The basic idea is to keep a part (or all?) of the premium (as profit) with you and hedge it with futures.
Now, i believe I made a profit in this case is because i modified this strategy. Instead of considering the below mentioned logic,
HL = BNF Spot + 20 Points
LL = BNF Spot - 20 Points
Go Long in Future if BNF Fut > HL
Go Short in Future if BNF Fut < LL
I had a look at the BNF charts - Time frame 15 mins, and considered the 10 AM candle. Drew a line at the High of 10 AM candle & drew another line at the Low of the 10 AM candle. This was my band for the Buy or sell..
Now if the 10:15 candle closes above the High Line of 10 AM candle, then as per my view there is an uptrend and BNF Fut becomes a "buy" and same goes vice versa for BNF Fut Sell.
By doing this the levels for going Long or Short are as per each trading day's movement in BNF, rather than trying to fit them in a point based trade. As per my view we shall be able to reduce the choppiness and have a smooth trade. We can always keep a trailing SL on BNF Fut and Lock in on the profits. (or we can put stops at either of the two levels i.e. SL at low of 10:15 candle or if you are an aggressive trader then you can keep a low of the 10 AM candle as the SL for BNF Fut)
Hope this answers your query!