Performance Summary

The Equinox Credit Spread Overnight algorithm is designed to identify and capitalize on short-term volatility imbalances in the NIFTY 50 index. It leverages a unique combination of technical indicators, including customized volatility and volume skew, alongside proprietary measures derived from option chain data, such as gravitational force ratios and orbital anomaly sums of implied volatility differences, to generate trading signals. By calculating these sophisticated features, the algorithm aims to detect moments of extreme bearish sentiment coupled with market over-pessimism, or vice versa, indicating potential opportunities for overnight option trades. The algorithm uses a time-series rank normalization on its raw alpha to ensure the signal is robust and adapts to changing market conditions. Finally the signal is calculated for the latest row in dataframe which is compared against calibrated condition that can determine a trade. This algorithm trades a Credit Spread, specifically designed to profit from a neutral to bullish or bearish outlook on the NIFTY 50 index. A credit spread involves selling a near-the-money (NTM) option and buying a further out-of-the-money (OTM) option in the same expiry, creating a range within which the strategy is profitable. The algorithm looks for opportunities where implied volatility is expected to decrease, or when the market is likely to stay within a defined range. The Credit Put Spread is entered when the algorithm identifies a potential short term upside signal and the Credit Call Spread is entered when the algorithm identifies potential short term downside signal, allowing the algorithm to capture premium.