Nifty 09:20 Short Straddle Backtest

Sell the at-the-money Nifty call and put at 09:20 on the nearest weekly expiry and close both at 15:15, every trading day.

Backtested 2026-05-13 to 2026-11-12 on 101 trading days (1 excluded, listed below), one lot per leg, costs included. Historical simulation, refreshed weekly.

Total net P&L
-₹641
after ₹21,210 of costs
Win rate
64.4%
of trading days
Max drawdown
-₹41,600
not recovered in range
Expectancy
-₹6.34
per trading day
Profit factor
0.99
gross wins / gross losses
Best and worst day
₹8,471 / -₹13,756
longest losing run 4 days

Cumulative net P&L

Net P&L by day

Net P&L by weekday

Net P&L by days to expiry at entry

The rules

Underlying
Nifty
Entry
09:20, Monday to Friday
Exit
15:15, or earlier on a stop
Expiry
Nearest weekly expiry
Commission
₹20.0 per lot, on entry and on exit
Slippage
0.5 premium points against every fill

Times are exchange time. Prices are last-traded one-minute marks, not quotes you could always have filled at. Lot sizes follow each contract's expiry, so a range that spans an NSE lot size change uses the old size before it and the new size after. Option premiums are not shown on this page.

LegStrikeLotsStop
Sell CallAt the money1None
Sell PutAt the money1None

Days left out (1)

These days are not in any number on this page, rather than being counted as flat.

