Your idea: BACKTEST THIS EXACT STRATEGY WITHOUT CHANGING ANY RULE. MARKET -…

BACKTEST THIS EXACT STRATEGY WITHOUT CHANGING ANY RULE. MARKET - Instrument: NIFTY 50 options - Timezone: IST - Entry day: One trading day before expiry - Entry time: 12:00 PM - Expiry day: Next trading day - Quantity: 1 lot for every leg - Use the historical lot size applicable on that date. PART 1 — INITIAL 4-LEG POSITION At exactly 12:00 PM on the day before expiry: Step 1 — Find ATM Identify the NIFTY 50 spot price at 12:00 PM. Select the ATM strike according to the actual NIFTY option strike interval applicable on that date. Call this strike ATM. Step 2 — Sell Call Sell 1 lot of the Call option at: ATM + 3 strikes Step 3 — Sell Put Sell 1 lot of the Put option at: ATM - 3 strikes Step 4 — Buy Call Hedge Buy 1 lot of the Call option: 5 strikes ABOVE the Call sold strike. Therefore: LONG CALL STRIKE = SHORT CALL STRIKE + 5 strikes Step 5 — Buy Put Hedge Buy 1 lot of the Put option: 5 strikes BELOW the Put sold strike. Therefore: LONG PUT STRIKE = SHORT PUT STRIKE - 5 strikes The initial position is therefore: SELL 1 CALL SELL 1 PUT BUY 1 FAR OTM CALL BUY 1 FAR OTM PUT All four positions are opened at 12:00 PM. PART 2 — CALCULATE THE STRATEGY RANGE Immediately after entering the four legs, calculate the combined net premium received/paid. Net Premium = Premium received from short Call + Premium received from short Put - Premium paid for long Call - Premium paid for long Put Calculate the theoretical upper and lower breakeven/range boundaries of the complete 4-leg position. Define: UPPER RANGE = Upper breakeven of the 4-leg position LOWER RANGE = Lower breakeven of the 4-leg position The market is INSIDE THE RANGE when: LOWER RANGE < NIFTY SPOT < UPPER RANGE The market is OUTSIDE THE RANGE when: NIFTY SPOT >= UPPER RANGE OR NIFTY SPOT <= LOWER RANGE PART 3 — SAME-DAY ADJUSTMENT From 12:00 PM until market close on the entry day, continuously monitor NIFTY. Calculate: DISTANCE TO NEAREST RANGE BOUNDARY Use the closest of: UPPER RANGE - NIFTY SPOT NIFTY SPOT - LOWER RANGE Only use a positive distance when NIFTY is inside the range. ADJUSTMENT LEVEL 1 If the distance to the nearest range boundary is between 80 and 120 points: BUY an option with approximately 0.17 delta. The option must be bought on the side toward which NIFTY is moving. Example: If NIFTY is moving toward the upper boundary: → Buy Call with approximately +0.17 delta. If NIFTY is moving toward the lower boundary: → Buy Put with approximately -0.17 delta. ADJUSTMENT LEVEL 2 If the distance to the nearest range boundary is between 40 and 80 points: BUY an option with approximately 0.21 delta. Upper boundary → Buy Call. Lower boundary → Buy Put. ADJUSTMENT LEVEL 3 If the distance to the nearest range boundary is between 0 and 40 points: BUY an option with approximately 0.25 delta. Upper boundary → Buy Call. Lower boundary → Buy Put. ADJUSTMENT PRIORITY If multiple adjustment conditions could apply, use ONLY the adjustment corresponding to the CURRENT distance from the boundary. Do NOT open multiple adjustment positions simultaneously for the same movement. The adjustment should be opened at the first time the relevant distance zone is reached. Record: - Adjustment time - NIFTY spot - Boundary - Distance from boundary - Option type - Strike - Delta - Entry premium - Quantity PART 4 — EXPIRY DAY 9:15 AM RULE At exactly 9:15 AM on expiry day, check NIFTY against the ORIGINAL RANGE. IMPORTANT: Use the original range calculated when the 4-leg position was created. Do NOT recalculate the original range using expiry-day prices. CASE A — NIFTY INSIDE ORIGINAL RANGE AT 9:15 AM If: LOWER RANGE < NIFTY 9:15 PRICE < UPPER RANGE AND an adjustment position was taken on the previous day: → EXIT the adjustment position exactl