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:
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Is Curvature designed to be mostly / only a Bear Call Credit Spread strategy?
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Has anyone else observed that it sells only CE spreads and not PE spreads?
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Is the recent profitability mainly because the market regime was sideways / bearish / not strongly bullish?
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How does this algo behave in a strong bull market or sharp gap-up regime?
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If the market regime changes, will the algo automatically start taking PE credit spreads, or is it structurally biased toward CE spreads only?
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Are there any historical periods where Curvature traded PE spreads, or has it always been mostly CE side?
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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.
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.
Wrong in past every month in bactest it has always taken ce trade. Last 6 months I can see
@jay.gori @MGL_Data2
@niranjan_navada Wrong in past every month in bactest it has always taken ce trade. Last 6 months I can see
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.
@Abhijeet_arora and @niranjan_navada your observation is correct. Not only in past 6 month but for all available history it has only place order using CE and not using PE. Another similar algo is there which is Convex Credit Spread, and it place the both CE-PE
@jay.gori if that is not the case you guys should provide the long history of the trades instead of only past 1-2 year of data. If we have the long history, we can do the regime analysis
Hi @MGL_Data2
I understand your observation. However, I would like to reiterate that the historical trades alone should not be interpreted as the design of the Algo.
While the available trade history may predominantly show CE Credit Spreads, the Algo is not structurally designed to trade only CE spreads. It generates trades solely based on its predefined logic and entry criteria, and the resulting trades are a function of the market conditions satisfying that logic during those periods.
Regarding your suggestion on sharing a longer trade history, I’ve addressed this in detail in another community post. Request you to kindly refer to it here: Backtest data before July '25 - #4 by jay.gori