The Algo Bench

Holding period

Overnight

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Strategies

The SENSEX overnight ₹30 strangle: nine wins in ten, and a tail the backtest never met

Selling a ₹30 SENSEX call and put the day before expiry and holding them overnight won 90% of 156 trades over three years, comfortably beyond luck, and survived double costs. But losses are uncapped and there is no stop: a 5% gap on a calm week would cost about 1.7 years of average profit, and the sample never contained one.

· 10 min read

Strategies

BTST option momentum on NIFTY: an option-buying strategy that passed all eight checks

Buying the NIFTY weekly option that jumps 50% in a day and holding it overnight made money after costs over five years and passed all eight checks, the first option-buying strategy on our bench to do so. But it loses on more than half its trades, its edge has thinned since 2024, and the worst drawdown took about a third of the capital.

· 9 min read