39,000	2,39,000
Returns	1.7%	4.2%	3.5%	1.2%
MDD	-720	-360	-692	-360
RMDD	5.7	27.8	12.3	8

Overall Profit	25,436
Total trades	158
Avg Day Profit	161
Avg Monthly Profit	736	0.3%
Max Profit	602
Max Loss	-360
Win% (Days)	92%	146
Loss% (Days)	8%	12
Avg Profit On Win Days	204
Avg Loss On Loss Days	360
Max Drawdown (MDD Recovery Period)	-720	21
Current Drawdown	0
Return to MDD Ratio	11
Max Winning Streak	37
Max Losing Streak	2
Expectancy	0.45
Reward to Risk Ratio	0.57
Kelly Ratio	79%

Actual trade based profit/loss

(Started trading from 23-Feb-24)

	2026	2025	2024
1	231	1,074	0
2	1,467	1,183	464
3	507	847	564
4	538	2,130	902
5	-295	577	1546
6	581	123	56
7	639	2,362	524
8	101	1,353	1,828
9	0	994	168
10	0	195	-638
11	0	637	514
12	0	661	1,070
Total	3,769	12,136	6,998
Returns	1.6%	5.1%	2.9%
MDD	-579	-723	-617
RMDD	4.7	51	7.2

Overall Profit	22,903
Total trades	126
Avg Day Profit	175
Avg Monthly Profit	730	0.3%
Max Profit	634
Max Loss	-402
Win% (Days)	90%	113
Loss% (Days)	10%	13
Avg Profit On Win Days	233
Avg Loss On Loss Days	-266
Max Drawdown (MDD Recovery Period)	-970	21
Current Drawdown	0
Return to MDD Ratio	9
Max Winning Streak	27
Max Losing Streak	2
Expectancy	0.68
Reward to Risk Ratio	0.88
Kelly Ratio	78%