Demo · All algos, performance figures and trades are simulated to illustrate Lantern by Fintrens. Nothing here is investment advice.
FintrensLantern Demo
by Quantfold Labs ✓

Delta-Rotation Credit Spread Expiry

Rotates short credit spreads across deltas on NIFTY expiry day, squaring off before close to avoid overnight exposure.

IndiaNon-DirectionalCredit SpreadNSE · NIFTYF&OIntraday (expiry day)High risk◻ White box
1Y return
+27.0%
CAGR
+32.1%
Max drawdown
-14.3%
Sharpe
1.25
Win rate
61.2%
Subscribers
11783 slots left

Overview

Backtested Oct 23 – Sep 26 on the maximum allocation of ₹2,50,000, against the NIFTY 50.

1M+7.75%
3M+8.87%
6M+3.64%
1Y+27.00%
Max+130.58%
Delta-Rotation Credit Spread Expiry equity curve vs benchmark93129165201237StartMar 24Sep 24Mar 25Sep 25Mar 26Sep 26Delta-Rotation Credit Spread ExpiryNIFTY 50 (benchmark)
  • Delta-Rotation Credit Spread Expiry
  • 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
Holding period
Intraday (expiry day)
Favourable in
Low-volatility expiry sessions
Logic
White box

Performance

Returns on the maximum allocation, by period and by month.

Returns by period

PeriodProfitReturn
1 month₹19,375+7.75%
3 months₹22,168+8.87%
6 months₹9,110+3.64%
1 year₹67,507+27.00%
3 years₹3,26,457+130.58%
All time₹3,26,457+130.58%

Return profile

Cumulative return
+130.58%
CAGR
+32.11%
Avg. up month
+5.02%
Avg. down month
-4.08%

Monthly returns

-12%11%Oct 23: 1%Nov 23: 7.06%Dec 23: 0.79%Jan 24: 4.4%Feb 24: 6.37%Mar 24: 9.88%Apr 24: 3.14%May 24: 2.92%Jun 24: -6.93%Jul 24: -7.92%Aug 24: 8.12%Sep 24: -4.06%Oct 24: 2.14%Nov 24: 7.59%Dec 24: 3.94%Jan 25: 10.67%Feb 25: 8.67%Mar 25: 4.06%Apr 25: 9.84%May 25: -11.61%Jun 25: -2.53%Jul 25: 1.59%Aug 25: 0.18%Sep 25: 5.09%Oct 25: -0.94%Nov 25: 3.05%Dec 25: 10.18%Jan 26: 0.95%Feb 26: -1.07%Mar 26: 9.09%Apr 26: 0.63%May 26: -4.06%Jun 26: -1.39%Jul 26: -0.25%Aug 26: 1.29%Sep 26: 7.75%Oct 23Apr 24Oct 24Apr 25Oct 25Apr 26

Monthly returns distribution

  • -11.61% to -2.53%6 months
  • -1.39% to 0.63%6 months
  • 0.79% to 2.14%6 months
  • 2.92% to 4.4%6 months
  • 5.09% to 8.12%6 months
  • 8.67% to 10.67%6 months

Drawdowns

How deep and how long the strategy fell from its peaks, and how fast it recovered.

Max drawdown-14.30%Jul 24
Avg. drawdown-8.03%across all months under water
Longest drawdown240 daysApr 25 – Dec 25

Underwater plot

Delta-Rotation Credit Spread Expiry underwater plot-15%-11%-7%-3%1%StartMar 24Sep 24Mar 25Sep 25Mar 26Sep 26Drawdown from peak

Worst 5 drawdowns

#DepthPeakTroughRecoveredLengthRecovery
1-14.30%May 24Jul 24Dec 24210 days150 days
2-13.85%Apr 25Jun 25Dec 25240 days180 days
3-5.63%Apr 26Jul 26Sep 26150 days60 days
4-1.07%Jan 26Feb 26Mar 2660 days30 days

Trade metrics

Trading behaviour, risk, consistency and efficiency in one place.