  • 1 day: no trade near the entry time for the 24450C leg

Day by day

DateContractsExpiryExitNet P&L
2026-11-11 WedS 25350 CE, S 25350 PE2026-11-17time_exit-₹1,464
2026-11-09 MonS 24900 CE, S 24900 PE2026-11-09time_exit₹4,896
2026-11-05 ThuS 24350 CE, S 24350 PE2026-11-09time_exit-₹2,859
2026-11-04 WedS 23900 CE, S 23900 PE2026-11-09time_exit₹4,642
2026-11-03 TueS 23600 CE, S 23600 PE2026-11-03time_exit-₹444
2026-11-02 MonS 23250 CE, S 23250 PE2026-11-03time_exit₹2,364
2026-10-30 FriS 22950 CE, S 22950 PE2026-11-03time_exit₹2,423
2026-10-29 ThuS 22750 CE, S 22750 PE2026-11-03time_exit₹342
2026-10-28 WedS 22600 CE, S 22600 PE2026-11-03time_exit₹3,960
2026-10-27 TueS 22650 CE, S 22650 PE2026-11-03time_exit₹3,739
2026-10-26 MonS 22450 CE, S 22450 PE2026-11-03time_exit-₹3,613
2026-10-22 ThuS 22600 CE, S 22600 PE2026-11-03time_exit₹1,789
2026-10-21 WedS 23050 CE, S 23050 PE2026-11-03time_exit-₹3,057
2026-10-14 WedS 22700 CE, S 22700 PE2026-10-19time_exit₹1,825
2026-10-13 TueS 22400 CE, S 22400 PE2026-10-13time_exit-₹11,468
2026-10-12 MonS 22600 CE, S 22600 PE2026-10-13time_exit-₹7,266
2026-10-09 FriS 22350 CE, S 22350 PE2026-10-13time_exit-₹2,465
2026-10-08 ThuS 22550 CE, S 22550 PE2026-10-13time_exit-₹6,801
2026-10-05 MonS 22550 CE, S 22550 PE2026-10-06time_exit₹2,471
2026-10-01 ThuS 22550 CE, S 22550 PE2026-10-06time_exit₹164
2026-09-30 WedS 22700 CE, S 22700 PE2026-10-06time_exit₹1,951
2026-09-29 TueS 22650 CE, S 22650 PE2026-10-06time_exit₹1,379
2026-09-28 MonS 22950 CE, S 22950 PE2026-10-06time_exit₹414
2026-09-25 FriS 23100 CE, S 23100 PE2026-10-06time_exit₹1,353
2026-09-24 ThuS 23250 CE, S 23250 PE2026-10-06time_exit-₹4,061
2026-09-23 WedS 23400 CE, S 23400 PE2026-10-06time_exit₹1,109
2026-09-22 TueS 23450 CE, S 23450 PE2026-09-22time_exit-₹613
2026-09-21 MonS 23400 CE, S 23400 PE2026-09-22time_exit₹1,145
2026-09-18 FriS 23300 CE, S 23300 PE2026-09-22time_exit₹1,860
2026-09-17 ThuS 23250 CE, S 23250 PE2026-09-22time_exit₹2,013
2026-09-16 WedS 23250 CE, S 23250 PE2026-09-22time_exit₹1,038
2026-09-15 TueS 23500 CE, S 23500 PE2026-09-15time_exit-₹13,756
2026-09-11 FriS 23250 CE, S 23250 PE2026-09-15time_exit-₹5,007
2026-09-10 ThuS 23450 CE, S 23450 PE2026-09-15time_exit₹1,438
2026-09-09 WedS 23500 CE, S 23500 PE2026-09-15time_exit₹1,227
2026-09-08 TueS 23750 CE, S 23750 PE2026-09-08time_exit-₹2,423
2026-09-07 MonS 23900 CE, S 23900 PE2026-09-08time_exit-₹542
2026-09-04 FriS 23900 CE, S 23900 PE2026-09-08time_exit₹892
2026-09-03 ThuS 24000 CE, S 24000 PE2026-09-08time_exit-₹402
2026-09-02 WedS 23850 CE, S 23850 PE2026-09-08time_exit₹976
2026-09-01 TueS 24100 CE, S 24100 PE2026-09-01time_exit-₹1,266
2026-08-31 MonS 24100 CE, S 24100 PE2026-09-01time_exit-₹815
2026-08-27 ThuS 24300 CE, S 24300 PE2026-09-01time_exit-₹730
2026-08-26 WedS 24350 CE, S 24350 PE2026-09-01time_exit₹505
2026-08-25 TueS 24200 CE, S 24200 PE2026-09-01time_exit-₹460
2026-08-24 MonS 24300 CE, S 24300 PE2026-09-01time_exit-₹405
2026-08-20 ThuS 24250 CE, S 24250 PE2026-09-01time_exit₹284
2026-08-19 WedS 24150 CE, S 24150 PE2026-09-01time_exit₹1,005
2026-08-18 TueS 24200 CE, S 24200 PE2026-08-18time_exit₹2,975
2026-08-17 MonS 24350 CE, S 24350 PE2026-08-18time_exit₹944
2026-08-11 TueS 24600 CE, S 24600 PE2026-08-11time_exit₹2,042
2026-08-10 MonS 24600 CE, S 24600 PE2026-08-11time_exit₹2,786
