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
Harbour Tail Hedge Overlay
Systematic put-spread overlay that pays off in market crashes, designed to sit beside premium-selling algos; shared with Harbour Quant clients by invitation.
- 1Y return
- +9.7%
- CAGR
- -8.9%
- Max drawdown
- -34.5%
- Sharpe
- -0.81
- Win rate
- 31.0%
- Subscribers
- 4159 slots left
This strategy is shared by invitation
Harbour Quant shares Harbour Tail Hedge Overlay with selected subscribers. 41 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 ₹50,00,000, against the NIFTY 50.
1M+2.09%
3M+9.77%
6M-3.13%
1Y+9.69%
Max-24.32%
- Harbour Tail Hedge Overlay
- 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
- Tail Hedge
- Holding period
- Positional (monthly)
- Favourable in
- Sharp sell-offs; costs a little in calm markets
- Provider
- Harbour Quant
- Logic
- White box
Performance
Returns on the maximum allocation, by period and by month.
Returns by period
| Period | Profit | Return |
|---|---|---|
| 1 month | ₹1,04,500 | +2.09% |
| 3 months | ₹4,88,351 | +9.77% |
| 6 months | -₹1,56,499 | -3.13% |
| 1 year | ₹4,84,529 | +9.69% |
| 3 years | -₹12,15,964 | -24.32% |
| All time | -₹12,15,964 | -24.32% |
Return profile
- Cumulative return
- -24.32%
- CAGR
- -8.87%
- Avg. up month
- +3.90%
- Avg. down month
- -4.28%
Monthly returns
Monthly returns distribution
- -11.35% to -5.95%6 months
- -5.36% to -3.23%6 months
- -2.6% to -0.51%6 months
- -0.49% to 1.77%6 months
- 2.05% to 4.19%6 months
- 4.43% to 10.39%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-34.53%Jul 25
Avg. drawdown-21.99%across all months under water
Longest drawdown1080 daysStart – Ongoing
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -34.53% | Start | Jul 25 | Ongoing | 1080 days | – |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 0.25 trades/week
- Success ratio
- 31.00%
- Avg. profit per trade
- +14.20%
- Avg. loss per trade
- -1.10%
- Risk : reward
- 12.91
- Stop-loss per trade
- 1.50%
Risk
- Risk level
- Low
- Avg. drawdown
- -21.99%
- Max drawdown
- -34.53%
- Avg. time to recovery
- –
- Max time to recovery
- –
- Annualised volatility
- 17.50%
Consistency
- Win days
- 44.00%
- Win months
- 44.44%
- Win quarters
- 41.67%
- Max consecutive wins
- 2 trades
- Max consecutive losses
- 9 trades
- Max consecutive winning months
- 5
Efficiency
- Sharpe
- -0.81
- Sortino
- -0.97
- Calmar
- -0.26
- Alpha
- -0.02
- Beta to NIFTY 50
- -0.88
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
₹0 (0.00%)
Month to date (16 Oct 2026) on the maximum allocation of ₹50,00,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
1
2
5
6
7
8
9
12
13
14
15
16
19
20
21
22
23
26
27
28
29
30
- Trading days
- 0
- Winning days
- 0
- Best day
- –
- Worst day
- –
October 2026
No trades this month.
About Harbour Tail Hedge Overlay
Harbour Tail Hedge Overlay buys monthly out-of-the-money NIFTY put spreads financed partly by far-dated call sales. It loses a small, bounded amount in most months and pays off strongly in sharp sell-offs, which is when short-volatility algos suffer. Harbour Quant shares it privately with subscribers of its income strategies.
How it works
- Buys 8–12% OTM monthly put spreads on the first trading day.
- Finances up to half the cost with 15% OTM quarterly call sales.
- Rolls or monetises when the spread reaches 3× cost.
- Never adds to positions; maximum monthly cost is capped at 1.5% of allocation.
White-box strategy: the provider discloses the rules above so you can judge the logic as well as the track record.
Risk notes
Expect many small losing months. The value of the overlay is in combination with other algos, not on its own.
Combine with other algos
Correlation of monthly returns between Harbour Tail Hedge Overlay 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 | -0.48 | +27.4% | -43.1% | -22.5% | Combine |
| Delta-Rotation Credit Spread Expiry | -0.14 | +27.0% | -14.3% | -11.7% | Combine |
| Momentum Pulse Equity | -0.70 | +13.1% | -16.7% | -3.6% | Combine |
| Mean Reversion NIFTY Intraday | 0.07 | +50.9% | -7.8% | -6.4% | Combine |
| Calm Harbour Iron Condor Weekly | -0.41 | +9.1% | -4.4% | -7.3% | Combine |
| Trend Rider BANKNIFTY Futures | -0.56 | +14.2% | -27.5% | -11.0% | Combine |
| Dividend Rotator Equity | -0.52 | +2.5% | -11.3% | -11.1% | Combine |
| Volatility Harvest Straddle | -0.11 | +51.5% | -17.3% | -16.3% | Combine |
| Gold Carry MCX | -0.35 | +23.3% | -7.9% | -6.9% | Combine |
| US Large-Cap Momentum | -0.02 | +19.7% | -11.3% | -12.1% | Combine |
| QQQ Trend Switch | 0.08 | +13.5% | -8.4% | -13.4% | Combine |
| SPX Weekly Put Spread | 0.23 | +22.2% | -8.8% | -11.8% | Combine |
| Bitcoin Trend 4H | 0.24 | +54.9% | -26.4% | -20.4% | Combine |
| ETH–BTC Rotation | 0.19 | +51.5% | -27.8% | -24.1% | Combine |
Frequently asked questions
Why is it private?
Harbour Quant offers it as a complement to its public income algos and shares it with subscribers who hold those, so that the combined portfolio is sized correctly.
How do I subscribe to Harbour Tail Hedge Overlay?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹3,00,000) and the algo starts placing orders from the next session. You pay ₹1,999 per month plus 10% of net monthly profit above the high-water mark.
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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
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
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- Risk
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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.