Calendar & seasonalityPositionalNIFTYlow complexity

Expiry-day accumulation

This is a timing study for regular investing, done with futures. Instead of a monthly SIP in an index fund, it buys one more lot of NIFTY futures at the close of every monthly F&O expiry day and never sells, rolling the whole growing book into the next month each expiry. Alternative settings buy on the first trading day of the month or the day before expiry, so the buy days can be compared.

Buys one more NIFTY futures lot at the close of every monthly expiry day, never sells, and rolls the whole growing book each month.

Market viewBullish

TradesNIFTY near-month futures, 1 lot added each month

RiskOpen-ended (loss not capped by the structure)

CapitalFutures margin

SuitsIntermediate

Trades a month6.5

Typical hold28 days

Profitable months2 of 12

Longest losing run24 trades

Made money inMonths when NIFTY rose over 1% during the holdBuys after India VIX closed above 14.5

Lost money inMonths when NIFTY fell over 1% during the holdBuys with India VIX in the normal 11.5-14.5 bandBuys during a 20-day uptrend

Default settings

Symbol

Buy day

Lots per month

Backtest this strategy →Change any setting, pick your own period and run it in the Quantsapp web app. Backtesting is part of the Max plan. Pro+ members can use it now as a free trial.

How it trades

What it trades

Universe

NIFTY Positional · 1 Oct 25 → 30 Sep 26

Enters

Close of every monthly futures expiry day, one more lot

Legs

BUY FUT · next month · Next month (bought on expiry day) · 1 lot

Exits

roll every lot rolled to next month at each expiry closetime everything closed at the end of the test

Re-entry

Adds a lot every month; never sells for a signal

Entry

on every BUY_DAY session - "monthly_expiry" = the monthly futures expiry day, "first_trading_day" = the first session of each calendar month (the control), "expiry_minus_1" = the session before the expiry - buy LOTS_PER_MONTH more lots of NIFTY futures at the session's last print (the close). On the expiry day the expiring contract is useless, so the NEXT month is bought (at the close when the curve lists it, else at the next session's first print).

Hold

nothing is ever sold for a signal: no stop, no target. Every lot is kept to the end of the test.

Roll

at the last print of every futures expiry day each lot of the expiring contract is closed ("roll") and re-bought in the next month (at that close when the curve lists it, else at the next session's first print).

End

everything still held is closed at the last print of the test ("end of test").

Results

PRE-BUILT · DEFAULTS

NIFTY · 2025-10-01 → 2026-09-30 · 78 trades · before costs

Net P&L−₹21,36,971

Win rate21%

Max drawdown−₹21,36,971

Avg per trade−₹27,397

Profit factor0.26

Worst trade−₹2,13,661

Where it made and lost money

Because this is an always-long book, the market's direction while it was held explains nearly everything in this test. The 20 lot-months in which NIFTY rose more than 1% gained ₹7,38,777; the 19 in which it fell more than 1% lost ₹25,21,506, a much bigger figure because the falls came later in the year when more lots were held. Lots bought after India VIX closed above 14.5 gained ₹4,55,214, as fearful expiry days gave cheaper entries, while those bought with VIX in the normal 11.5–14.5 band lost ₹24,04,537. Buying during a 20-day uptrend fared worse than buying in a downtrend.

Market while the trade was held

NIFTY rose over 1% while held+₹7,38,77720 trades80% won

NIFTY within ±1% while held−₹3,54,24239 trades0% won

NIFTY fell over 1% while held−₹25,21,50619 trades0% won

How the entry day opened

Gap up of 0.4% or more−₹4164 trades0% won

Flat open−₹26,59,73361 trades16% won

Gap down of 0.4% or more+₹5,23,17813 trades46% won

India VIX the evening before

VIX below 11.5 (calm)−₹1,87,6483 trades0% won

VIX 11.5-14.5 (normal)−₹24,04,53754 trades19% won

VIX above 14.5 (nervous)+₹4,55,21421 trades29% won

Kind of session on the entry day

Quiet session (range under 0.75%)−₹66,56315 trades67% won

Trend day (closed near the high or low)−₹18,34,56739 trades15% won

Choppy day (wide range, closed mid-range)−₹2,35,84124 trades0% won

Session direction on the entry day

NIFTY closed above its open−₹14,53,19814 trades0% won

NIFTY closed below its open−₹6,83,77264 trades25% won

Trend going in

Uptrend (NIFTY above its 20-day average)−₹12,80,04432 trades0% won

Downtrend (NIFTY below its 20-day average)−₹8,56,92746 trades35% won

Day of the week

Monday+₹6,00,4836 trades100% won

Tuesday−₹27,37,45372 trades14% won

The same trades, split by the market conditions around each entry, before costs.

