Short the day session
This is the simplest possible calendar test: sell one lot of NIFTY futures a minute after the open every trading day and buy it back at 15:20. There is no signal, no stop and no target. It tests the idea, found in long-run studies of Indian index returns, that the index has drifted slightly lower during trading hours on average, with most of its gains arriving overnight between the close and the next open.How it trades
Results
PRE-BUILT · DEFAULTSWhere it made and lost money
In this test flat openings carried the result: 166 of them made +₹1,87,315 with a 55% win rate, while 38 gap-up openings lost ₹1,02,423, winning only a third, because a strong open often kept rising all day against the short. Evenings with India VIX in the normal 11.5 to 14.5 range made ₹1,47,173 over 109 trades, while nervous ones above 14.5 lost ₹95,823 over 69. Trend days made ₹1,12,097, which reflects the falling ones, while quiet sessions lost ₹34,297 to small adverse drifts. Weekly expiry days made ₹1,14,605 over 51 trades and Mondays lost ₹57,565.
About this strategy
- Every trading day at 09:16, sell one lot of the near-month NIFTY future; 09:16 skips the first print, which carries the pre-open auction.
- Hold the short through the session with no stop loss and no target.
- Buy it back at 15:20 the same day.
- On a futures expiry day, the expiring contract is shorted and covered before it settles.
Why traders use it
Studies of NIFTY's history have found that the open-to-close return has been slightly negative on average while the close-to-open return has been positive. Shorting the day session is the purest way to test whether that daytime drift is tradable. It is also a useful control: placed beside an overnight long strategy, it shows how much of the index's movement happens in market hours versus outside them. Its appeal is simplicity; there is nothing to optimise except two clock times.
The year in plain words
Shorting one lot of NIFTY futures every session from 1 Oct 2025 to 30 Sep 2026 produced 246 trades, a 49% win rate and ₹48,889 before costs, a profit factor of 1.06. The year swung widely: January to March made about ₹1.48 lakh, April lost ₹93,519, and the drawdown reached ₹1,38,417. Weekly expiry days (Tuesdays) made ₹1,14,605 while other days lost ₹63,070, and gap-up openings cost ₹1,02,423. After ₹20 per order and bid-ask slippage on 492 orders, the result turned into a ₹21,829 loss.
What the settings do
Risks
- There is no stop loss, so a strong rally is held all day; the worst single day here lost ₹27,462.
- The average daily edge is far smaller than the round-trip cost of brokerage, spread and STT on futures.
- Trading every day means a long losing streak can build quickly; seven losses in a row occurred in this test.
- Patterns based on long-run averages can fade or reverse in any given year.
Who it suits
Traders researching calendar effects who want a clean baseline for daytime versus overnight returns, and who have margin for one NIFTY futures lot held intraday without a stop.
Questions traders ask
Does NIFTY fall during market hours on average?
Long-run studies have found a small negative average return from open to close and a positive one overnight. The daily effect is only a few hundredths of a percent, which is why it is easily outweighed by costs and by individual large days.
Is shorting NIFTY futures every day profitable?
From 1 Oct 2025 to 30 Sep 2026 it made ₹48,889 before costs but lost ₹21,829 after ₹20 per order and bid-ask slippage, with statutory charges still to come. The before-costs drawdown was ₹1,38,417. Past results do not guarantee future ones.
Why does expiry day stand out in the results?
In this test, the 51 trades on NIFTY weekly expiry days, which fall on Tuesday, made ₹1,14,605 with a 67% win rate, while the other days lost money overall. One year is a small sample, so this may be specific to the period.
Why enter at 09:16 instead of 09:15?
The 09:15 price comes out of the pre-open auction and can differ from where the futures actually trade in the first minute. Starting a minute later uses a price that could realistically be traded.