Trade 1+₹1,35,125
SideInstrumentQty × entryExitSellNIFTY26O1422900PE1500 × 149.3546.21BuyNIFTY26O1422500PE1500 × 32.4119.35
09:23 → 14:40 · Exit signal · SL 10%
Convex Credit Spread Expiry Pro
Institutional-size expiry-day credit spread programme with dynamic strike rotation and larger per-trade risk, shared with invited subscribers only.
- 1Y return
- +66.7%
- CAGR
- +81.8%
- Max drawdown
- -31.4%
- Sharpe
- 1.45
- Win rate
- 57.0%
- Subscribers
- 187 slots left
This strategy is shared by invitation
Quantfold Labs shares Convex Credit Spread Expiry Pro with selected subscribers. 18 subscribers have access. Enter your invite code, or request access from the vendor.
That code does not match this strategy.
Overview
Backtested Oct 23 – Sep 26 on the maximum allocation of ₹25,00,000, against the NIFTY 50.
1M+21.28%
3M-4.42%
6M+1.32%
1Y+66.71%
Max+500.93%
- Convex Credit Spread Expiry Pro
- NIFTY 50 (benchmark)
Characteristics
- Market
- India
- Brokers
- Angel One or Zerodha
- Trading hours
- 09:15–15:30 IST, Monday to Friday
- Operates on
- NSE
- Built on
- NIFTY
- Segment
- F&O
- Strategy
- Credit Spread
- Holding period
- Intraday (expiry day)
- Favourable in
- Expiry sessions with elevated IV
- Provider
- Quantfold Labs
- Logic
- Black box
Performance
Returns on the maximum allocation, by period and by month.
Returns by period
| Period | Profit | Return |
|---|---|---|
| 1 month | ₹5,32,000 | +21.28% |
| 3 months | -₹1,10,428 | -4.42% |
| 6 months | ₹32,920 | +1.32% |
| 1 year | ₹16,67,651 | +66.71% |
| 3 years | ₹1,25,23,334 | +500.93% |
| All time | ₹1,25,23,334 | +500.93% |
Return profile
- Cumulative return
- +500.93%
- CAGR
- +81.81%
- Avg. up month
- +12.88%
- Avg. down month
- -8.16%
Monthly returns
Monthly returns distribution
- -20.36% to -8.83%6 months
- -4.99% to -0.48%6 months
- 0.56% to 5.51%6 months
- 6.66% to 11.14%6 months
- 13.82% to 18.52%6 months
- 19.03% to 28.51%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-31.43%Aug 26
Avg. drawdown-12.96%across all months under water
Longest drawdown150 daysApr 26 – Ongoing
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -31.43% | Apr 26 | Aug 26 | Ongoing | 150 days | – |
| 2 | -19.95% | Dec 24 | Jan 25 | Mar 25 | 90 days | 60 days |
| 3 | -13.21% | Jul 25 | Sep 25 | Dec 25 | 150 days | 90 days |
| 4 | -11.70% | Nov 23 | Dec 23 | Jan 24 | 60 days | 30 days |
| 5 | -8.83% | Sep 24 | Oct 24 | Nov 24 | 60 days | 30 days |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 1 trades/week
- Success ratio
- 57.00%
- Avg. profit per trade
- +9.40%
- Avg. loss per trade
- -6.20%
- Risk : reward
- 1.52
- Stop-loss per trade
- 10.00%
Risk
- Risk level
- Very High
- Avg. drawdown
- -12.96%
- Max drawdown
- -31.43%
- Avg. time to recovery
- 53 days
- Max time to recovery
- 90 days
- Annualised volatility
- 43.92%
Consistency
- Win days
- 57.00%
- Win months
- 66.67%
- Win quarters
- 83.33%
- Max consecutive wins
- 8 trades
- Max consecutive losses
- 4 trades
- Max consecutive winning months
- 6
Efficiency
- Sharpe
- 1.45
- Sortino
- 2.94
- Calmar
- 2.60
- Alpha
- 0.58
- Beta to NIFTY 50
- 1.12
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
₹6,18,775 (+24.75%)
Month to date (16 Oct 2026) on the maximum allocation of ₹25,00,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
5
8
9
13
14
15
16
19
20
21
22
23
26
27
28
29
30
- Trading days
- 5
- Winning days
- 4
- Best day
- +₹2,73,400
- Worst day
- −₹2,09,475
Trades on
+₹1,35,125Mon 12 Oct 2026
About Convex Credit Spread Expiry Pro
Convex Credit Spread Expiry Pro is the capacity-constrained version of Quantfold's expiry-day programme. It trades larger notional per lakh, rotates strikes more aggressively and accepts a 10% per-trade stop in exchange for higher expected return. Because slippage grows with size, Quantfold limits it to a small invited group.
