Curvature Credit Spread Overnight — Is it intentionally CE-only or regime-adaptive?

Stratzy Algos
1

Hi everyone,

I have been observing the Curvature Credit Spread Overnight algo trade history for some time. From the monthly trades I checked, I mostly see it taking CE credit spread positions and I have not noticed PE credit spread trades.

I wanted to understand whether this is expected behavior or only because of the recent market regime.

My questions are:

  1. Is Curvature designed to be mostly / only a Bear Call Credit Spread strategy?

  2. Has anyone else observed that it sells only CE spreads and not PE spreads?

  3. Is the recent profitability mainly because the market regime was sideways / bearish / not strongly bullish?

  4. How does this algo behave in a strong bull market or sharp gap-up regime?

  5. If the market regime changes, will the algo automatically start taking PE credit spreads, or is it structurally biased toward CE spreads only?

  6. Are there any historical periods where Curvature traded PE spreads, or has it always been mostly CE side?

  7. What is the worst-case behavior if NIFTY keeps trending upward and the algo repeatedly sells CE spreads?

I am asking this from a risk-management perspective, because a CE-only credit spread algo may perform well in sideways/down markets but could face regime risk in a sustained bull market. Any clarification from Stratzy team or users who have tracked the algo for a longer period would be helpful.

Thanks.

2

Hi @niranjan_navada

Please note that the Algo is not structurally designed to trade only CE or only PE spreads. It generates trades solely based on its predefined logic and entry criteria during live market conditions, and not based on a directional bias.

The fact that you’ve observed predominantly CE spreads in the recent trade history is coincidental and should not be interpreted as the Algo being limited to one side. The trade direction is always determined by the strategy logic when the required market conditions are met.

As the market environment evolves, the trades generated by the Algo may also differ depending on what its underlying logic identifies as a valid opportunity.

I hope this clarifies your query.

Why curvature credit spread back to back make losses
4

Wrong in past every month in bactest it has always taken ce trade. Last 6 months I can see

@jay.gori @MGL_Data2

5

@niranjan_navada Wrong in past every month in bactest it has always taken ce trade. Last 6 months I can see

6

Hi @Abhijeet_arora

We understand your observation. While the trade history over the past few months may predominantly show CE spreads, this should not be interpreted as the Algo being designed to trade only CE options.

The Algo generates trades solely based on its predefined logic and entry criteria during live market conditions. The fact that the recent trades have been on the CE side is a result of the market conditions satisfying as per the strategy logic of the Algos during those instances, and not because the Algo is structurally restricted to trading only one side.