Trade 1−₹4,775
SideInstrumentQty × entryExitSellNIFTY26O1823100PE225 × 110.40145.22BuyNIFTY26O1822700PE225 × 44.0976.95SellNIFTY26O1823100CE225 × 117.43126.20BuyNIFTY26O1823500CE225 × 35.3424.85
09:34 → 14:22 · Exit signal · SL 2%
Volatility Harvest Straddle
Sells an at-the-money NIFTY straddle at 9:20 with protective wings and a volatility-based stop, closing by 15:00.
- 1Y return
- +51.5%
- CAGR
- +19.5%
- Max drawdown
- -17.3%
- Sharpe
- 0.71
- Win rate
- 64.0%
- Subscribers
- 16238 slots left
Overview
Backtested Oct 23 – Sep 26 on the maximum allocation of ₹5,40,000, against the NIFTY 50.
1M+5.32%
3M+10.10%
6M+15.95%
1Y+51.48%
Max+70.83%
- Volatility Harvest Straddle
- 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
- Short Straddle (hedged)
- Holding period
- Intraday
- Favourable in
- High implied volatility, quiet sessions
- Provider
- Sigma Street
- Logic
- Black box
Performance
Returns on the maximum allocation, by period and by month.
Returns by period
| Period | Profit | Return |
|---|---|---|
| 1 month | ₹28,728 | +5.32% |
| 3 months | ₹54,548 | +10.10% |
| 6 months | ₹86,125 | +15.95% |
| 1 year | ₹2,77,981 | +51.48% |
| 3 years | ₹3,82,471 | +70.83% |
| All time | ₹3,82,471 | +70.83% |
Return profile
- Cumulative return
- +70.83%
- CAGR
- +19.54%
- Avg. up month
- +5.28%
- Avg. down month
- -3.48%
Monthly returns
Monthly returns distribution
- -9.06% to -3.82%6 months
- -3.51% to -1.19%6 months
- -1.11% to 2.3%6 months
- 2.37% to 3.19%6 months
- 3.27% to 6.27%6 months
- 6.37% to 14.59%6 months
Drawdowns
How deep and how long the strategy fell from its peaks, and how fast it recovered.
Max drawdown-17.33%Aug 25
Avg. drawdown-7.74%across all months under water
Longest drawdown300 daysFeb 25 – Dec 25
Underwater plot
Worst 5 drawdowns
| # | Depth | Peak | Trough | Recovered | Length | Recovery |
|---|---|---|---|---|---|---|
| 1 | -17.33% | Feb 25 | Aug 25 | Dec 25 | 300 days | 120 days |
| 2 | -8.44% | Sep 24 | Dec 24 | Feb 25 | 150 days | 60 days |
| 3 | -7.96% | Apr 26 | May 26 | Jun 26 | 60 days | 30 days |
| 4 | -4.66% | May 24 | Jul 24 | Sep 24 | 120 days | 60 days |
| 5 | -4.09% | Dec 23 | Jan 24 | Feb 24 | 60 days | 30 days |
Trade metrics
Trading behaviour, risk, consistency and efficiency in one place.
Trades
- Frequency
- 4 trades/week
- Success ratio
- 64.00%
- Avg. profit per trade
- +1.10%
- Avg. loss per trade
- -1.60%
- Risk : reward
- 0.69
- Stop-loss per trade
- 2.00%
Risk
- Risk level
- High
- Avg. drawdown
- -7.74%
- Max drawdown
- -17.33%
- Avg. time to recovery
- 60 days
- Max time to recovery
- 120 days
- Annualised volatility
- 18.43%
Consistency
- Win days
- 64.00%
- Win months
- 58.33%
- Win quarters
- 83.33%
- Max consecutive wins
- 12 trades
- Max consecutive losses
- 4 trades
- Max consecutive winning months
- 5
Efficiency
- Sharpe
- 0.71
- Sortino
- 1.26
- Calmar
- 1.13
- Alpha
- 0.11
- Beta to NIFTY 50
- 0.11
Past trades
Daily profit and loss for any month since Oct 23. Pick a month, then a day to see its trades.
−₹40,025 (-7.41%)
Month to date (16 Oct 2026) on the maximum allocation of ₹5,40,000. Select a day to see its trades.
Mon
Tue
Wed
Thu
Fri
19
20
21
22
23
26
27
28
29
30
- Trading days
- 12
- Winning days
- 4
- Best day
- +₹8,275
- Worst day
- −₹12,075
Trades on
−₹7,950Fri 16 Oct 2026
Trade 2−₹3,175
SideInstrumentQty × entryExitSellNIFTY26O1823100PE225 × 195.29235.74BuyNIFTY26O1822700PE225 × 51.0475.72SellNIFTY26O1823100CE225 × 107.9898.67BuyNIFTY26O1823500CE225 × 46.8239.17
09:32 → 14:35 · Exit signal · SL 2%
About Volatility Harvest Straddle
Volatility Harvest Straddle is an intraday short-volatility strategy. It sells the ATM straddle shortly after the open, buys far wings for protection, and exits when either the premium decays to target or the index moves beyond a volatility-scaled threshold. The algo trades only when implied volatility is above its 30-day median.
How it works
Black-box strategy. Sigma Street 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
Fast directional moves after entry create the largest losses. The wings and per-leg stops limit the damage on any single day.
Combine with other algos
Correlation of monthly returns between Volatility Harvest Straddle 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 | 0.01 | +27.4% | -43.1% | -23.5% | Combine |
| Delta-Rotation Credit Spread Expiry | 0.37 | +27.0% | -14.3% | -9.5% | Combine |
| Momentum Pulse Equity | -0.04 | +13.1% | -16.7% | -6.2% | Combine |
| Mean Reversion NIFTY Intraday | 0.12 | +50.9% | -7.8% | -6.8% | Combine |
| Calm Harbour Iron Condor Weekly | 0.12 | +9.1% | -4.4% | -4.0% | Combine |
| Trend Rider BANKNIFTY Futures | 0.12 | +14.2% | -27.5% | -13.4% | Combine |
| Dividend Rotator Equity | -0.11 | +2.5% | -11.3% | -9.0% | Combine |
| Gold Carry MCX | -0.29 | +23.3% | -7.9% | -3.2% | Combine |
| US Large-Cap Momentum | 0.01 | +19.7% | -11.3% | -8.9% | Combine |
| QQQ Trend Switch | 0.15 | +13.5% | -8.4% | -7.0% | Combine |
| SPX Weekly Put Spread | 0.13 | +22.2% | -8.8% | -6.3% | Combine |
| Bitcoin Trend 4H | -0.18 | +54.9% | -26.4% | -13.5% | Combine |
| ETH–BTC Rotation | -0.14 | +51.5% | -27.8% | -14.1% | Combine |
Frequently asked questions
What does hedged mean here?
Each short straddle is paired with long out-of-the-money options, so the maximum loss is defined even in a gap move.
How do I subscribe to Volatility Harvest Straddle?
Choose a plan on the pricing page, link your broker account, set your allocation (minimum ₹1,80,000) and the algo starts placing orders from the next session. You pay ₹1,299 per month plus 20% 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
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.