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Backtest Snapshot

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Backtested Gross Gains (₹)

Backtested Returns Snapshot

PeriodReturns
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6 months
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All time
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Backtest Best & Worst Holding Periods
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This graph compares the Algo's best and worst performance over time, showing how returns can vary depending on when you start using the Algo.

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Performance Summary

Hover to see parameter details.

Click to see parameter details.

Drawdown Icon

Avg Drawdown

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Indicates the average decline the strategy experiences in downturns, revealing how deep its typical losses go.

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Risk Reward Icon

Risk : Reward

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Indicates how much the Algo typically earns for every rupee it risks. E.g., 1:3 means it targets ₹3 in reward for every ₹1 of risk.

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Win Rate Icon

Avg Trade

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Indicates how often the Algo trades on average.

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high Risk

Risk

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Indicates the expected volatility of the Algo and is classified into levels like Low, Medium, and High.

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Max Drawdown

Max Drawdown

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Indicates the largest decline the Algo has faced so far, reflecting its most severe historical downturn.

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Success Ratio

Success Ratio

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Indicates the percentage of trades that end in profit. E.g., 70% means 7 out of 10 trades are winners.

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Avg Profit

Avg Profit in Trade

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Indicates the average gain the Algo earns on its winning trades.

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Avg Loss

Avg Loss in Trade

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Indicates the average loss the Algo incurs on its losing trades.

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Avg Time to Recovery

Avg Time to Recovery

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Indicates the average number of days the Algo took to bounce back after experiencing its average drawdown.

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Max Time to Recovery

Max Time to Recovery

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Indicates the number of days the Algo took in the past to recover from its worst drawdown to date.

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Sharpe Ratio

Sharpe Ratio

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Indicates how well an Algo balances risk and return, showing how effectively it manages volatility.

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*Metrics/Analytics basis past data. Historical data does not guarantee future results.

Combine other Algos and compare portfolio stability.

Combine other Algos and compare portfolio stability.

Algo Score
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Algo Score - It's a single number that summarizes an Algo's overall performance by combining returns, risk, volatility, drawdowns, and consistency. A higher score indicates stronger, more stable, and better risk-adjusted performance.

Correlation
Algo Score
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Algo Score - It's a single number that summarizes an Algo's overall performance by combining returns, risk, volatility, drawdowns, and consistency. A higher score indicates stronger, more stable, and better risk-adjusted performance.

 Correlation
Zen Credit Spread Overnight
-- 1.00
Curvature Credit Spread Overnight
-- --
Damper Credit Spread
-- --
Carry Forward Strangle
-- --
Holonomy's Short Strangles
-- --
Intraday Short Strangle
-- --
IV-Imbalance Credit Spread Overnight
-- --
Lattice Short Straddles
-- --
SkewHunter
-- --
Alpha Industries Automated
-- --
Expiry Short Strangle
-- --
Convex Credit Spread Overnight
-- --
Mathematician's Credit Spread Overnight
-- --
Chain-Sync Credit Spread Overnight
-- --
Foundation Portfolio Automated
-- --
Fixed RR 1:3 (30% SL)
-- --
Single Lattice Straddle
-- --
Bullion Strategy Automated
-- --
Compressed Strangle
-- --
Quiet Short Straddle
-- --
Balanced Portfolio Automated
-- --
Diversified Stocks
-- --
Dividend Dons Automated
-- --
Wealth Magnet Automated
-- --
Industry Champs Automated
-- --
Single Kurtosis Straddle
-- --
SkewHunter TSL
-- --
High Volatility Stocks
-- --
Vacuum GRID (35% SL)
-- --
Trending Outliers Automated
-- --
Index Sniper
-- --
Crossover Formula Automated
-- --
Value Picker Automated
-- --
Single Rangetrap Straddle
-- --
Hamilton's Credit Spread
-- --
Theta-zone Strangle
-- --
V-Score Credit Spread Overnight
-- --
Flux Strangle
-- --
Single Tightgrip Straddle
-- --
Premium-zone Strangle
-- --
Burst RR 1:2 (25% SL)
-- --
Burst GRID (30% SL)
-- --
Drifting Credit Spread Overnight
-- --
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Why is Un-correlation so important in Algotrading?
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At Stratzy, we align strictly with SEBI’s risk management framework by prioritizing uncorrelation in our strategy curation. In algorithmic trading, uncorrelation ensures that our strategies do not react identically to market volatility; if one strategy faces a drawdown due to specific market conditions, others are designed to remain unaffected or perform differently. This statistical diversification acts as a crucial internal hedge, reducing the risk of simultaneous losses and ensuring portfolio stability. By avoiding concentrated risk, we uphold the regulatory mandate to prioritize investor safety and maintain market integrity.

Overview

NiftyHedgedDirectional

This is a credit spread options trading algorithm that implements a mean-reversion strategy based on volatility and volume analysis. The algorithm operates on NIFTY 50 index options and generates signals for credit put spreads (when bullish) and credit call spreads (when bearish). The core strategy relies on two primary alpha signals: alpha and alpha2. The first alpha signal (alpha) is calculated using a time-series rank of the 5-minute forward price change normalized by the opening price, with a lookback period of 800 minutes. The second alpha signal (alpha2) incorporates volume confirmation and volatility scaling - it multiplies the price change by the average volume ratio of ATM put and call options, then divides by the ATM volatility (sum of CE and PE rolling volatility), and applies a 300-minute time-series rank. The algorithm generates trading signals when both alpha values exceed 0.8 (for long positions) or fall below 0.2 (for short positions), indicating strong directional conviction. When the conditions are met, it constructs credit spreads by selling ATM options and buying OTM/ITM options at different strike distances. For bullish signals (alpha > 0.8), it creates a credit put spread by selling ATM puts and buying ITM puts 400 points below. For bearish signals (alpha < 0.2), it creates a credit call spread by selling ATM calls and buying OTM calls 400 points above. The algorithm includes risk management through stop-loss calculations based on margin requirements and operates only during specific market hours (10:15 AM to 2:15 PM) to avoid high volatility periods around market open and close.

This algo is managed by...

Partner Icon

Stratzy

INH000009180 SEBI registered algo provider

Algos in market
Algos in market43
Active since
Active since5 Years
Deployed by
Deployed by12.5K users

Stratzy is a place where you can get tailored guidance for your portfolio to help you make the right investments. Gain access to battle tested algos, automation of your investments and insights about the market, right in the palm of your hand. Your wealth generation begins here.

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