Note: I am not a SEBI registered advisor and sharing strategies for learning purpose only
Entry time: 10:30 AM
Instrument: Sell Nifty weekly CE and PE option which is trading at a price greater than or equal to 5 at 0918 AM
Stop-Loss: 4 points on both CE/PE leg
Exit: 1520
Slippage: 0.5%
Capital: 2,67,000
Notes:
29-Aug-26: Stopped trading from 18-Aug-26 as trading a similar strategy with delta based Stop-loss on Nifty expiry day and 1 day to expiry
Back Testing
(Updated as of 31-Oct-26)
| 2026 | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
| 1 | 549 | 1,838 | 947 | -9 | 503 |
| 2 | 1,668 | 1,280 | -785 | 1,178 | 734 |
| 3 | 1,143 | -260 | 1,305 | 1,193 | 764 |
| 4 | 493 | 1,908 | -75 | 158 | 846 |
| 5 | -37 | 431 | 2,403 | 1,847 | 473 |
| 6 | 280 | 349 | 1,950 | 2 | 1,080 |
| 7 | 1,076 | 866 | 603 | 111 | 1,349 |
| 8 | 810 | 1,401 | 807 | -435 | 1,206 |
| 9 | -145 | 134 | 138 | 993 | 2,522 |
| 10 | 999 | 24 | 1,947 | 0 | 2,222 |
| 11 | 0 | 1,404 | -9 | 651 | 2,088 |
| 12 | 0 | 1,812 | 352 | 744 | 1,815 |
| Total | 6,836 | 11,187 | 9,583 | 6,431 | 15,599 |
| Capital | 2,67,000 | 2,67,000 | 2,67,000 | 2,67,000 | 2,67,000 |
| Returns | 2.6% | 4.2% | 3.6% | 2.4% | 5.8% |
| MDD | -1120 | -1225 | -1659 | -1069.5 | -600 |
| RMDD | 6.1 | 9.1 | 5.8 | 6 | 26 |
Overall Profit |
84,632 |
|
| Total trades | 402 | |
| Avg Day Profit | 211 | |
| Avg Monthly Profit | 920 | 0.3% |
| Max Profit | 1,680 | |
| Max Loss | -613 | |
| Win% (Days) | 84% | 337 |
| Loss% (Days) | 16% | 65 |
| Avg Profit On Win Days | 359 | |
| Avg Loss On Loss Days | 560 | |
| Max Drawdown (MDD Recovery Period) | -2,036 | 21 |
| Current Drawdown | 0 | |
| Return to MDD Ratio | 5 | |
| Max Winning Streak | 32 | |
| Max Losing Streak | 3 | |
| Expectancy | 0.38 | |
| Reward to Risk Ratio | 0.64 | |
| Kelly Ratio | 59% | |
Actual trade based profit/loss
(Started trading from 19-Sep-24
Stopped trading from 13-Dec-24
Re-started trading from 21-Aug-25
Stopped trading from 18-Aug-26
Started trading from 19-Oct-26)
| 2026 | 2025 | 2024 | |
|---|---|---|---|
| 1 | 554 | 0 | 0 |
| 2 | 790 | 0 | 0 |
| 3 | 1129 | 0 | 0 |
| 4 | 469 | 0 | 0 |
| 5 | -26 | 0 | 0 |
| 6 | 235 | 0 | 0 |
| 7 | 1,469 | 0 | 0 |
| 8 | 1,021 | 278 | 0 |
| 9 | 0 | 935 | -346 |
| 10 | 322 | 697 | 422 |
| 11 | 0 | 1447 | -43 |
| 12 | 0 | 2603 | -216 |
| Total | 5,641 | 5,960 | -183 |
| Returns | 4.8% | 6.1% | -0.2% |
| MDD | -579 | -723 | -617 |
| RMDD | 9.7 | 8.2 | -0.3 |
| Overall Profit | 11,740 | |
| Total trades | 64 | |
| Avg Day Profit | 175 | |
| Avg Monthly Profit | 652 | 0.2% |
| Max Profit | 1,017 | |
| Max Loss | -596 | |
| Win% (Days) | 86% | 55 |
| Loss% (Days) | 14% | 9 |
| Avg Profit On Win Days | 281 | |
| 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 | 0.44 | |
| Reward to Risk Ratio | 0.68 | |
| Kelly Ratio | 65% | |
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