Trade 1+₹11,500
SideInstrumentQty × entryExitSellNIFTY26O1422900PE225 × 195.23129.02BuyNIFTY26O1422500PE225 × 34.8519.75
14:33 → next day 09:34 · Target hit · SL 8%
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.
- 1Y return
- +27.4%
- CAGR
- +62.5%
- Max drawdown
- -43.1%
- Sharpe
- 1.19
- Win rate
- 52.4%
- Subscribers
- 15842 slots left
Overview
Backtested Oct 23 – Sep 26 on the maximum allocation of ₹3,20,000, against the NIFTY 50.
1M+22.95%
3M+8.19%
6M+34.18%
1Y+27.42%
Max+329.34%
- Convex Credit Spread Overnight
- 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
- Overnight
- Favourable in
- Range-bound to mildly trending
- 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 | ₹73,440 | +22.95% |
| 3 months | ₹26,213 | +8.19% |
| 6 months | ₹1,09,380 | +34.18% |
| 1 year | ₹87,739 | +27.42% |
| 3 years | ₹10,53,901 | +329.34% |
| All time | ₹10,53,901 | +329.34% |
Return profile
- Cumulative return
- +329.34%
- CAGR
- +62.53%
- Avg. up month
- +12.33%
- Avg. down month
- -9.87%
Monthly returns
Monthly returns distribution
- -22.06% to -9.84%6 months
- -8.67% to -0.31%6 months
- 1.92% to 6.16%6 months
- 7.39% to 11.37%6 months
- 12.94% to 17.8%6 months
- 18.24% to 27.19%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-43.07%Nov 24
Avg. drawdown-17.29%across all months under water
Longest drawdown330 daysMay 24 – Apr 25
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -43.07% | May 24 | Nov 24 | Apr 25 | 330 days | 150 days |
| 2 | -21.89% | Sep 25 | Jan 26 | May 26 | 240 days | 120 days |
| 3 | -12.00% | Jun 26 | Aug 26 | Sep 26 | 90 days | 30 days |
| 4 | -6.82% | Oct 23 | Dec 23 | Jan 24 | 90 days | 30 days |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 2 trades/week
- Success ratio
- 52.40%
- Avg. profit per trade
- +6.28%
- Avg. loss per trade
- -4.61%
- Risk : reward
- 1.36
- Stop-loss per trade
- 8.00%
Risk
- Risk level
- Very High
- Avg. drawdown
- -17.29%
- Max drawdown
- -43.07%
- Avg. time to recovery
- 83 days
- Max time to recovery
- 150 days
- Annualised volatility
- 44.39%
Consistency
- Win days
- 55.40%
- Win months
- 66.67%
- Win quarters
- 75.00%
- Max consecutive wins
- 7 trades
- Max consecutive losses
- 5 trades
- Max consecutive winning months
- 10
Efficiency
- Sharpe
- 1.19
- Sortino
- 2.04
- Calmar
- 1.45
- Alpha
- 0.39
- Beta to NIFTY 50
- 1.09
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
₹19,250 (+6.02%)
Month to date (16 Oct 2026) on the maximum allocation of ₹3,20,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
5
6
7
8
9
12
14
15
16
19
20
21
22
23
26
27
28
29
30
- Trading days
- 3
- Winning days
- 2
- Best day
- +₹20,800
- Worst day
- −₹13,050
Trades on
+₹11,500Tue 13 Oct 2026
About Convex Credit Spread Overnight
Convex Credit Spread Overnight is a non-directional NIFTY options strategy. It measures how option prices curve across strike prices (convexity) and enters a defined-risk credit spread when the curvature is statistically stretched. Positions are opened in the afternoon session and typically closed the next day, so the algo earns overnight time decay while a hedge leg caps the maximum loss on every trade.
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
Expect sharp drawdowns around event days and gap openings. Because trades are overnight, the algo is exposed to gap risk between sessions despite the defined-risk hedge.
Combine with other algos
Correlation of monthly returns between Convex Credit Spread Overnight 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 |
|---|---|---|---|---|---|
| Delta-Rotation Credit Spread Expiry | 0.17 | +27.0% | -14.3% | -23.1% | Combine |
| Momentum Pulse Equity | 0.24 | +13.1% | -16.7% | -15.9% | Combine |
| Mean Reversion NIFTY Intraday | -0.28 | +50.9% | -7.8% | -19.8% | Combine |
| Calm Harbour Iron Condor Weekly | 0.45 | +9.1% | -4.4% | -24.3% | Combine |
| Trend Rider BANKNIFTY Futures | 0.19 | +14.2% | -27.5% | -17.0% | Combine |
| Dividend Rotator Equity | 0.23 | +2.5% | -11.3% | -22.0% | Combine |
| Volatility Harvest Straddle | 0.01 | +51.5% | -17.3% | -23.5% | Combine |
| Gold Carry MCX | 0.10 | +23.3% | -7.9% | -20.1% | Combine |
| US Large-Cap Momentum | 0.04 | +19.7% | -11.3% | -20.0% | Combine |
| QQQ Trend Switch | 0.07 | +13.5% | -8.4% | -23.1% | Combine |
| SPX Weekly Put Spread | -0.16 | +22.2% | -8.8% | -18.0% | Combine |
| Bitcoin Trend 4H | -0.15 | +54.9% | -26.4% | -21.4% | Combine |
| ETH–BTC Rotation | -0.05 | +51.5% | -27.8% | -22.8% | Combine |
Frequently asked questions
What capital do I need to run Convex Credit Spread Overnight?
A minimum allocation of ₹1,00,000 is required. Performance figures are shown on the maximum allocation of ₹3,20,000.
Is this algo directional?
No. It is a non-directional credit spread strategy that profits from time decay and option curvature normalising rather than from market direction.
How often does it trade?
On average about two trades a week, each held overnight.
How do I subscribe to Convex Credit Spread Overnight?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹1,00,000) and the algo starts placing orders from the next session. You pay ₹1,499 per month plus 20% of net monthly profit above the high-water mark.
Explore similar algos
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
Calm Harbour Iron Condor Weekly
Sells a wide weekly NIFTY iron condor sized to realised volatility and adjusts the tested side once.
- Min capital
- ₹1,20,000
- 1Y return
- +9.1%
- Risk
- Moderate
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.