Blocked dates are hindsight
Leaving out the 'event days' after you have seen which days hurt makes any backtest look safer. A fair blocklist uses only dates that were announced in advance, and even then it can get lucky.
· 4 min read
Holding period
Swing
The 5-delta weekly NIFTY strangle: wins eight trades in ten, and one weekend took 40% of the profit
Selling far out-of-the-money NIFTY weekly options four sessions before expiry won 83% of its trades over five years. But the average loss was nearly four times the average win, one weekend gap in April 2025 cost about 40% of the five-year profit, and after costs it earned about 4% a year on capital.
· 9 min read