Trades

Frequency
1 trades/week
Success ratio
61.20%
Avg. profit per trade
+3.10%
Avg. loss per trade
-3.40%
Risk : reward
0.91
Stop-loss per trade
5.00%

Risk

Risk level
High
Avg. drawdown
-8.03%
Max drawdown
-14.30%
Avg. time to recovery
105 days
Max time to recovery
180 days
Annualised volatility
18.76%

Consistency

Win days
61.20%
Win months
72.22%
Win quarters
66.67%
Max consecutive wins
9 trades
Max consecutive losses
4 trades
Max consecutive winning months
8

Efficiency

Sharpe
1.25
Sortino
2.21
Calmar
2.25
Alpha
0.23
Beta to NIFTY 50
0.19

Past trades

Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.

₹12,625 (+5.05%)

Month to date (16 Oct 2026) on the maximum allocation of ₹2,50,000. Select a day to see its trades.

Mon
Tue
Wed
Thu
Fri
2
5
8
9
13
14
15
16
19
20
21
22
23
26
27
28
29
30
Trading days
4
Winning days
3
Best day
+₹9,600
Worst day
−₹10,750
Trades on

Mon 12 Oct 2026

+₹4,225
Trade 1+₹4,225
SideInstrumentQty × entryExitSellNIFTY26O1222700PE150 × 109.3062.91BuyNIFTY26O1222300PE150 × 27.799.57
09:36 → 14:48 · Target hit · SL 5%

About Delta-Rotation Credit Spread Expiry

Delta-Rotation Credit Spread Expiry trades only on NIFTY weekly expiry days. It sells credit spreads at a target delta and rotates the position to a fresh delta band as the index moves, keeping the structure roughly delta-neutral while harvesting the accelerated time decay of expiry-day options. All positions are closed before market close.

How it works

  1. Activates at 9:45 on expiry day after the opening range forms.
  2. Sells a call or put spread at 15–20 delta on the side opposite to the opening-range breakout.
  3. If the index moves through the short strike's delta band, the spread is rolled (rotated) to the new band.
  4. Hard square-off at 15:10 or when the per-trade stop-loss is hit.

White-box strategy: the provider discloses the rules above so you can judge the logic as well as the track record.

Risk notes

Expiry-day gamma can produce fast losses on sharp intraday moves. The rotation rule limits but does not eliminate this risk.

Combine with other algos

Correlation of monthly returns between Delta-Rotation Credit Spread Expiry and other algos. Low or negative correlation means they tend not to draw down at the same time, which steadies a portfolio.

AlgoCorrelation1YMax DDCombined max DD (50/50)
Convex Credit Spread Overnight0.17+27.4%-43.1%-23.1%Combine
Momentum Pulse Equity0.27+13.1%-16.7%-8.1%Combine
Mean Reversion NIFTY Intraday0.09+50.9%-7.8%-8.6%Combine
Calm Harbour Iron Condor Weekly0.13+9.1%-4.4%-5.1%Combine
Trend Rider BANKNIFTY Futures0.12+14.2%-27.5%-14.9%Combine
Dividend Rotator Equity0.26+2.5%-11.3%-9.9%Combine
Volatility Harvest Straddle0.37+51.5%-17.3%-9.5%Combine
Gold Carry MCX-0.09+23.3%-7.9%-7.5%Combine
US Large-Cap Momentum0.01+19.7%-11.3%-6.9%Combine
QQQ Trend Switch0.12+13.5%-8.4%-6.8%Combine
SPX Weekly Put Spread0.17+22.2%-8.8%-7.8%Combine
Bitcoin Trend 4H0.01+54.9%-26.4%-17.7%Combine
ETH–BTC Rotation-0.00+51.5%-27.8%-10.7%Combine
Open combine tool

Frequently asked questions

Does the algo hold positions overnight?

No. All positions are squared off on expiry day before 15:15.

Which days does it trade?

Only on NIFTY weekly expiry days, roughly one trade a week.

How do I subscribe to Delta-Rotation Credit Spread Expiry?

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 ₹999 per month plus 20% of net monthly profit above the high-water mark.

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Risk
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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.
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