How it works
Black-box strategy. Quantfold Labs has chosen to keep the trading logic confidential. Lantern has verified the backtest and tracks every live signal, so the performance, risk metrics and trade history above are independently checked even though the rules are not disclosed.
Risk notes
High capital requirement and high per-trade risk. Capacity is limited to protect fills; the strategy is shared by invitation only.
Combine with other algos
Correlation of monthly returns between Convex Credit Spread Expiry Pro and other algos. Low or negative correlation means they tend not to draw down at the same time, which steadies a portfolio.
| Algo | Correlation | 1Y | Max DD | Combined max DD (50/50) | Action |
|---|---|---|---|---|---|
| Convex Credit Spread Overnight | 0.16 | +27.4% | -43.1% | -16.8% | Combine |
| Delta-Rotation Credit Spread Expiry | 0.24 | +27.0% | -14.3% | -18.5% | Combine |
| Momentum Pulse Equity | 0.38 | +13.1% | -16.7% | -13.3% | Combine |
| Mean Reversion NIFTY Intraday | -0.09 | +50.9% | -7.8% | -15.4% | Combine |
| Calm Harbour Iron Condor Weekly | 0.13 | +9.1% | -4.4% | -14.7% | Combine |
| Trend Rider BANKNIFTY Futures | 0.39 | +14.2% | -27.5% | -19.9% | Combine |
| Dividend Rotator Equity | 0.19 | +2.5% | -11.3% | -16.5% | Combine |
| Volatility Harvest Straddle | -0.04 | +51.5% | -17.3% | -13.8% | Combine |
| Gold Carry MCX | 0.19 | +23.3% | -7.9% | -13.9% | Combine |
| US Large-Cap Momentum | -0.08 | +19.7% | -11.3% | -17.0% | Combine |
| QQQ Trend Switch | 0.07 | +13.5% | -8.4% | -19.8% | Combine |
| SPX Weekly Put Spread | 0.02 | +22.2% | -8.8% | -16.9% | Combine |
| Bitcoin Trend 4H | -0.09 | +54.9% | -26.4% | -11.3% | Combine |
| ETH–BTC Rotation | -0.14 | +51.5% | -27.8% | -15.5% | Combine |
Frequently asked questions
How do I get access?
Access is by invitation from Quantfold Labs. Request access on the strategy page or on the Quantfold vendor page; the vendor approves and you receive an invite link.
How do I subscribe to Convex Credit Spread Expiry Pro?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹5,00,000) and the algo starts placing orders from the next session. You pay ₹4,999 per month plus 25% of net monthly profit above the high-water mark.
Explore similar algos
Convex Credit Spread Overnight
Sells NIFTY put or call spreads when option-surface curvature signals a convexity reversal, holding positions overnight to capture theta and skew normalisation.
- Min capital
- ₹1,00,000
- 1Y return
- +27.4%
- Risk
- Very High
Delta-Rotation Credit Spread Expiry
Rotates short credit spreads across deltas on NIFTY expiry day, squaring off before close to avoid overnight exposure.
- Min capital
- ₹1,00,000
- 1Y return
- +27.0%
- Risk
- High
SPX Weekly Put Spread
Sells a defined-risk SPX put spread each week at about 10 delta and closes it early at half profit or on a volatility stop.
- Min capital
- ₹4,00,000
- 1Y return
- +22.2%
- Risk
- High
Mean Reversion NIFTY Intraday
Fades intraday extremes in NIFTY futures using VWAP bands and order-flow confirmation, flat by close every day.
- Min capital
- ₹1,50,000
- 1Y return
- +50.9%
- Risk
- High
Important disclosure. Past performance, including back-tested returns, does not guarantee future results. Algorithmic trading strategies are exposed to market risk and can undergo periods of drawdown. Returns are subject to slippage, which depends on market conditions, the traded instrument and its liquidity. In accordance with exchange regulations, algorithmic strategies place LIMIT orders only, so execution is not guaranteed. Trades on the same instrument across multiple algos or manual orders may conflict. Performance figures and risk disclosures of listed algos are independently verified before listing. This demo uses simulated data.