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-Jul-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	0	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	3,902	9,991	8,484	2,874
Capital	2,39,000	2,39,000	2,39,000	2,39,000
Returns	1.6%	4.2%	3.5%	1.2%
MDD	-720	-360	-692	-360
RMDD	5.4	27.8	12.3	8

Overall Profit	24,251
Total trades	154
Avg Day Profit	164
Avg Monthly Profit	736	0.3%
Max Profit	602
Max Loss	-360
Win% (Days)	92%	142
Loss% (Days)	8%	12
Avg Profit On Win Days	208
Avg Loss On Loss Days	360
Max Drawdown (MDD Recovery Period)	-720	21
Current Drawdown	0
Return to MDD Ratio	12
Max Winning Streak	37
Max Losing Streak	2
Expectancy	0.45
Reward to Risk Ratio	0.58
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	0	1,353	1,828
9	0	994	168
10	0	195	-638
11	0	637	514
12	0	661	1,070
Total	3,668	12,136	6,998
Returns	4.8%	6.1%	-0.2%
MDD	-579	-723	-617
RMDD	8	8.2	-0.3

Overall Profit	10,397
Total trades	60
Avg Day Profit	165
Avg Monthly Profit	650	0.2%
Max Profit	1,017
Max Loss	-596
Win% (Days)	85%	51
Loss% (Days)	15%	9
Avg Profit On Win Days	277
Avg Loss On Loss Days	-415
Max Drawdown (MDD Recovery Period)	-723	21
Current Drawdown	0
Return to MDD Ratio	11
Max Winning Streak	32
Max Losing Streak	3
Expectancy	0.42
Reward to Risk Ratio	0.67
Kelly Ratio	63%