About this strategy

On each monthly futures expiry day, buy one more lot of NIFTY futures at the session's closing price. Because the expiring contract is about to settle, the next month's contract is bought.
Never sell for a signal: there is no stop loss and no target.
At the close of every monthly expiry, close each lot in the expiring contract and buy it back in the next month's contract.
Keep adding a lot each month, so the position grows through the year.
Close everything at the last price of the test period.

Why traders use it

Regular investors often wonder whether the day they invest each month matters. One idea is that expiry-day selling and position squaring push prices down at the close, giving a slightly better entry than other days. Research on index SIPs has found a small timing effect of this kind. Running the same rule with futures lets the buy days be compared directly, though leverage makes the swings far larger than a cash SIP.

Works best whenMonths when NIFTY rose more than 1%, and buys made on nervous expiry days after India VIX closed above 14.5, which in this test gave cheaper entries that later recovered.

Struggles whenMonths when NIFTY fell more than 1%, especially late in the period when the book held the most lots, and buys made in calm or normal VIX conditions or during an uptrend, which in this test came near short-term highs.

The year in plain words

On NIFTY from 1 Oct 2025 to 30 Sep 2026, buying on monthly expiry days built a book of 12 lots by the end. Counting each lot's monthly roll as a trade, there were 78 trades, 21% winners, and a loss of ₹21,36,971 before costs. The swings were driven by the size of the book: March lost ₹10,68,305 and September ₹14,08,050, while April gained ₹6,00,480. After ₹20 per order and bid-ask slippage the loss was ₹21,59,138. With a book that keeps growing, late-year falls hit the most lots, and the year's market path outweighed any buy-day timing effect.

What the settings do

Buy dayWhich day each month's lot is bought: the monthly expiry day, the first trading day of the month (the comparison case), or the session before expiry. Running each and comparing the totals shows whether the day mattered.Lots per monthHow many lots are added each month. The book grows by this amount every month, so risk grows too.

Risks

The book is fully leveraged futures with no stop, so losses grow with each lot added.
Margin needs rise every month as lots are added and can spike when volatility returns.
Each monthly roll closes and reopens every lot, adding costs that a cash SIP would not have.
One year is far too short to detect a timing effect of a fraction of a percent a year.

Who it suits

Readers comparing buy-day choices for regular index investing, and futures traders studying how a growing leveraged book behaves. It needs large and rising margin and is not a substitute for a cash SIP.

Questions traders ask

Is it better to start a SIP on expiry day?

Some research suggests buying on monthly expiry days has given a slightly better average entry than other days, by a small fraction each year. Over long periods the effect is tiny compared with market returns, and this one-year futures test is too short to measure it reliably.

Is monthly expiry-day accumulation profitable?

Not in this test. From 1 Oct 2025 to 30 Sep 2026 the growing NIFTY futures book lost ₹21,36,971 before costs and ₹21,59,138 after ₹20 per order and bid-ask slippage (statutory charges not included). Past results do not guarantee future ones.

Why is the loss so large?

Each month adds a full NIFTY futures lot, so by the end the strategy held 12 lots without any stop. Futures are leveraged, so a fall of a few hundred points across 12 lots costs lakhs. The size reflects leverage and market direction, not just the buy day.

Why buy the next month's contract on expiry day?

The expiring contract settles at that day's close, so buying it would leave nothing to hold. The new lot is bought in the next month's contract, which is also where the rest of the book is rolled.

Terms used here

Futures Rollover Monthly expiry Seasonality Lot size Margin Long and short Before costs / after taxes / after all costs Max drawdown

Before you rely on it

WATCH OUTpreprint, single author; a small timing effect (0.5-2.5% a year over 1-5 years, negligible over 10-20) that one year of a growing futures book cannot measure precisely. Gross of costs.

WHERE THE RULES WERE UNCLEAR · OUR CHOICES- The paper times index SIPs (cash, no leverage); the engine version adds a fixed number of futures lots per month and compares end P&L between BUY_DAY settings (run it twice). Futures add the monthly roll cost and the leverage of a growing book; a notional-matched SIP would buy fewer units as the index rises - here every instalment is a whole lot. - Each lot is its own position, so the book is rolled and closed lot by lot (no partial reduces). - Buying at the close is a calendar rule known in advance, not a signal read from that close.

Also known asexpiry-day SIPEXP-SIP vs FTD-SIP

Backtests run on historical NSE data with fills at the last traded price. "Before costs" excludes brokerage, taxes and slippage. Quantsapp is not recommending any strategy; it is just a backtesting utility. Past results are not a promise of future returns.