2026-08-06 ThuS 24650 CE, S 24650 PE2026-08-11time_exit₹177
2026-08-05 WedS 24650 CE, S 24650 PE2026-08-11time_exit-₹1,357
2026-08-04 TueS 24700 CE, S 24700 PE2026-08-04time_exit-₹6,392
2026-08-03 MonS 24550 CE, S 24550 PE2026-08-04time_exit₹495
2026-07-30 ThuS 24250 CE, S 24250 PE2026-08-04time_exit₹1,044
2026-07-29 WedS 24200 CE, S 24200 PE2026-08-04time_exit₹677
2026-07-28 TueS 23950 CE, S 23950 PE2026-08-04time_exit₹1,269
2026-07-27 MonS 23950 CE, S 23950 PE2026-08-04time_exit₹2,283
2026-07-23 ThuS 23900 CE, S 23900 PE2026-08-04time_exit₹1,272
2026-07-22 WedS 24150 CE, S 24150 PE2026-08-04time_exit-₹948
2026-07-21 TueS 24200 CE, S 24200 PE2026-07-21time_exit₹5,542
2026-07-20 MonS 24200 CE, S 24200 PE2026-07-21time_exit₹2,377
2026-07-16 ThuS 24150 CE, S 24150 PE2026-07-21time_exit₹820
2026-07-15 WedS 24100 CE, S 24100 PE2026-07-21time_exit₹1,019
2026-07-14 TueS 24050 CE, S 24050 PE2026-07-14time_exit₹8,471
2026-07-13 MonS 24050 CE, S 24050 PE2026-07-14time_exit-₹2,833
2026-07-09 ThuS 23950 CE, S 23950 PE2026-07-14time_exit₹1,867
2026-07-08 WedS 24250 CE, S 24250 PE2026-07-14time_exit-₹10,639
2026-07-07 TueS 24450 CE, S 24450 PE2026-07-07time_exit₹3,251
2026-07-06 MonS 24300 CE, S 24300 PE2026-07-07time_exit-₹151
2026-07-03 FriS 24400 CE, S 24400 PE2026-07-07time_exit₹879
2026-07-02 ThuS 24050 CE, S 24050 PE2026-07-07time_exit₹443
2026-07-01 WedS 23900 CE, S 23900 PE2026-07-07time_exit₹1,428
2026-06-30 TueS 23950 CE, S 23950 PE2026-07-07time_exit₹1,636
2026-06-29 MonS 24100 CE, S 24100 PE2026-07-07time_exit-₹1,351
2026-06-24 WedS 23850 CE, S 23850 PE2026-07-07time_exit-₹1,315
2026-06-23 TueS 24100 CE, S 24100 PE2026-06-23time_exit-₹11,478
2026-06-22 MonS 24100 CE, S 24100 PE2026-06-23time_exit₹2,270
2026-06-18 ThuS 24100 CE, S 24100 PE2026-06-23time_exit₹1,880
2026-06-17 WedS 24000 CE, S 24000 PE2026-06-23time_exit₹1,090
2026-06-16 TueS 23900 CE, S 23900 PE2026-06-16time_exit₹1,542
2026-06-15 MonS 23950 CE, S 23950 PE2026-06-16time_exit₹362
2026-06-12 FriS 23450 CE, S 23450 PE2026-06-16time_exit-₹3,886
2026-06-11 ThuS 23150 CE, S 23150 PE2026-06-16time_exit₹1,256
2026-06-10 WedS 23300 CE, S 23300 PE2026-06-16time_exit₹2,621
2026-06-09 TueS 23250 CE, S 23250 PE2026-06-09time_exit₹6,820
2026-06-08 MonS 23100 CE, S 23100 PE2026-06-09time_exit₹3,488
2026-06-04 ThuS 23350 CE, S 23350 PE2026-06-09time_exit₹2,510
2026-06-03 WedS 23300 CE, S 23300 PE2026-06-09time_exit-₹1,685
2026-06-02 TueS 23300 CE, S 23300 PE2026-06-02time_exit-₹4,321
2026-06-01 MonS 23650 CE, S 23650 PE2026-06-02time_exit-₹2,709
2026-05-26 TueS 24000 CE, S 24000 PE2026-06-02time_exit₹1,522
2026-05-25 MonS 23950 CE, S 23950 PE2026-06-02time_exit₹768
2026-05-21 ThuS 23750 CE, S 23750 PE2026-06-02time_exit₹1,210
2026-05-20 WedS 23450 CE, S 23450 PE2026-06-02time_exit-₹428
2026-05-19 TueS 23750 CE, S 23750 PE2026-05-19time_exit₹1,149
2026-05-18 MonS 23400 CE, S 23400 PE2026-05-19time_exit-₹2,085
2026-05-14 ThuS 23550 CE, S 23550 PE2026-05-19time_exit₹902
2026-05-13 WedS 23400 CE, S 23400 PE2026-05-19time_exit₹563

Test Your Own Version

Pick the Short Straddle template in the Options Strategy Backtest, change the entry time, strikes, stop or dates, and copy the days into your trading journal.

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