Your idea: Nifty Short Straddle Strategy Report Oct 26, 2026 · @shreyas mante T…

Nifty Short Straddle Strategy Report Oct 26, 2026 · @shreyas mante The short straddle rules made about +₹1.51 lakh per lot over 5 years of Nifty data (≈ ₹2,500 a month) and were profitable in all three test periods, including a locked final test. It is the only strategy in this research that passed every check; it is option selling, with gap risk and ₹2–3 lakh margin per lot. Results Profitable in every period, 1 lot, after slippage and all charges. Figures use Black-Scholes pricing for legs that left the data window, the more conservative of the two runs. Average win was ₹2,870 against an average loss of ₹2,142; the worst single trade lost ₹6,572. On roughly ₹2 lakh of margin the average is about 1.25% a month, but typical years were 0.4–0.8% a month and one strong year (2024–25) supplied most of the profit. The rules Sell 1 lot each of the ATM call and ATM put when the straddle chart turns down; buy both back on the first exit trigger. Straddle chart: ATM CE close + ATM PE close each minute, resampled to 15-minute candles from 09:15, with a 50 EMA (span 50) on the close. Entry — only on a fully closed 15-minute candle, when all are true: 1. The candle closes below the 50 EMA. 2. It forms a bearish pattern: Period Dates Trades Win rate Profit factor P&L Per month Max drawdown Beat random entries Development Oct 2021 – Jun 2024 146 49.3% 1.20 +₹28,429 ≈ ₹890 −₹22,822 97% of runs Validation Jul 2024 – Jun 2025 52 65.4% 4.38 +₹98,163 ≈ ₹8,200 −₹7,537 100% of runs Final test (locked) Jul 2025 – Oct 2026 64 56.2% 1.28 +₹23,932 ≈ ₹1,520 −₹31,850 100% of runs All 5 years Oct 2021 – Oct 2026 262 54.2% 1.59 + ₹1,50,524 ≈ ₹2,500 −₹31,850 — Untitled Page 1 of 4 Bearish engulfing: previous candle green, current red, current open ≥ previous close, current close ≤ previous open Shooting star: upper wick ≥ 2× body, lower wick ≤ 0.25× body, body in the lower third of the range Evening star: large green candle (body ≥ 60% of range), small candle (body ≤ 30% of the first), then a red candle closing below the first candle's body midpoint 3. Time is 09:30–15:00. 4. No position is open, and fewer than 2 entries have been made today. 5. Margin is available for both legs. Exits — whichever comes first: Risk limits: re-entry only on a fresh signal after the exit candle; trading halts for the day if the day's loss passes ₹10,000; limit orders only; if one leg fails to fill, square off the other; positions reconciled with the broker after every order. How it was tested The rules came from a pasted bot prompt and were run unchanged, apart from the weekly-expiry adaptation below, so nothing was tuned to the data. Data: your Dhan file of 1-minute Nifty weekly options (ATM ± 5 strikes, CE and PE, with OI, IV and spot), cleaned once; 1,230 trading days from Oct 2021 to Oct 2026. Weekly, not monthly: the file holds only the nearest weekly expiry. The prompt's "roll 7 days before monthly expiry" became "no entries from the day before weekly expiry, square off at 15:15 that day". Chart: the continuous ATM straddle stands in for the prompt's per-strike chart; target and max loss use the strikes actually sold. Exit Rule Share of trades (5 yrs) Target Combined premium falls 35% from entry 21% EMA stop A 15-minute straddle candle closes above the 50 EMA 26% Max loss Live MTM loss reaches ₹5,000 (checked every minute) 11% Rollover Day before weekly expiry, square off at 15:15 42% Untitled Page 2 of 4 Fills and costs: entry at the signal candle's close, exits at the minute they trigger, 0.25 point slippage per leg each way, plus brokerage, STT, exchange and SEBI charges, stamp duty and GST at each date's rates. Positions carry overnight, so the next morning's gap hits the max-loss check at 09:15. Three periods: development, then one validation run, then one run on the locked final test, with no rule changes between them. Luck check: the same exits with entries at random